Some of the most effective portfolio components may generate little or no return on their own. In this episode, Niels Kaastrup-Larsen and Yoav Git explore that discomfort - why allocators often overlook strategies that offer the most structural value. Through a series of new research papers, they examine how negative correlation, volatility, and capital efficiency can outweigh standalone performance, and why trend following continues to challenge conventional assumptions. It’s a conversation about construction over conviction, contribution over headline returns, and the gap between what improves a portfolio and what investors are willing to own.
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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:
00:13 - Introduction and latest update
07:57 - Trend Following score card
12:38 - Latest paper from R.G. Niederhoffer
26:45 - Latest insights from Quantica Capital
36:55 - Review of Soc Gen's latest report on the state of the CTA Industry
44:52 - The Science and Practice of Trend-following Systems paper by Artur Sepp
Resources discussed in this Episode:
- LINK SI353: From Tariffs to Trends
- LINK SI353: Keeping up with the Trend-Followers
- LINK SI353: The Science & Practice of Trend-Following Systems
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