Inside Q1’s Chaos | Systematic Investor | Ep.394

Summary

Niels Kaastrup-Larsen, Katy Kaminski, and Harry Moore discuss Q1 2026 market volatility, trend following performance, and research on optimal market mix, portable alpha, and drawdowns. They highlight how trend strategies adapted to reversals, emphasize diversification benefits, and explore cash efficiency and macro factor exposure. The conversation underscores that changes create opportunities for divergent strategies like trend.

• Trend following had a positive Q1 2026, outperforming equities and bonds.
• Strong energy trends and reversals tested trend strategies in March.
• Dispersion across managers increased due to differences in speed and market selection.
• Harry Moore's paper shows traditional markets provide better crisis alpha, alternatives improve long-run Sharpe.
• Portable alpha using trend is cash-efficient but requires careful cash buffer management.
• Drawdowns are statistically expected for high-sharpe strategies; rebalancing during drawdowns is recommended.
• Katy Kaminski's paper decomposes macro strategy returns to isolate idiosyncratic alpha.
• Geopolitical risk and inflation themes are expected to drive future trend positions.