Turtle Talk : Episode 012

Episode 012 is live. Rich Brennan, Jerry Parker, and Adam Havryliv go it alone this month. No guests, no filter, just three classic trend followers who have never been happier with their systems doing what they do best: going deep on the markets, the myths, and the philosophy that drives everything they do.

February was a standout month for classic trend following. The Classic Trend Index up 5.3% for the month, 14.6% for the quarter, and 10.5% year to date. But as the trio make clear, great results are not a forecast. They are the reward for discipline that was built up over many months before the opportunity arrived. And with March throwing volatility across metals, equities, and energy, the conversation couldn’t be more timely.

Adam opens with the February numbers, walking through what the Classic Trend Index table really tells you, and what it doesn’t. Jerry and Rich unpack the difference between looking at singular monthly statistics versus rolling 12-month returns, and why the latter is a far more honest lens for a style of trading built on patience and outlier hunting.

From there the episode moves into live market action. Jerry brings aluminium and bean oil, two markets that quietly demonstrate one of classic trend following’s core truths: correlation is not destiny. Markets that look similar on paper can produce dramatically different moves when conditions shift. Adam follows with a stunning comparison between European and US natural gas. European gas nearly doubling in a matter of days on Middle East and Russia supply concerns, while US gas gave back every gain. Brent crude breaks out above the 200-day moving average and pushes toward $114. The message is clear. When supply chains fracture, correlations go out the window, and that is precisely where the opportunity lives for those trading enough markets to be in the right place.

The Turtle Tidbits segment delivers two of the richest discussions the podcast has produced. Jerry takes on the question of diversification, specifically a paper arguing that concentrated portfolios focused on financials, bonds, currencies and gold deliver superior crisis alpha during stock selloffs. His response is characteristically direct: that is solving for the wrong objective entirely. Classic trend followers do not diversify to lower volatility or to provide a hedge for a traditional portfolio. They diversify to maximise the number of chances they have to catch an outlier trade. The more markets you trade, the more lottery tickets you hold. Trimming the universe to improve crisis alpha is trading away the very thing that makes the strategy exceptional.

Adam’s topic lands with the weight of the current moment behind it. Equity markets are objectively expensive. The Buffett Indicator, the Shiller CAPE, Price-to-Sales ratios, and Yield Curve models are all pointing in the same direction. With energy prices exploding and a potential regime shift playing out in real time, Adam makes the case that passive long equity investing may be entering a period of serious pain. He draws the line from the 1973–74 oil crisis, where the S&P fell 48%, through to 2022, and argues that what trend following offers in these environments is not just protection, but participation in the very drivers of the crisis. Long energy, short equities and bonds, profits from cross-asset trends firing on all cylinders. And none of it requires a forecast.

Jerry closes out with Myth Busters, and delivers two for the price of one.

The first myth: that diversification is about lowering volatility. For classic trend followers, it never was. The purpose of trading across many markets is to find the outliers. Obsessing over correlation between markets smooths the equity curve at the cost of the very trades that define long-term performance.

The second myth is the one that cuts deepest. Many in the systematic space believe that using ATR to dynamically resize positions, reducing exposure as volatility expands, is an extension of what Richard Dennis taught. It is not. Dennis used ATR to normalise position sizing at entry, ensuring each trade risked approximately 1% of equity and that losses across all markets looked the same. He never intended for winning positions to be cut down as they moved in your favour. That innovation came later, from managers solving for Sharpe rather than returns, and it achieves exactly what you would expect: it systematically eliminates the outliers that classic trend following was built to capture.

It is a conversation worth having again and again, because as Jerry says, these issues are the heart of what they do.