Key Takeaways
- • Rob Carver said he would "100% sell" the Simplify Managed Futures Strategy ETF (ticker: CTA), the second-largest fund in its category, after it reportedly narrowed from over 50 global markets to an energy-only portfolio with no short positions following the alleged removal of its subadvisor.
- • Carver's core argument is that diversification is the mechanism that makes trend following viable, so a product that narrows its mandate stops being the exposure investors believed they owned.
- • Carver recommends averaging three forecast-weight fitting approaches (individual, asset-class, and global), allocating roughly a third of risk capital to each, though he expects only marginal changes to his own results.
- • Carver argues discretion should be confined to entry decisions, citing a base rate that roughly 95% of retail traders lose money, and that exits are the harder skill.
- • Carver warned against agentic AI in quant workflows after an AI code review introduced a bug that would have deleted all short positions.
Summary
Rob Carver, the systematic trading strategist and author, has warned investors in the Simplify Managed Futures Strategy ETF (CTA). Speaking on Top Traders Unplugged with host Niels Kaastrup-Larsen, Carver said the fund appears to have narrowed from over 50 global markets to effectively an energy-only portfolio with no short positions, following the alleged removal of its subadvisor. He cited a Seeking Alpha account as his sole source for these changes and said he would sell the fund outright if he held it for diversified trend exposure. Niels noted the subadvisor had appeared on the podcast only weeks earlier without signaling any change, and argued the shift should have been communicated in advance. He also observed that the energy-focused pivot has so far performed well for investors despite a sharp selloff along the way.
Carver framed the episode as a governance issue for rules-based products. Drawing on his AHL experience, he said investors refused to allocate meaningful capital to a new strategy unless it offered diversified trend following, and in an ETF wrapper the mandate can change quickly. He extended the point to quant equity, discussing a Man Group Insights paper on the 2018–2020 "quant winter," which found quant equity managers increasingly differentiated but prone to converging during stress.
On fixed income, Carver flagged the Norwegian Sovereign Wealth Fund's proposal to reduce government debt from 70% to 50% of its bond portfolio, noting that bonds are roughly a quarter of the fund's total, so the change equals about 5% at the total-portfolio level, or roughly $100 billion on a fund above $2 trillion. He described a $6 billion Treasury buyback in the 10-to-20-year sector as small relative to the market. Carver's own strategy is up roughly 7.5% year-to-date and short US 10-year and Korean 10-year bonds, while the BTOP 50 index was up 12.42% year-to-date.
On forecast weights, Carver said his blog research found that fitting each instrument individually overfits, asset-class fitting needs sufficient instruments, and global fitting works well. He now recommends averaging all three approaches, expecting a correlation of roughly 0.98–0.99 with his current method. On discretion, he will detail in his forthcoming book, The Art and Science of Trading (out December 1), that judgment should be limited to entry decisions, with exits rule-based unless a manager proves statistically significant exit skill.
Carver also cautioned on AI. A recent AI review of his research code found a serious bug but introduced a larger one that would have deleted all short positions. He said AI-assisted work is acceptable if carefully checked but expressed concern about agentic setups in which AI writes code for AI.
Carver framed the episode as a governance issue for rules-based products. Drawing on his AHL experience, he said investors refused to allocate meaningful capital to a new strategy unless it offered diversified trend following, and in an ETF wrapper the mandate can change quickly. He extended the point to quant equity, discussing a Man Group Insights paper on the 2018–2020 "quant winter," which found quant equity managers increasingly differentiated but prone to converging during stress.
On fixed income, Carver flagged the Norwegian Sovereign Wealth Fund's proposal to reduce government debt from 70% to 50% of its bond portfolio, noting that bonds are roughly a quarter of the fund's total, so the change equals about 5% at the total-portfolio level, or roughly $100 billion on a fund above $2 trillion. He described a $6 billion Treasury buyback in the 10-to-20-year sector as small relative to the market. Carver's own strategy is up roughly 7.5% year-to-date and short US 10-year and Korean 10-year bonds, while the BTOP 50 index was up 12.42% year-to-date.
On forecast weights, Carver said his blog research found that fitting each instrument individually overfits, asset-class fitting needs sufficient instruments, and global fitting works well. He now recommends averaging all three approaches, expecting a correlation of roughly 0.98–0.99 with his current method. On discretion, he will detail in his forthcoming book, The Art and Science of Trading (out December 1), that judgment should be limited to entry decisions, with exits rule-based unless a manager proves statistically significant exit skill.
Carver also cautioned on AI. A recent AI review of his research code found a serious bug but introduced a larger one that would have deleted all short positions. He said AI-assisted work is acceptable if carefully checked but expressed concern about agentic setups in which AI writes code for AI.
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