Today, we welcome Katy Kaminiski back to the show as we reflect on her entry into the trend following space and what she has learned on her systematic journey. We also discuss different ways of allocating risk in portfolio construction and why Katy “loves skewness”, why preparing for pain can actually lead to better decisions as an investor and how changes in the global macro environment takes time to manifest in trends. Lastly, we discuss what we are both excited and nervous for in 2024.

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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

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Episode TimeStamps:

00:50 - What has been on our radar recently?

03:03 - When are trends coming to an end?

06:24 - Industry performance update

07:31 - How did Katy end up in the trend following industry?

11:19 - What attracted her to the industry?

12:40 - What Katy has learned from being an allocator

15:44 - Risk variations in portfolio construction

20:21 - What drives the biggest dispersion?

21:54 - Understanding risk in your portfolio

24:05 - Constant vol targeting - just a phase?

25:25 - The importance of skewness

31:06 - Mind the timeframe

34:57 - Preparing for pain ahead of time (MAN Paper)

38:15 - No pain, no gain...

43:28 - Economic trend (AQR Paper)

47:33 - Dealing with a world in disruption

50:48 - Excitement and worries about 2024

57:05 - What is up for next episode?

Resources discussed in this Episode:

• LINK SI281: History Shows What to Expect from Trend-Following When Rates Are Being Cut
• LINK: Insights from AlphaSimplex

Copyright © 2024 – CMC AG – All Rights Reserved

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PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:

1. eBooks that cover key topics that you need to know about

In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here

2. Daily Trend Barometer and Market Score

One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here

3. Other Resources that can help you

And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here

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