Top Traders Unplugged: SI380 “Dispersion Is the Story This Year” (Group Conversation Part 1)

Podcast Host: Niels Kaastrup-Larsen
Panelists: Katie Kaminski, Jim Kassan, Rob Carver, Mark Rzamszimski, Rich Brennan, Alan Dunn, Nick Baltas, Andrew Beer, Yoav Git
Date Recorded: December 17, 2025
Date Published: December 27, 2025

Episode Overview

This special year-end group conversation brings together 10 co-hosts of the Systematic Investor Series to review pivotal developments and challenges in systematic investing and trend following throughout 2025. The panel explores return dispersion among CTAs, the foundational importance of non-correlated assets, the evolving nature of model design, the complexities of manager evaluation, and the implications for industry growth and investor education. Real-world insights are shared, touching on everything from the behavior of institutional allocators to the shifting landscape of fee structures and performance narratives.

Key Topics & Discussion Points

1. Extreme Return Dispersion in 2025 Trend Following (03:16 – 13:54)

Main Speaker: Katie Kaminski
Key Points:

• “You've had some sizable return dispersion this year across different managers...precipitated by this huge shock...in April around Liberation Day.” (03:20, Katie Kaminski)
• Sources of Dispersion Identified:
  • Market Selection: Focusing on the 10 largest/trending markets (e.g., gold, oil, corn) outperformed diversified approaches in 2025, though this is unusual in a longer (25-year) context.
  • Speed of Trend Systems: Both very slow and very fast trend strategies outperformed mid-speed strategies (6–8 month trend windows suffered most in V-shaped markets).
  • Volatility Sizing/Adjustment: Faster volatility adjustment helped handle multi-day shocks and reversals, similar to COVID-era turbulence, while stable adjustments lagged.
• Notable Quote:
  “Given the extremity of the moves this year, subtle decisions in your allocation, subtle decisions in speed, created very, very different results.” (05:45, Katie Kaminski)
• Follow-On Panel Input:
  • Andrew Beer and Mark Rzamszimski confirmed that narrower universes and slower models performed best over the last three years, contrasting with 2022 when fast was best.
  • Client perception often lags model reality; “Should you be trading faster and faster?” was a frequent question amid uncertainty. Ironically, slow models did best. (11:26, Nick Baltas; 12:04, Yoav Git)
  • Discussion of classification methodologies—portfolio construction benefits from STM (Style, Timing, Markets) factor frameworks. (13:04, Mark Rzamszimski)

2. The Massive Bull Cycle in Non-Correlated Assets (13:54 – 31:08)

Main Speaker: Jim Kassan

Key Points:

• Non-correlated assets and strategies (hedge funds, precious metals, structured products, crypto) have seen exponential AUM growth—“a hockey stick in flows”—post-2022, now in early innings.
• “...You're riding an incredible wave of money flowing into this space.... If big, if interest rates go higher, if more secularly, if we see risks begin to develop...this could be a very interesting decade for not just trend and hedge fund, non-correlated type strategies, but for all of these things.” (17:35, Jim Kassan)
• Huge performance and demand are driven by:
  • Breakdown in stock/bond correlations after 2022.
  • Search for capital efficiency and risk diversification, especially as equities and bonds can no longer be counted on to hedge each other.
  • Higher rates making non-correlated assets more attractive.
• Empirical versus structural uncorrelation: Caution that past non-correlation may not persist under stress (19:16, Rob Carver).
• Different investor types drive flows into different non-correlated assets: retail in crypto, central banks in gold, institutional in hedge funds/CTAs (20:49, Yoav Git).
• Infrastructure and liquidity for non-correlated assets lag inflows—reflexive impacts are visible in market structure, e.g., summer volatility compression, massive dispersion in long/short equity (25:12, Jim Kassan).
• Memorable Quote:
  “Maybe the most important thing to understand in finance.” (26:37, Jim Kassan, reflecting on supply/demand imbalance for non-correlation)

Fee Compression and Implications:

• Fee pressure may abate as demand focuses on proven, scarce managers; evidence of rising fees in discretionary macro and multi-strats (30:14, Alan Dunn).

3. Dispersion: Obstacle or Alpha? (31:16 – 40:24)

Main Speaker: Nick Baltas
Key Question: Does increased performance dispersion hinder or help the systematic investing industry as it seeks to broaden its investor base?

• Katie Kaminski: Dispersion creates both opportunities and educational hurdles—investors must understand that 20% spreads among managers are possible and behaviorally, this leads to chasing winners and suboptimal outcomes (32:54).
• Andrew Beer: Investor heterogeneity is high—some desire model allocations without delving into manager selection, others prize skill in selection. Dispersion can be useful or challenging depending on investor type (34:52).
• Jim Kassan: Diversification is generally the default unless one has strong conviction or evaluation edge; alpha lies at the margin, but diversification is “the one thing that is free in this world.” (38:10)
• Behavioral Risks: “Return dispersion does impact...behavioral effects where people buy the winners that don’t persist and, instead of just allocating to the space and holding...” (38:53, Katie Kaminski)

4. Are Trend Model Design Decisions Ever Obvious? (40:24 – 53:05)

Main Speaker: Andrew Beer
Key Issue:

• End-investors seek clarity and robust design—reality is, almost all design decisions (windows, speed, volatility models, market universes) entail judgment calls and trade-offs, not statistical certainties.
• “The fascinating thing to me is that there are very, very, very few circumstances where you can say it’s obvious.” (41:08, Andrew Beer)
• Narratives of false certainty (“it was obvious”) can be misleading and lead to misaligned expectations about what strategies can deliver.

Panel Views:

• Yoav Git and Katie Kaminski: “Obvious” decisions depend on investor objectives (convexity, market universes, risk factors); implementation details matter less than fit-for-purpose design. (43:14, 50:53)
• Rich Brennan: Hindsight bias drives perceptions of obviousness; all systematic designs involve uncertainty and trade-offs. Dispersion reflects sectoral diversity and forcing practitioners to communicate objectives clearly is essential. (46:40, 47:36)
• Mark Rzamszimski: Too much dispersion can make classification difficult for investors—but also allows differentiation; need greater transparency around manager objectives. (53:05)

5. Evaluating Systematic Managers: Data, Biases, and Realpolitik (60:12 – 69:52)

Main Speaker: Alan Dunn
Key Question: How long does it take to evaluate manager skill in systematic investing, and what should investors be focusing on rather than returns alone?

• Statistical View: Robust inference may require >10 years of data, especially as more dispersion exists in the industry; correlation with benchmarks makes inferences easier, but high-variance managers are harder to evaluate robustly (62:05, Rob Carver).
• Practical Perspective:
  • Markets and manager universes evolve; “By the time you think you actually have a statistical point of view, then the universe have changed.” (64:14, Yoav Git)
  • Focus should be on manager process, operational robustness, and adaptability rather than past outperformance.
• Nick Baltas: The bar to abandon a systematic strategy entirely should be extremely high; only when the fundamental reason for a strategy disappears (e.g., commodity roll premiums vanishing) should overhaul be considered. (66:53)
• Alignment and Fees: Investors also care about fee structures and alignment of incentives, recommending that selection processes reflect these alongside process strength (69:54, Yoav Git).

Notable Quotes & Memorable Moments

• “If you’re too quick in a V-shape, you’ll get some of the first part and some of the second part... If there’s something in between, it’s almost like the soldiers walking on the bridge in a synchronous manner. The bridge is basically falling.” — Mark Rzamszimski (08:41)
• “We’re riding an incredible wave of money flowing into this space...and most of them, it’s a hockey stick, right?” — Jim Kassan (15:15)
• “Obviousness is not when you know—it’s not a quant decision...what are the factors that I’m looking to buy, what exposures I’m looking for.” — Yoav Git (43:14)
• “….Diversification is the one thing that…is free.” — Jim Kassan (38:10)
• “No one on this, if we'd done this four years ago, would have predicted the outcome that Nick laid out in terms of very, very long term models work, major markets work over the next three years.” — Andrew Beer (57:10)
• “We all agree that some dispersion is good, but too much of it is going to create too much fuss for us understanding what’s going on.” — Nick Baltas (59:29)
• “By the time you think you actually have a statistical point of view, then the universe have changed.” — Yoav Git (64:14)

Key Timestamps

| Time | Segment Description | |----------|----------------------------------------------------------------------------| | 03:16 | Katie Kaminski introduces 2025 dispersion, market selection, speed, and vol | | 08:41 | Mark Rzamszimski on the peril of mid-speed trend strategies | | 13:54 | Jim Kassan on the unprecedented wave in "non-correlated assets" | | 19:16 | Rob Carver cautions on perceived vs. structural uncorrelation | | 25:12 | Jim Kassan details market structure effects (vol compression/dispersion) | | 31:16 | Nick Baltas on return dispersion as challenge/opportunity | | 38:53 | Katie Kaminski on behavioral investor pitfalls in dispersion | | 41:08 | Andrew Beer: "very, very, very few circumstances where you can say it’s obvious"| | 47:36 | Rich Brennan explores never-obvious model design: always trade-offs | | 57:10 | Andrew Beer on unpredictability and narrative challenges in systematic investing| | 62:05 | Rob Carver lays out the statistics of manager evaluation | | 64:14 | Yoav Git on moving targets in manager/process evaluation | | 69:54 | Yoav Git on the importance of fee alignment in manager selection |

Wrap-up

The first part of this annual group roundtable captures both the technical and “human” complexities of systematic investing in an evolving macro and industry context. Dispersion—in returns, model design, and investor objectives—has been the story of 2025, raising both risks and opportunities for investors, managers, and allocators alike. Education, narrative clarity, and open dialogue emerge as prerequisites for robust portfolio construction and sector growth. The conversation will continue in Part 2, including their “outrageous predictions” for 2026.

For further exploration, visit Top Traders Unplugged.