SI353: You Don’t Buy It for Returns. You Buy It Because It Works! ft. Yoav Git

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8 • 670 Ratings

🗓️ 21 June 2025

⏱️ 69 minutes

🔗️ Recording | iTunes | RSS

🧾️ Download transcript

Summary

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:

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.
0:33.2	Welcome all welcome back to this week's edition of the systematic investors series where you go of Git and I, Neil's Kastrolasten, where each week we take the pulse of the global market through the lens of a rules-based investor.
0:40.1	You have it is really wonderful to have you back this week. I hope you're doing well and how are things where you are. You're an interesting place right now.
0:42.3	Yes, it's a pleasure.
0:44.3	I'm actually visiting my parents in Israel.
0:47.3	So I didn't quite expect to be in the middle of a sort of a global crisis, but there we are. I get a lot of chance to spend
0:57.6	time with my parents, which is really nice, and to see how that impacts the oil market, which is
1:03.6	also a little bit interesting. Yes, no, it is. And then you're incredibly calm speaking to you and obviously I can see you.
1:12.6	So I'm glad to hear that all is well where you are at the moment.
1:19.1	Now, before we dive into, we've got, I mean, I will say this definitely is a trend following focus conversation today but with a lot of great
1:28.8	inputs from a few papers that we managed to find and so I'm really looking forward to that
1:35.1	before we dive into that though as always and it sounds a little bit weird when I say it
1:42.0	I love to hear what's been on your radar and based on where you are right now the radar part seems a little bit weird when I say it. I love to hear what's been on your radar. And based on where you are right now,
1:46.3	the radar part seems a little bit odd to say.
1:50.2	But anyways, what have you been thinking of,
1:53.6	or what have you found interesting in the last recent time?
1:59.4	Actually, if it's okay, I'm just going to go back to our previous DTU.
2:04.1	So just a bit of housekeeping.
2:08.0	You asked me about publicly available indices in the bond market.
2:14.2	And I didn't have it at the time because I used Bloomberg a lot.
	...

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