SI392: The Hidden Cracks in Systematic Strategies No One Talks About ft. Nick Baltas
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 21 March 2026
⏱️ 65 minutes
🧾️ Download transcript
Summary
Markets have shifted quickly in 2026, forcing systematic investors to reassess what is signal and what is noise. In this episode, Niels and Nick explore recent drawdowns, volatility in commodities, and how geopolitical shocks ripple through quantitative strategies. They unpack the role of QIS, the evolving structure of energy markets, and why some trends are holding while others fade. The conversation also challenges common assumptions about diversification, model design, and the growing influence of options markets. Rather than reacting to headlines, this episode focuses on how systematic investors interpret changing conditions and adapt without abandoning discipline.
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Episode TimeStamps:
00:01 - Introduction to systematic investing and current market backdrop
01:03 - 2026 sentiment shifts from optimism to uncertainty
03:04 - Commodity curve trades and recent QIS drawdowns
08:34 - Why gas and oil behave very differently in markets
11:17 - Media narratives vs actual CTA performance
14:03 - Rising stagflation concerns and interest rate volatility
18:08 - Trend following performance and positioning update
27:06 - Do options markets impact trend following models
38:28 - Core vs broad market universes in trend strategies
48:46 - Can AI reshape systematic research workflows
55:23 - Quant equity resurgence and lessons from past drawdowns
01:02:19 - Macro uncertainty and what drives trends going forward
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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 and learn about the most dependable and consistent yet often overlooked investment strategy. |
| 0:13.0 | Welcome to the Systematic Investor Series. |
| 0:27.1 | Welcome, welcome back to another edition of the systematic investor series where Nick Bolters and I, Niels Castroblaston, where each week we take the pulse of the global |
| 0:31.1 | market through the lens of a rules-based investor. And let me just say a very warm welcome if today's |
| 0:36.6 | first time you're joining us and if someone |
| 0:39.1 | who cares about you and your portfolio recommended that you tune into the podcast. I would like to |
| 0:44.0 | also say thank you to the person for sharing the episode with your friends and colleagues. It |
| 0:50.9 | really does mean a lot to us. Nick, it is wonderful to be back with you. |
| 0:56.6 | This week has been a little while. That's how it feels. But how have you been? How is 2026 treating |
| 1:01.7 | you so far? Yeah, it's been some time. Good to see you, Nealz. |
| 1:07.2 | 2226 has been quite a year so far, right? I think, you know, we all started with this kind of booming expectation, and here we stand |
| 1:14.6 | debating how much of a contagion effect we have ahead or maybe not. |
| 1:18.6 | But other than that, you know, it's been quite busy at work, you know, busy at home, |
| 1:22.6 | you know, some travels here and there. |
| 1:25.6 | So good, you know, so good so far. |
| 1:28.5 | Yeah, I would say. |
| 1:29.3 | How about you? |
| 1:30.3 | Yeah, no, no, absolutely. |
| 1:31.6 | You can't complain. |
| 1:32.9 | It's been busy. |
| 1:34.7 | I feel that the conversations are highly interesting. |
| 1:38.9 | I feel investors are, yeah, leaning a little bit more into our space. |
... |
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