Top Traders Unplugged
SI401: Why Trend Following Wins in Chaos ft. Nick Baltas
- Quantitative investment strategy (QIS) space has grown to approximately $1 trillion in assets under management (or $3 trillion with leverage), with major banks like Goldman Sachs managing $175 billion and seeing 30% year-to-date revenue growth in QIS divisions.
- Commodity curve carry strategies experienced their largest drawdown in 40 years (approximately 10% for basic implementations) due to backwardation in oil markets driven by geopolitical tensions in the Middle East and natural gas shocks in January.
- Trend-following strategies delivered strong performance year-to-date, with the BTOP index up 11% and various CTA indices up 12%, driven by contributions across multiple asset classes including equities, bonds, commodities, and rates.
- QIS has evolved from seeking uncorrelated alpha to becoming a vehicle for expressing specific **macro views** in a systematic format, with client interest driven by macro dynamics rather than consistent demand.
- Execution quality and research matter significantly for systematic strategies—patient, thoughtful execution in illiquid markets can reduce slippage from 2–3% annually to near zero.
- Single-stock trend-following indices are rare or nonexistent as standalone products; factor momentum strategies represent an indirect way to capture trend exposure in equity markets.