Replication Experiences and Concentration Effects

Niels is joined by all 9 amazing co-hosts, to discuss a year that refused to behave. In part one of the annual "roundtable", Niels and the group map why 2025 produced such striking dispersion across trend followers. They revisit the Liberation Day shock and the uncomfortable truth it exposed: results often came down to unglamorous choices like market selection, time horizon, and how quickly risk is resized after clustered volatility and sharp reversals. The conversation then widens to a structural theme: the rapid growth of strategies investors hope will sit outside stocks and bonds, from managed futures and multi strats to structured products, gold, and crypto, plus the liquidity, reflexivity, and selection challenges that follow when everyone reaches for the same diversifier.

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Episode TimeStamps:

00:00 - Opening and introduction to the Systematic Investor Series

02:24 - Setting the agenda for the year-end group discussion

06:04 - Return dispersion and the shock around Liberation Day

10:41 - Market selection versus trend speed as performance drivers

15:17 - Volatility adjustment and why mid-speed models struggled

21:11 - The rapid growth of non correlated assets

26:40 - Liquidity limits and reflexive effects of large inflows

31:23 - Is dispersion healthy or a hurdle for allocators

37:17 - Investor behavior versus strategy outcomes

42:56 - Are model design choices ever truly obvious

46:22 - Objectives, factor exposure, and what investors really buy

50:49 - Dispersion as differentiation or classification problem

57:07 - Evaluating managers in a world of randomness

01:02:02 - How much data is enough to judge performance

01:11:05 - Closing remarks and preview of part two

Copyright © 2025 – CMC AG – All Rights Reserved

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