Niels Kaastrup-Larsen and Yoav Git examine why trend following continues to endure despite decades of changing markets and persistent skepticism. They revisit AQR’s 137-year study of trend following, exploring diversification, volatility scaling and the behavioral and economic forces behind persistent trends. The conversation also turns to the mechanics of commodity markets, using the 2020 oil collapse to show how inventories, storage capacity and forced futures rolls can produce extreme price moves. Along the way, they discuss investor trust, systematic risk intervention, CTA implementation and why understanding market structure matters just as much as building the signal.
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Episode TimeStamps:
00:00 - Introduction and what’s on Yoav's radar
01:54 - Why investor relationships are ultimately built on trust
06:36 - CTA ETFs, strategy changes and investor transparency
10:55 - Multi-strategy funds and the cost of complexity
12:36 - TTU competition winners and the August trend update
16:14 - Global rates, Japan and opportunities beyond U.S. bonds
19:07 - August performance and the Trend Barometer
21:09 - Correlation, volatility and how CTAs manage portfolio risk
25:09 - Human intervention inside a systematic investment process
29:40 - Where different commodity market participants operate
31:44 - Revisiting 137 years of evidence for trend following
38:30 - Has trend following performance actually deteriorated?
43:58 - Why diversification is fundamental to trend following
51:16 - Oil squeezes, storage and the mechanics of commodity markets
58:00 - Carry, inventories and oil price elasticity
01:04:36 - What really caused oil prices to turn negative in 2020
01:09:40 - What commodity market structure teaches trend followers
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