SI409: Why Trend Following Is Changing Faster Than Ever ft. Yoav Git

Systematic trend following faces significant shifts as market structures evolve, particularly with the rise of retail-driven zero-day-to-expiry options trading. This surge in options volume concentrates gamma at the money, fostering counter-trend behavior and increasing mean reversion in equity indices. While index-based strategies remain foundational, the decline in index-level volatility relative to single-stock dispersion necessitates a more granular approach to risk. Thematic investing and narrative-driven momentum offer alternative alpha sources, though they require careful construction to avoid overlap with traditional industry factors. As machine learning accelerates the processing of news and narrative data, the traditional underreaction to information is diminishing, forcing practitioners to adapt their models to these faster, more individualized market dynamics. Diversifying beyond index futures into single-stock futures and thematic baskets provides a necessary edge in an increasingly complex and idiosyncratic investment landscape.