SI375: CTAs After the Walls Come Down ft. Rob Carver

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Nov 22, 2025

Rob Carver, an experienced systematic trader and quantitative researcher, joins to explore the nuances of trend following. He discusses whether it's a true edge or merely a compensation for discomfort. The conversation dives into the pitfalls of robustness testing, the complexities of position sizing, and the implications of CalPERS' Total Portfolio Approach for CTAs. Carver provides valuable insights on trading strategies, including the risks of intraday trading and the importance of aligning data frequency with trading horizons.

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INSIGHT

Trend Following As Risk Premium

Trend following may be a risk premium, not a secret edge, because anyone can implement simple rules.
Rob Carver argues returns come from taking risks others avoid and delayed reactions, not mystical alpha.

ADVICE

Don't Cherry-Pick From Small Samples

Build large candidate sets and roll-forward selection rather than cherry-picking a tiny top subset from limited years of data.
Include trading costs from the start and avoid selecting a few

ADVICE

Refit Slowly For Long-Horizon Systems

Refit strategy weights infrequently for long-horizon systems; annually is possible but multi-year refits are common.
Rob refits roughly every three years unless making system changes.

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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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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

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Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.

IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.

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Send your questions to info@toptradersunplugged.com

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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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