SI358: Why the Best Trend Models Might Be the Simplest Ones ft. Tom Wrobel & Andrew Beer
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 26 July 2025
⏱️ 73 minutes
🧾️ Download transcript
Summary
Andrew Beer and Tom Wroble return to join Niels Kaastrup-Larsen for a timely examination of how trend following is adapting, and why some say it may be losing its edge. Tom unpacks new research showing a quiet drift toward slower models, raising the question of whether CTAs are evolving or converging. Andrew pushes back on the prevailing wisdom around diversification, suggesting that complexity often obscures cost rather than delivering true value. From shifting model speeds to the incentives shaping manager behavior, this is a conversation about what trend following is becoming... and what investors risk overlooking as some strategies grow more complex in pursuit of outperformance.
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Episode TimeStamps:
01:52 - What has caught our attention recently?
06:11 - Industry performance update
07:44 - Wrobel's perspective on the current CTA environment
09:32 - Key findings from Wrobel's recent paper
14:51 - The shape is key for managing risk
17:26 - How changes in the underlying managers affect replication strategies
22:10 - Is there such a thing as a happy "medium" in trading speed?
28:09 - Are replication strategies less challenged when selecting markets?
33:35 - The structure of an allocator
36:12 - How much tracking error is acceptable in replication?
42:14...
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. |
| 0:27.0 | Welcome all. Welcome back to this week's edition of the Systematic Investor series with Andrew Beer and Tom Robill, as well as myself, Nils Castro Blasner, where each week we take the |
| 0:31.8 | pulse of the global markets through the lens of a rules-based investor. |
| 0:35.4 | Andrew and Tom, it is great to see both of you, great to have you back this week. How are you doing? Where are you today, actually? Because you're not. You're always traveling, some of you at least. Well, I'm actually, I'm dialing in from Greece. I had sort of a spontaneous trip to Greece to spend time with my business partner. And I'm back in Athens now where I have |
| 0:54.8 | better Wi-Fi and I head back to the States tomorrow. So, but it is truly a delight to be here |
| 1:00.2 | and nice to see you both again. Yeah, thanks, Neals. I'm still in London. It seems to be this |
| 1:07.0 | summer has yet to slow down. Although that seems to happen every year. We still see a lot of |
| 1:11.7 | groups traveling and a lot of people interested in catching up and talking about different strategies. |
| 1:17.2 | Interesting. Actually, I always felt that the summer period was a little bit slow in terms of |
| 1:21.1 | travel, but interesting that you see managers come through London. And do you have any summer plans |
| 1:27.0 | after that or going somewhere nice, Tom? |
| 1:30.8 | Yeah, just holidaying in sunny UK in Kummo. Yeah. Oh, very nice, actually. Good stuff. Well, |
| 1:38.1 | we got a great lineup today, which actually includes some topics we rarely talk about. I think this is |
| 1:43.5 | going to be fascinating and interesting, |
| 1:45.4 | as well as a paper that you published, Tom. |
| 1:49.6 | So that's going to be super. |
| 1:51.9 | Before we do that, as usual, |
| 1:54.1 | I'm always curious to know what's come across your desk, |
| 1:57.8 | what's you're finding interesting at the moment, |
| 2:02.6 | not necessarily related to what we're going to be talking about today. So since Andrew and I was here on our own last time, |
... |
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