SI375: CTAs After the Walls Come Down ft. Rob Carver
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 22 November 2025
⏱️ 77 minutes
🧾️ Download transcript
Summary
Rob Carver returns for a conversation that quietly questions the foundations. Is trend following an edge - or just a reward for holding discomfort others can’t? From the role of skew in shaping outcomes to the blind spots in most robustness frameworks, Rob and Niels takes you through the mechanics with uncommon clarity. Listener questions open up the deeper layers: when volatility targeting helps, when it hurts, and why Sharpe Ratios can mislead. They end with a shift that may matter more than it seems: CalPERS moving to a Total Portfolio Approach. Not just a new framework - potentially a new lane for CTAs.
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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:
00:00 - Intro and welcome to the Systematic Investor Series
00:23 - Catching up with Rob and a cold, sunny UK
01:35 - Is trend following an edge or a risk premium?
03:38 - Overcomplicating edges and the Cliff Asness perspective
04:30 - Renaissance’s bad month and how even legends struggle
09:25 - Managed futures ETFs, performance narratives, and media framing
11:22 - AI, Nvidia and what an “AI bubble” might mean for trends
13:10 - Trend barometer, current positioning and where returns come from
18:35 - George’s question: robustness testing, overfitting and multiple testing
25:45 - How often to re-fit models and when to leave parameters alone
27:44 - Frederik’s question: intraday versus end of day for medium term trend
32:10 - Why trend following struggles on single assets and very fast timeframes
34:07 - Abraham’s question: what Rob would do differently after a decade live
41:05 - Carlo’s question: static vs dynamic sizing, skew and volatility targeting
46:07 - Rebalancing frequency, buffering, and asymmetric volatility risk
50:49 - Dario’s question: sentiment indicators, skew and what Rob actually uses
53:10 - Andreas’ question: ATR vs standard deviation and daily vs weekly data
56:29 - Stops, intraday execution and combining slow trend with fast mean reversion
59:27 - CalPERS adopts the total portfolio approach: what changes and why it matters
01:08:12 - Boxes, sleeves and why CTAs never fit neatly anywhere
01:11:55 - Could TPA be a game changer for trend following allocations?
01:14:19 - ChatGPT, consultants and the future of portfolio construction language
01:16:18 - Closing disclaimers and how to send in future questions
Copyright © 2025 – CMC AG – All Rights Reserved
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2. Daily Trend Barometer and Market Score
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Transcript
Click on a timestamp to play from that location
| 0:00.0 | You're about to join Neil's Kostrup Larson on a raw and honest journey into the world of systematic investing and learn about the most dependable and consistent yet often overlooked investment strategy. |
| 0:13.2 | Welcome to the Systematic Investor Series. |
| 0:28.8 | Welcome and welcome back to this week's edition of the systematic investors series with Rob Carver and I, Neil's Castblassen, |
| 0:33.0 | where each week we take the pulse of the global market through the lens of a rules-based investor. |
| 0:36.3 | Rob, it is great to be back with you this week. |
| 0:39.1 | Hope you're doing well. How are things in the UK? |
| 0:46.5 | It's cold and sunny. I think we're recording video for this episode, so people can probably see I'm wearing a lot of layers. |
| 0:56.7 | As my garden office is not particularly well insulated, so I've got a heater running and I'm wearing lots of layers, and hopefully I won't freeze to the death before the end of the podcast. |
| 1:01.8 | I'll make sure we'll keep you warm with some pointed topics, for sure. |
| 1:04.3 | If I get nice and angry, that'll definitely keep me warm. |
| 1:09.8 | Absolutely. And speaking of those, we've actually got quite a few questions this week, so that's going to keep you warm, |
| 1:11.7 | I'm sure, and as well as a very, very important topic that I personally think could be a game |
| 1:16.6 | changer, not just for trend following and CTAs, but generally speaking, but we'll come to that |
| 1:21.1 | a little bit later. Of course, before we get to any of that, I'm always curious what you've been thinking about the last few weeks since we spoke. |
| 1:31.7 | Anything that stood out to you? |
| 1:35.3 | Well, as always, I've been writing on my blog and people can go and look there, but I'm not here to plug my blog. |
| 1:40.7 | So, there are some very good articles on there, I have to say. |
| 2:01.7 | No, actually, the thing that kind of came to my head this morning, I was trying to think of stuff to talk about was actually a discussion I had on Twitter, now known as X, yesterday. And it was quite, it's quite an interesting discussion. It comes up every now and then, and it's basically a discussion about whether trend following is an edge or a risk premium. And of course, you know, I think the word edge is kind of one of these |
| 2:08.9 | words that are people use in different ways. So I think the most loose sense of it is basically |
| 2:14.6 | if you can make money in the markets and you have an edge. I mean, that, you know, my personal belief is, if anyone can do it, then you haven't got an edge. |
| 2:26.0 | If you're making money out of something, but it's something that anyone can do, and of course, |
| 2:30.6 | anyone can sort of follow a simple trend-flowing system if they've got the right amount of capital, the right resources, and make money, hopefully, in the long run. |
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