Alan Dunne, who runs a fund that allocates to trend-following managers, joins Niels Kaastrup-Larsen for the weekly Systematic Investor conversation. They cover the rare US intervention in the yen, two listener questions, Kevin Warsh's first months as Fed chair, the three fractures Mr. Dunne says have broken the old macro regime, how trend following has actually performed this decade, and why AQR and GMO can run the same forecasting exercise on US equities and arrive at opposite answers.
Guest: Alan Dunne, who runs a fund allocating to trend-following managers, co-hosts this series and started his career in foreign exchange
Host: Niels Kaastrup-Larsen
Published: 28 August 2026 on the Top Traders Unplugged feed · recorded 27 August 2026
Apple Podcasts | 1 hr 7 min
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Key Takeaways
The US bought yen for the first time since 1998, and the tell was the bond market
Mr. Dunne read it as "this real sensitivity about rising yields and a real reluctance to allow a big asset holder to sell their Treasuries"
The US sold euros to fund it and did not tell the ECB in advance, according to the Financial Times
Warsh's communication problem is not forward guidance, it is that nobody can see the reaction function
"the market doesn't have a sense on the Fed's what's called reaction function"
After the July meeting "the curve steepened, the dollar sold, gold rose, all of these classic signs of reduced credibility"
Yields near 5% may be normal rather than a warning
"we're just normalizing back to where they were in the 1990s and the 2000s and the 2010s was the aberration"
What is pushing yields up is real yields, not inflation expectations, which are still around two and a quarter to two and a half percent
The last two weeks moved the US a step closer to fiscal dominance
With debt-to-GDP above 100%, another recession-driven jump in debt "could be the tipping point of fiscal dominance"
Three fractures have replaced the old regime: sticky inflation, debt sustainability, and eroding institutional norms
All three point the same way for portfolios — bonds are a less reliable diversifier and gold and Bitcoin benefit
Trend following has annualized nearly 7.5% this decade against just under 2% in the last one
And it has done it while equities annualized over 15%, better than the 13.5% of the previous decade
Trend's correlation to bonds has flipped from plus 0.33 to minus 0.37
Its correlation to equities went from about 0.2 to minus 0.16 over the same period
The gains cluster around the moments the fractures bite, not around equity drawdowns
April to October 2023: "bonds were down 20% and trend was up 9%", with equities up 3
AQR and GMO price the same US equity market at 3.9% real and minus 7.2% real
The gap is one assumption — GMO mean-reverts profit margins as well as valuations
With cash at 3.5% to 4%, an active strategy needs very little skill to compete
A 0.1 Sharpe at 12 vol still produces about 5%; a 0.3 Sharpe puts it over 7%
Short-term trend has degraded, but that has not made medium and slow trend crowded
The research Mr. Dunne cites found the industry is not large relative to futures market liquidity
The US Bought Yen for the First Time Since 1998, and the Signal Was About Treasuries
The two opened on the weather. Mr. Dunne reported a long spell of good sunshine in Ireland now turned dark, dreary and wet in Dublin; Mr. Kaastrup-Larsen said Switzerland is under a very severe drought, with a notice in his mailbox banning any watering of gardens.
Mr. Dunne's radar item was the US intervention in the yen at the end of July, which he said is close to unprecedented for Washington. "They intervene, I think in 2011, but the last time they bought the Japanese yen was back in 1998."
Two features of the operation stood out to him
The US sold euros rather than dollars to buy the yen, which he called an interesting twist
It announced that if Japan continued to buy yen, Japan could tap the Fed's FIMA facility to borrow dollars for further intervention
The point of the whole exercise, he said, was the bond market rather than the currency: the US has "this real sensitivity about rising yields and a real reluctance to allow a big asset holder to sell their Treasuries"
He put it alongside Scott Bessent's announcement the week before last as evidence of heightened concern about the US bond market
The Financial Times reported that the US did not tell Europe or the ECB in advance of the euro sales, which Mr. Dunne called unusual and consistent with an administration acting in its own interests without coordinating with Europeans
Mr. Kaastrup-Larsen said there is more to it than the level of the currency, and pointed at Japanese industrial production
"Japan has actually turned out to become really the only place the US can go to get some of their military stuff built in time for it to be used and to a standard that is up to scratch"
He mentioned he was recording later the same day with Cem and Marvin Barth for the Global Macro series and expected the subject to come up there
Mr. Dunne's warning came from the last time this was tried. He said the operation was positioned as the US helping out a friend in Japan, which he called a very superficial reading, and that "with FX markets, a case of careful what you wish for"
He started his career in foreign exchange and remembers 1998 clearly: the yen stopped selling off and stabilized, "but then the Fed cut rates and dollar yen had a huge collapse in about four days"
He is not forecasting a repeat, but said pushing a currency one way and then the other has second-order effects nobody can see in advance
Mr. Kaastrup-Larsen noted the initial price move has largely disappeared again
A $16.68 Billion Guessing Game, and a Castle in Waterford
The host's own radar item was a game rather than a market. He borrowed it from a Danish podcast he listens to, where the two hosts have to guess what a number in the news refers to, and put it to his co-host unrehearsed.
The number was $16.68 billion. Mr. Dunne guessed at something debt-related, noting the 30 trillion figure in the news on the debt side, then tried LinkedIn before conceding "16.68 seems low"
It is the proposed settlement between 29 states and Mark Zuckerberg's Meta, which Mr. Kaastrup-Larsen said also includes significant changes to how Instagram and Facebook interact with children and teens
He tied it to his co-host's own family, saying Mr. Dunne has a young daughter and would welcome it
He set the figure against the 60 billion Zuckerberg spent on the Metaverse, "which seems to have been completely a waste of time and money"
Mr. Dunne was less sure: "I'm sure they've learned something."
Mr. Dunne offered a follow-up question of his own — Zuckerberg has bought a castle in Waterford, in Ireland, though he does not know the price. "Probably not 16 billion anyway."
Mr. Kaastrup-Larsen said he is not going to repeat the experiment on a co-host, however funny the two Danish hosts are when they try it
A Neutral Trend Barometer, and a Month Shaped by Two Interventions
The trend barometer stood at 43 as of the previous day, which the host called pretty neutral
They were recording on the Thursday, with about two and a half trading days left in August
August looked respectable despite two moves that ran against the prevailing trends. Mr. Kaastrup-Larsen counted the yen intervention in late July and what he called the intervention in the US bond market as two of a kind, both of which would have hurt performance
Bitcoin also moved 25% or 30% in the last couple of weeks, which he tied to White House policy rather than to manipulation, and said he could not judge its effect because his side does not trade it
Mr. Dunne said the trend in US bond yields was not what people assume: yields were flat to slightly lower over the month, while yields outside the US rose a bit
The gains came from commodities. Across the managers he allocates to, he saw zinc, wheat and lean hogs, with copper rising again
Currencies were choppy beyond the yen, and both the euro move on the Bessent bond intervention and gold were part of a weaker dollar trade that would have been negative for trend followers
"it's always a very encouraging sign when you see stronger trends in the commodity markets"
July brought a decent amount of dispersion between managers, with some trading credit on non-trend signals doing better
On dispersion in the US CTA ETFs, the host's worry is the buyer, not the product. He said some of the moves have been surprisingly large, and that most people who buy them probably do not know what is behind them, so they have less chance of knowing what to expect
Mr. Dunne put much of the difference down to mandate, with "some managers not trading the full set of exact asset class, others trading a very narrow set"
The Month in Numbers
As of Tuesday 25 August for the managed futures indices, and the previous night's close for the equity indices:
BTOP50 up 2.14% in August, up 10.26% so far this year
SG CTA up 1.34% in August, up 9.55% for the year
SG Trend up 1.19% in August, up 9.19% for the year
The Short-Term Traders Index up 1.69% in August and up 4.93% for the year, which the host said is coming back a little on that front
MSCI World up 2.68% for the month and up 13.49% for the year; the same index excluding the US and Canada up 2.54% and up 14.85%
The S&P 500 total return index up 2.58% in August and up 12.97% for the year, which the host called a very respectable return
The US aggregate bond index was up on both the month and the year, and Mr. Kaastrup-Larsen's summary of it was that there is not a lot of real return in fixed income so far this year
A Listener Asks What Warsh Will Do With the Balance Sheet
The first question came in on 17 July, from a listener named Jason, and had been held over because Mr. Dunne had not been on the show since. Jason's framing was that Warsh has made it known he is not a fan of the Fed's balance sheet, that a lingering balance sheet acts too much like fiscal policy rather than the classic front-end-only monetary policy the Fed performed before Bernanke, and that price discovery beyond the overnight rate should be left to free markets. His question was how Warsh plans to lower mortgage rates if unwinding the balance sheet floods the market with new supply. Mr. Kaastrup-Larsen handed it over with "Well, that's an easy question, right, Alan?"
Mr. Dunne's answer was that nobody knows, including him. Warsh arrived talking about the excessive balance sheet, and his suggestion was that "the Fed was complicit in the Treasury's ballooning deficit and debt by engaging in QE" — but no framework has followed
He has set up task forces, and Mr. Dunne's sense is that no decisions come before their reports do
The timing argument cuts against a balance sheet reduction anyway
Normalizing the balance sheet would increase the supply of bonds in the market at exactly the moment the Treasury is trying to increase demand, reduce its own supply and shift issuance into Treasury bills
That does not look likely, he said, "for a Fed and for a Fed chair who's having regular phone calls with the President"
"we don't know what Kevin Warsh's latest thinking on any of these things are since he became Fed chair", so he is skeptical of much balance sheet reduction in the short term, and certainly not before the task forces report
Mr. Kaastrup-Larsen called that diplomatic and correct at this stage, and flagged that the policymakers and their proteges would come up again later in the conversation
A Listener Asks Whether Slow Trend Is Now the Crowded Trade
The second listener asked two things: whether the structural degradation of short-term trend has made medium and slow trend more crowded, and therefore capable of larger synchronized exits when signals flip; and which markets show the biggest gap between the macro narrative and what systematic positioning actually says.
On crowding, Mr. Dunne said the research points the other way. The paper he and the host discussed last time, from researchers at or associated with CFM, found degradation in short-term trend following in some contracts but not all, and he said the difficulty of short-term trend has been known for a while
Some managers keep it for the fast reactivity and the convexity it gives as markets turn defensive
He does not see a recent big shift into medium and long-term trend, because that has been the pattern for a while already
The paper also killed the size explanation: "the size of the CTA industry relative to the liquidity of the futures market is not so large that there is a concern around that"
Mr. Kaastrup-Larsen disagreed on one half of it. He does not think there is really such a thing as short-term trend following, since the managers he knows in that space are not trend followers, and he suspects assets under management did play a role
He has seen managers with a strong narrative attract a lot of money, after which the returns stopped materializing
"when I see short term managers managing even 2, 3, 4 plus billion dollars, I'm really curious how do they do that successfully without it becoming just way too expensive to execute"
He is not concerned about liquidity or execution cost in medium and long-term trend, where he agrees the industry has not grown much
On the narrative gap, Mr. Dunne's candidate was the dollar. The macro narrative is arguably more pessimistic on the dollar than the positioning, since CTAs are generally still net long, though they may have pared back recently
In fixed income he sees positioning and narrative in line: the trend is for higher yields, for all the reasons people are worried about
The host's objection is to the whole genre of positioning notes. He said it has become normal over the last five years to receive emails from big investment houses saying "CTAs are getting ready to buy $70 billion worth of equities if the S&P closes above this level for two days in a row", and that it is crazy to pay attention to them
Even a longer-term manager can change positioning quickly, as many did on the yen after the intervention
His preferred alternative is to "just follow the price and keep our heads down"
Warsh's Problem Is the Reaction Function, Not Forward Guidance
The conversation moved to Fed communication, with the note that they were recording straight into Jackson Hole and that Warsh was scheduled to speak the next day.
After his first press conference Warsh said the Fed is committed to price stability and hinted at less communication and less guidance, and he carried that into a second press conference whose performance Mr. Dunne said generally scored poorly
The market split into two camps: one saying the Fed had spoon-fed markets for too long and this is free markets working, the other saying that is not how it works. Mr. Dunne is in the second camp
His objection is not about forward guidance, which he agrees was not necessarily a good thing. It is that "the market doesn't have a sense on the Fed's what's called reaction function"
There is an AI boom that is inflationary in the short term and may be disinflationary later, and Warsh has raised the question of the appropriate policy without saying how the Fed thinks about it
The same goes for the supply-side issues related to Iran
On Warsh's line that the market should play the ball, not the referee, Mr. Dunne said the history does not support it. Wall Street has always tried to infer what the Fed is doing — even before the 1990s, when there was no announcement at all, the banks employed Fed watchers to read the open market operations
Liquidity matters for the economy and for asset markets, so "don't ignore the Fed. It doesn't really make any sense."
Warsh also pointed to the rise in bond yields since the previous meeting as the market doing the Fed's job. Mr. Dunne noted that some of that rise happened because the market read his own press conference as hawkish, which is the reaction function at work
Why it matters is credibility. The Fed has missed its inflation target for five years, and Warsh came in saying he would do a lot without backing it with action
After the July FOMC meeting "the curve steepened, the dollar sold, gold rose, all of these classic signs of reduced credibility"
If the pattern continues, Mr. Dunne expects the minutes to become the more important place to read the Fed
He is revising his own view of where Warsh sits: "maybe he is more dovish than he's letting on and he doesn't want to raise rates"
That would make Waller and Williams more influential, given three members are in the camp of raising rates
He sees the possibility of distinct factions forming inside the Fed, with Trump stacking it with his own appointees and Lisa Cook under renewed pressure again
He would like Warsh to give clarity the next day, doubts he will, and says the credibility question hangs over the Fed until he does
Druckenmiller, Bessent, and the Case That 5% Is Just Normal
Mr. Kaastrup-Larsen laid out the personal history behind the policy fight. Bessent and Warsh used to work together, and both worked with Stanley Druckenmiller, who published a Wall Street Journal op-ed a few days earlier — admittedly helped by AI, the host noted — arguing that the market should decide where rates are and objecting to the intervention
The irony he drew out: "Scott Bessent worked for George Soros when they went against the central bank and broke the British pound", and is now the one telling markets not to go against the authorities
He also cited two writers on the same theme: Pippa Malmgren, a recent guest, whose latest writing argues "Washington is deliberately changing the regime", and Ed Yardeni, a previous guest, whose morning note said "maybe the bond market isn't warning us at all" and is simply putting yields where fundamentals say they should be
Mr. Dunne agreed, and said that was Druckenmiller's point too. Growth is strongish rather than mega strong and inflation has been above target for a while, so "10-year yield just heading up to 5% is maybe not that unusual"
"we're just normalizing back to where they were in the 1990s and the 2000s and the 2010s was the aberration"
The debt is what makes the same yield a different problem. Debt service costs rise as bonds issued at lower yields roll off, which is the impetus to issue more at shorter maturities — and that in turn pressures Warsh not to raise rates, because a higher policy rate feeds directly into the cost
He noted that "it's not like inflation expectations have skyrocketed" — they are still around two and a quarter to two and a half percent. What is pushing yields up is real yields, "which reflects greater competition for capital because governments have greater deficits and we've got this huge capex spending related to AI"
Three Fractures in the Macro Regime
Mr. Dunne took the framework from a paper he co-wrote last year, the Regime Adaptive Portfolio, which compared the last four decades of low inflation, low rates and low volatility in both — the great moderation, globalization, neoliberalism — with the period now.
Fracture one is higher and stickier inflation, the one that gets talked about most, and the reason bonds and equities have become more correlated
He said most guests on the podcast have alluded to it, and that it has been a very pronounced change this decade on the Allocator series side
Fracture two is debt sustainability arriving at the same time as high equity valuations. The concern shows up and goes away: it appeared in 2023 over US debt issuance, and Janet Yellen's controversial change to the quarterly refunding took it off the table; Bessent is tinkering with the market for the same reason now
The US economy is so levered to the US equity market that an equity decline would feed back into the debt
Every recession over the last 20 years has produced a jump in debt, because revenues fall and some fiscal support arrives
With debt-to-GDP already above 100%, another one "could be the tipping point of fiscal dominance"
The related risk is financial repression — holding rates below where they should be to manage debt service — which he said is effectively what Bessent is doing
Fracture three is the fraying institutional order, visible in the pressure on the Fed, the active tinkering with bond issuance, threats to central bank independence, and the loss of any conservative fiscal policy: "there's no appetite to deal with the fiscal debt problem"
All three point the same way for a portfolio. Sticky inflation and debt concerns both make bonds a less reliable diversifier for equities; the combination of debt worry and eroding norms makes unorthodox policies like active bond buybacks more likely; and the whole package is positive for gold and Bitcoin
"what we've seen in the last couple of weeks is definitely one step closer to fiscal dominance", something talked about for a while that he thinks is now close to reality
Mr. Kaastrup-Larsen joked that life would be easier if only one had a Regime Adaptive Portfolio, and added deglobalization to the list — central banks and governments are more in it for themselves than they used to be
Trend's Decade: Nearly 7.5% a Year, and Negatively Correlated to Bonds
Mr. Kaastrup-Larsen framed the question himself: part of what made the 2010s hard for trend followers, he said, was a high degree of coordinated and successful central bank policy, which produced very low interest rates and low inflation — and that the inflation was stable is the key part. That has changed. Asked what the change has meant, Mr. Dunne went to the record, two-thirds of the way through the decade.
SG Trend has annualized nearly 7.5% this decade to date, against just under 2% in the previous decade
The bond market did the work. US bonds annualized about 7% last decade and have been negative in this one, with yields starting at 50 basis points and rising to close to 5%
The surprise is equities. The last decade was supposed to be the good one, at 13.5% annualized, but this decade has been better still at over 15%
The correlations moved with the regime
Bond-equity correlation is plus 0.3 this decade against minus 0.5 last decade
Equities and trend were about plus 0.2 last decade and are minus 0.16 now
Bonds and trend were plus 0.33 last decade and are minus 0.37 this one
The Gains Cluster Around the Moments the Fractures Bite
Mr. Dunne split the period from 2020 to today and found the strong stretches line up with the fractures
2021, when the inflation episode started to pick up
2022, sticky inflation with bonds and equities selling off together — the blowout year, and where the bulk of the decade's gains sit at the index level
The second big bond sell-off in 2023, which he said people nearly forget: between April and October "bonds were down 20% and trend was up 9%", with equities up 3, during the debt sustainability scare that Yellen's refunding announcement ended
The last 12 to 15 months, on the debasement trade and the run-up in precious metals, alongside AI as the other huge theme
The decade's very strong performance still included a period where a lot of managers got close to their largest drawdown
Trend has done well when bonds have done badly, not when equities have. Mr. Dunne said that is why the performance may not have drawn as much attention: outside 2022, equity holders have not needed the diversification
"the reality is equity holders haven't needed diversification"
What it demonstrates instead is "its more adaptive nature, its ability to capitalize on new themes emerging in markets"
"Debt sustainability wasn't a theme in markets in the last decade, it is now, and trend followers have been capturing that."
The sticky inflation theme has not been constant either. It was interrupted by "what was called the immaculate disinflation" after the Fed tightened, when inflation seemed to come down before stalling at a higher base, and by hopes of a disinflationary impact from AI — but "inflation has stayed above target for five years"
The open question is 5% on the US 10-year. That looks like the level Bessent is worried about, and the response so far has followed the October 2023 playbook
If yields break higher instead, Mr. Dunne asked "would that be the straw that breaks the camel back for the equity market" — the environment where the portfolio case for trend would really show
Mr. Kaastrup-Larsen's counterpoint is that this has all happened while equities were strong: "That's part of the attraction that we don't need a crisis to make money"
The commodity markets, which he said most investors cannot access themselves with any success, have delivered at different times through the decade
He believes markets are moving more independently of each other, with lower correlation inside sectors, which is generally good for trend, and put it partly down to deglobalization and US policy toward other countries
His example was the US and Canada, with a joke that Lake Ontario is likely to be renamed Lake America soon, and his conclusion that this should at least raise the question in investment committees of whether a portfolio needs something it has never held
AQR Says 3.9% Real From US Equities. GMO Says Minus 7.2%
Mr. Dunne turned to AQR's latest capital market assumptions, the periodic long-run forecasts that most pension funds use as the starting point for a strategic asset allocation.
There are two ways to build one: extrapolate long-run history, or work from a yield — the earnings yield, which is the inverse of the price-earnings ratio, plus assumptions for earnings growth and inflation
Bonds are the easy case: "if the 10 year yield is 5%, then that's a pretty good proxy for what you can expect to receive if you bought a bond and held it for maturity over the next 10 years"
Equities have far more moving parts
AQR's answer: "US equities are priced to deliver about 3.9% real over the next five to 10 years", a nominal 6.3%, which Mr. Dunne called sensible and well below the double-digit returns of this decade and the last
GMO's answer, in what it calls a normal interest rate environment, is that "they're forecasting a negative real return of 7.2%, negative 7.2% for US large"
The whole gap is one assumption. Mean reversion is central to how GMO invests, so it reverts profit margins as well as valuations; AQR holds valuations unchanged and backs out the return from there
On the fixed income side the two agree, both putting real cash at 1.4%, which Mr. Dunne translated to about three and a half to 4% nominal over the next decade
"something that's supposed to be kind of nearly scientific in approach can yield such massively different outcomes"
Taken at face value, GMO's numbers argue for exiting US equities entirely, with international large cap negative too; only Japan small cap and international deep value come out positive
At 4% Cash, an Active Strategy Needs Very Little Skill to Compete
On commodities, AQR cannot run a yield analysis because there is no yield, so it uses the long-run average return of an equally weighted basket of commodity futures — a 3% geometric return over cash, which Mr. Dunne put at about 6.8% nominal and called attractive
On active strategies, he flagged the conflict himself: AQR runs a lot of them, which has to be kept in mind when reading its analysis. Its baseline assumption for a net Sharpe ratio was around 0.7, which he said seems high
The arithmetic works even if you assume much less. A pessimistic 0.1 Sharpe at 12 vol still produces about a 5% return; 0.3 would put it over 7%
The reason is the cash rate. If cash is 3.5% to 4% over the next decade rather than near zero, "It doesn't take much in terms of Sharpe ratio for these strategies to be relatively competitive versus traditional asset classes"
And that comes with negative correlation to both bonds and equities
Which raises his own question about allocations. People run these long-term forecasts and accept the output, then behave as though the past will repeat: "equities are going to deliver 7%, but really they believe that equities are going to deliver 12 to 15% because that's the way it's been for the last while"
Mr. Kaastrup-Larsen added the investor's side of the rate argument, after joking that any listener who is negative on trend following is on the wrong podcast. A trend fund uses little of its cash, so "the higher the interest rates go, the more you benefit as well, because we simply don't use that much of the cash"
Replacing part of a bond allocation with trend therefore costs less interest income than people assume, though it means taking a different active risk
Lost Decades Come After the Best Ones
Mr. Kaastrup-Larsen raised GMO's lost decades chart, which he said counts seven distinct periods averaging 11 years — more common than people think
He noted that managers who have been around a long time have probably never had a full 10-year period with no return in their strategy, though some have come close
Mr. Dunne's addition is the setup for those periods: the paper points out that the flat-to-negative stretches for the 60/40 "have all come after periods of exceptionally strong returns"
Last decade was very strong for the 60/40, and this one less so because of bonds, but the 17-year period in aggregate has been very strong
Asked what stands out, Mr. Dunne came back to the regime: inflation first, then debt sustainability, and "Now we're seeing debt sustainability becoming a new theme and then at some point does it infect the equity market?"
The host's closing argument is about timing rather than forecasting. Long-horizon papers tell people what to own, but "the great thing that trend does is actually in a sense it helps with the timing of it" — a trend follower will not buy something that is going down, so it avoids being years early
He was clear that this is not a claim of perfection: drawdowns come, and studying the strategy is how an investor learns that they are part of how it works
Mr. Dunne's bottom line is that the macro regime has broken in three places rather than one, that the fracture now moving from theory to practice is debt sustainability, and that the open question is whether it reaches the equity market — which is also the scenario in which the negative correlation between trend following and bonds would matter most.
Products, Companies & Tools Mentioned
Meta, Instagram and Facebook (The $16.68 billion proposed settlement with 29 states, which the host said also changes how the platforms interact with children and teens; set against the 60 billion spent on the Metaverse)
SG Trend, SG CTA, BTOP50 and the Short-Term Traders Index (The benchmark set the show reads out each week; SG Trend has annualized nearly 7.5% this decade against just under 2% in the last)
AQR (Its capital market assumptions price US equities at 3.9% real, commodities at 3% over cash, and a baseline net Sharpe for active strategies of about 0.7 — a number Mr. Dunne said seems high, from a firm that runs a lot of active strategies)
GMO (Forecasts minus 7.2% real for US large cap in a normal rate environment, because it mean-reverts profit margins as well as valuations)
CFM (Researchers at or associated with the firm produced the paper on degradation in short-term trend following, which also found the CTA industry is not large relative to futures market liquidity)
US-listed CTA ETFs (A source of large return dispersion, which Mr. Dunne attributed to how wide a set of asset classes each one trades and the host worried buyers do not understand)
Bitcoin and gold (Both moved on US policy — Bitcoin 25% to 30% in a couple of weeks — and both are what Mr. Dunne expects to benefit from financial repression)
Zinc, wheat, lean hogs and copper (The commodity trends that produced August's gains across the managers Mr. Dunne allocates to)
The Fed's FIMA facility (What Japan was told it could tap to borrow dollars if further yen intervention was needed)
Books & Resources Mentioned
The Regime Adaptive Portfolio (The paper Mr. Dunne co-wrote last year, and the source of the three fractures framework)
AQR's capital market assumptions (The forecast set behind the 3.9% real equity number and the active-strategy Sharpe assumptions)
GMO's asset class forecasts, including the lost decades chart (Seven distinct periods averaging 11 years, all of which followed exceptionally strong returns)
The CFM paper on short-term trend degradation (Discussed on Mr. Dunne's previous appearance; found degradation in some contracts but not all, and rejected the industry-size explanation)
Stanley Druckenmiller's Wall Street Journal op-ed (Argues the market should set rates, against the intervention; the host noted it was admittedly helped by AI)
Pippa Malmgren's latest writing (A former guest, on Washington deliberately changing the regime)
Ed Yardeni's note (A previous guest, arguing the bond market may not be warning about anything and is simply pricing fundamentals)
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