SI358: Why the Best Trend Models Might Be the Simplest Ones ft. Tom Wrobel & Andrew Beer
Top Traders Unplugged
Intro
In this chapter, the hosts unveil the latest Systematic Investor Series, exploring systematic investing amid evolving market trends. They share personal updates from Greece and London while hinting at key discussion topics and recent market observations.
Andrew Beer and Tom Wroble return to join Niels Kaastrup-Larsen for a timely examination of how trend following is adapting, and why some say it may be losing its edge. Tom unpacks new research showing a quiet drift toward slower models, raising the question of whether CTAs are evolving or converging. Andrew pushes back on the prevailing wisdom around diversification, suggesting that complexity often obscures cost rather than delivering true value. From shifting model speeds to the incentives shaping manager behavior, this is a conversation about what trend following is becoming... and what investors risk overlooking as some strategies grow more complex in pursuit of outperformance.
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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE
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Episode TimeStamps:
01:52 - What has caught our attention recently?
06:11 - Industry performance update
07:44 - Wrobel's perspective on the current CTA environment
09:32 - Key findings from Wrobel's recent paper
14:51 - The shape is key for managing risk
17:26 - How changes in the underlying managers affect replication strategies
22:10 - Is there such a thing as a happy "medium" in trading speed?
28:09 - Are replication strategies less challenged when selecting markets?
33:35 - The structure of an allocator
36:12 - How much tracking error is acceptable in replication?
42:14 - Trend is doing better than people expect
43:49 - The Voldemort of the trend following space
51:02 - Are ultra diversified portfolio merely a party trick?
56:25 - The challenges of slippage and implementation cost
01:03:49 - It all comes down to the predictability of trends
01:06:23 - Let's talk about the data, please
01:09:01 - Common misunderstandings of trend
01:12:12 - What is up for next week?
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