SI375: CTAs After the Walls Come Down ft. Rob Carver
Top Traders Unplugged
Position sizing: static versus dynamic volatility targeting
Rob explains static sizing, dynamic volatility targeting, trade-offs between Sharpe, skew, and geometric returns.
Rob Carver returns for a conversation that quietly questions the foundations. Is trend following an edge - or just a reward for holding discomfort others can’t? From the role of skew in shaping outcomes to the blind spots in most robustness frameworks, Rob and Niels takes you through the mechanics with uncommon clarity. Listener questions open up the deeper layers: when volatility targeting helps, when it hurts, and why Sharpe Ratios can mislead. They end with a shift that may matter more than it seems: CalPERS moving to a Total Portfolio Approach. Not just a new framework - potentially a new lane for CTAs.
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Episode TimeStamps:
00:00 - Intro and welcome to the Systematic Investor Series
00:23 - Catching up with Rob and a cold, sunny UK
01:35 - Is trend following an edge or a risk premium?
03:38 - Overcomplicating edges and the Cliff Asness perspective
04:30 - Renaissance’s bad month and how even legends struggle
09:25 - Managed futures ETFs, performance narratives, and media framing
11:22 - AI, Nvidia and what an “AI bubble” might mean for trends
13:10 - Trend barometer, current positioning and where returns come from
18:35 - George’s question: robustness testing, overfitting and multiple testing
25:45 - How often to re-fit models and when to leave parameters alone
27:44 - Frederik’s question: intraday versus end of day for medium term trend
32:10 - Why trend following struggles on single assets and very fast timeframes
34:07 - Abraham’s question: what Rob would do differently after a decade live
41:05 - Carlo’s question: static vs dynamic sizing, skew and volatility targeting
46:07 - Rebalancing frequency, buffering, and asymmetric volatility risk
50:49 - Dario’s question: sentiment indicators, skew and what Rob actually uses
53:10 - Andreas’ question: ATR vs standard deviation and daily vs weekly data
56:29 - Stops, intraday execution and combining slow trend with fast mean reversion
59:27 - CalPERS adopts the total portfolio approach: what changes and why it matters
01:08:12 - Boxes, sleeves and why CTAs never fit neatly anywhere
01:11:55 - Could TPA be a game changer for trend following allocations?
01:14:19 - ChatGPT, consultants and the future of portfolio construction language
01:16:18 - Closing disclaimers and how to send in future questions
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