SI426: The Hard Part Isn't Buying Trend Following ft. Yoav Git
Shownotes
When markets turn against you, the strategy meant to protect your portfolio may be the last to respond. But is that a flaw in trend following, or have investors misunderstood what protection really means? With Niels away, Alan Dunne is joined by Yoav Git to explore the hidden trade-offs behind building a resilient CTA portfolio. From sudden market crashes to prolonged inflationary shocks, they uncover why different strategies respond to crises in fundamentally different ways, and why the timing of those responses can matter as much as the returns themselves. As they examine the role of bonds, commodities and fast versus slow trend following, a deeper question emerges: can you build a portfolio that survives not only the next crisis, but also the long periods of disappointment in between?
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Episode TimeStamps:
00:00 - Why trend following can be so difficult to stick with
04:26 - November performance and the challenges facing CTAs
08:39 - Three different reasons to include CTAs in a portfolio
11:43 - What convexity actually means for investors
14:59 - The difference between return convexity and exposure convexity
20:02 - Why CTA exposure to bonds and equities behaves differently
26:19 - Where crisis protection really comes from in trend following
32:34 - How to tailor CTA allocations to different portfolio objectives
38:22 - Inflation, commodity trend and the future of AI
47:07 - Stagflation research and the limits of historical data
56:14 - Building a CTA portfolio for alpha or crisis protection
01:06:35 - Why chasing trend-following performance can backfire
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