QIS & Trend Following in 2026 ft. Nick Baltas | Systematic Investor | Ep.401

Summary

Nick Baltas and Moritz Seibert discuss the explosive growth of QIS strategies, the record drawdown in commodity curve carry in 2026, and the strong performance of trend following across asset classes. The conversation covers crowding risks, execution alpha, inflation themes, and the role of alternative markets in portfolio construction.

• QIS strategies have grown rapidly, with revenue up 30% at JP Morgan and $1 trillion in AUM.
• Commodity curve carry suffered its largest drawdown ever, driven by backwardation in oil and natural gas.
• Some dynamic implementations of commodity curve carry remained positive year-to-date.
• Trend following has performed strongly in 2026, with all four major asset classes contributing positively.
• Inflation is a key macro theme, influencing equity hedging and rate expectations.
• Crowding risks in QIS are acknowledged but seen as manageable with prudent design.
• Execution alpha is real, especially in less liquid markets, as shown by Tom Babage's experience.
• Single-name trend following indices are rare; factor momentum ETFs offer a similar exposure.