SI377: What's New in SG Indices in 2026? + The Regime-Adaptive Portfolio ft. Alan Dunne

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Dec 6, 2025

Alan Dunne, an investment strategist and founder of Archive Capital, shares his insights on navigating today's fragile macro regime. He discusses the shifting dynamics affecting systematic investing, including the implications of a politicized Fed and the evolving bond market. Dunne introduces his innovative 'Regime-Adaptive Portfolio', advocating for a balanced approach of growth, adaptive strategies, and diversifiers. The conversation delves into how these adaptive strategies can lower drawdowns and enhance compounding, offering a fresh perspective on portfolio construction in uncertain times.

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INSIGHT

Yen Carry Unwind Is A Real CTA Risk

Trend followers have been short yen for an extended period and thus are exposed to a yen carry unwind.
Alan notes the impact depends on move speed and global context, and JGB positioning also matters.

INSIGHT

SocGen Indices Tighten, Consolidating CTAs

SocGen raised index AUM cutoffs materially for 2026, pushing smaller programs out and consolidating large managers.
New entrants include CFM IS Trends and PIMCO Trends while notable names like Systematica face removal.

INSIGHT

Rising Global Yields Reflect New Capital Demand

Bond markets outside the US are trending higher, signalling greater competition for capital and shifting macro regime.
AI capex, defence and other investment demand are pushing yields up versus the prior excess-savings world.

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Niels and Alan explore how a fragile macro regime reshapes systematic investing, from a politicised Fed succession to widening cracks in a debt-laden, equity-dependent economy. A shifting bond landscape, rising capital demands from AI and renewed tariff risks challenge the old 60/40 orthodoxy. Listener questions on US policy shocks and the Yen carry trade open a deeper look at when trend helps and when it hurts. The episode culminates in a world exclusive of SocGen's 2026 index changes and the first public reveal of Alan’s new paper: The Regime-Adaptive Portfolio, for genuinely resilient, opportunity-aware global wealth compounding intelligently, prudently over the decade ahead.

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Episode TimeStamps:

00:00 - Voiceover and introduction to the Systematic Investor Series

00:23 - Niels and Alan open, what is on their radar this week

01:27 - Fed succession as a political risk factor and betting markets

03:33 - Crypto moves, Vanguard’s platform shift and MicroStrategy index pressure

05:53 - Listener questions: can constant US policy shocks break trend?

06:33 - Trouble for trend or just another regime to endure and adapt to

08:55 - Short-term CTAs, Liberation Day and when speed becomes a handicap

11:11 - How CTAs are positioned for a yen carry unwind and JGB nuances

12:16 - November trend update, five straight positive months and short-term pain

13:35 - World exclusive: new SocGen CTA and Trend index line-ups and cutoffs

21:02 - Tariffs, AI capex, rising long rates and the changing bond landscape

29:28 - Is this really a 1990s-style productivity boom or something riskier?

33:52 - Why traditional versus alternative is the wrong lens for portfolios

38:30 - Inside Alan’s Adaptive Portfolio and the 40/40/20 risk framework

47:48 - Behavioural traps and the chronic under-allocation to true diversifiers

53:34 - Tail risks, fiscal dominance and what most portfolios are missing

56:59 - Adaptive versus 60/40: drawdowns, compounding and implications for retirees

01:01:42 - Implementation, return stacking and Morningstar’s leverage label problem

01:05:54 - Closing reflections, next week’s episode and final risk reminders

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