SI340: ETFs, Size, and the Commodity Problem ft. Alan Dunne
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 22 March 2025
⏱️ 65 minutes
🧾️ Download transcript
Summary
In today’s episode, Alan Dunne and I take a step back - and a step forward - by exploring 125 years of hard-earned market wisdom, courtesy of the Global Investment Returns Yearbook, the definitive source of long-term asset class performance. What does this rich dataset tell us about equities, bonds, diversification, and the underrated role of patience in investing? And how relevant are these lessons for investors navigating today’s high-concentration markets, stubborn inflation, and the potential cracks in the classic 60/40 portfolio?
But that’s not all - we also dive into one of the most overlooked challenges facing systematic trend followers today: capacity constraints, especially in commodities. Drawing on Quantica’s latest research, we examine why commodities have historically been critical to CTA performance, how liquidity limits silently erode returns as strategies scale, and why the explosive growth of trend following ETFs may come at a hidden cost investors rarely see.
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Episode TimeStamps:
00:41 - What has caught our attention recently?
04:14 - A new era for Germany?
10:02 - The ETF space is on fire
11:21 - The Nordic countries are on a roll
12:18 - Dunne's global macro perspective
21:39 - Industry performance update
27:07 - An analysis of the Global Investment Returns Yearbook
34:29 - Why are expected returns so far off real returns in the Pension Fund space?
41:07...
Transcript
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| 0:00.0 | You're about to join Neil's Kostrup Larson on a raw and honest journey into the world of systematic investing |
| 0:07.2 | and learn about the most dependable and consistent yet often overlooked investment strategy. |
| 0:13.2 | Welcome to the Systematic Investor Series. |
| 0:32.7 | Welcome and welcome back to this week's edition of the systematic investor series with Alan Donne and I, Neil's Castle Blaston, where each week we take the pulse of the global market through the lens of a rules-based investor. |
| 0:36.4 | Alan, wonderful to be back with you this week. How are you doing? |
| 0:38.2 | Very well, Neil's. Thanks a lot. Great to be back. you this week. How are you doing? Very well, Neil. Thanks a lot. |
| 0:42.4 | Great to be back. Lovely sunshine, spring sunshine here in Dublin. How is all on your side? |
| 0:50.8 | Yeah, yeah. No, I'm actually in Denmark right today and it is sunny as well. So maybe spring is, in fact, coming. |
| 0:57.0 | We're going to be tackling a few big topics, I think very relevant topics today. |
| 1:01.6 | But before we do that, and I think this section could be quite interesting this week. |
| 1:05.5 | It's always, I'd love to hear what's been on your radar. |
| 1:08.4 | I've got a few things that came across my inbox. |
| 1:10.9 | So what have you been, what's called your attention? |
| 1:12.5 | Well, yeah, a couple of things. |
| 1:13.8 | Obviously, we had the Fed last night, |
| 1:15.9 | which was, you know, I think broadly as expected. |
| 1:19.0 | But one thing that did catch my attention |
| 1:21.0 | is if you look at the projections |
| 1:24.7 | that accompany the statement |
| 1:26.7 | and the overall presentation |
| 1:31.6 | and what you see is that the Fed has reduced its expectation for GDP this year and |
| 1:38.5 | next year and an increase its expectation for inflation so kind of there's a a stagflationary bias within the kind of view of the US economy, |
... |
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