Sep 5, 2026 · 1h 14m
A century of trend following meets the 2020 oil squeeze
SI416: 137 Years of Trend: What the Evidence Really Shows ft. Yoav Git
The episode connects long-run evidence for trend following with the implementation risks that can turn commodity futures into extreme markets.
- 1Trend following’s durability rests on diversification, volatility scaling, disciplined risk management, and persistent behavioral forces.
- 2Investor trust depends on transparent communication when strategies change, drawdowns deepen, or human risk overrides interrupt models.
- 3The negative WTI price episode shows how storage limits, inventories, liquidity, and forced rolls can overwhelm conventional commodity assumptions.
Don't miss
Yoav Git explains how storage constraints, inventories, liquidity, and forced rolls helped drive the front WTI contract to a negative price in April 2020.
The brief
Yoav Git and Niels Kaastrup-Larsen begin with a practical question: can a CTA preserve investor trust when drawdowns, strategy changes, or risk overrides challenge its stated identity?
Their discussion separates model signals, discretionary vetoes, execution, and outcomes, arguing that transparency and recordkeeping matter as much as performance statistics.
A century-plus study supports trend following across markets, but the hosts stress that entry points, changing volatility, diversification, and risk-adjusted returns shape what investors believe.
The episode’s sharpest case study is the April 2020 WTI squeeze, when storage constraints, inventories, liquidity, and forced rolls helped push the front contract below zero.
The lesson for commodity trend followers is operational as much as theoretical: contract selection, roll liquidity, experienced implementation, and coordinated risk management can determine outcomes.
What was said on this episode
15 statements · 10 positive · 1 negative · 1 mixed · 3 neutral
Trend following has been consistently effective across asset classes and decades.
“trend following is one of the most consistent across all asset classes and across all decades”
Listen at 33:22
Trend following produced positive returns in every decade from 1880 through 2016.
“Every decade was a positive return from 1880 to 2016.”
Listen at 33:33
Trend following appears effective across inflation regimes, economic cycles, and major wars.
“in any environment, any micro-regime, whether it is in high inflation, low inflation, or whether it's a boom or a bust, even through major wars, Trend following just seems to work.”
Listen at 33:56
Trend following maintained positive performance during the subsequent decade.
“The good news, it held up another positive performance this decade.”
Listen at 35:41
CTAs have been unusually consistent over many years.
“CTA is pretty much the only, not the only, but one of the very few phenomenons that has been super consistent over many years.”
Listen at 39:09
Trend-following performance has deteriorated as markets became more liquid and efficient.
“there has been a decay of performance the markets were a lot more liquids the markets were a little a lot less efficient in the good old in the good old days so one would expect to see you know one would expect to see some deterioration over the years”
Listen at 41:29
Ten years is too short for a reliable statistical judgment about trend following.
“10 years is actually a very short time in terms of making a statistical decision”
Listen at 42:42
Trend-following performance was somewhat lower recently but remained positive.
“variation in performance in the last 10 years versus the historical you can put it over the historical performance a little bit lower yeah that's fine um still positive definitely”
Listen at 43:22
Greater diversification can lower volatility while preserving expected returns and enabling higher leverage.
“the more diversified your portfolio is, you can lower the volatility while keeping the expectations, and then you basically lever things up to get a higher return.”
Listen at 44:10
Over 130 years, less-correlated assets were associated with better performance.
“Over 130 years, the more uncorrelated your assets, the better your performance is.”
Listen at 44:22
Long-term investors should allocate significantly to trend following.
“investors who actually care for long-term performance and they care about allocation for the long-term growth of capital, then CTA and maybe TPA and Claude will help you to do it, will actually allocate quite significantly to trend following.”
Listen at 48:50
Two effects drive trend-following performance.
“There are two effects that drive trend.”
Listen at 50:18
Investor behavior of buying winners contributes to trend-following effects.
“The first one is behavioral, in terms of people buy winners.”
Listen at 50:24
Supply-demand mismatches drive price movements.
“the mismatch between supply and demand is actually what drives prices.”
Listen at 50:47
Delayed price adjustment and autocorrelation help drive trend-following performance.
“the fact that price adjustment takes time, that sort of autocorrelation in the price really drives what trend following works.”
Listen at 50:51
Statements are attributed to the speaker as said on the episode and reflect their view at the time, not PodLume's. They are not advice.
Books & mentions
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