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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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:
Copyright © 2023 – 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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VOL06: Finding True Value in the World of Volatility ft. Benn Eifert
SI173: ‘Trend Following + Nothing’ Part Two ft. Jerry, Moritz, Rob, Mark & Rich
TTU119: The Secret to becoming Richer, Wiser, Happier ft. William Green
SI172: ‘Trend Following + Nothing’ Part One ft. Jerry, Moritz, Rob, Mark & Rich
TTU118: TRILLIONS...The Passive Revolution ft. Robin Wigglesworth
SI171: Machine Learning - Pros & Cons ft. Hari Krishnan
SI170: 'Don’t Try This At Home' ft. Rob Carver
TTU117: Strategic Risk Management ft. Cam Harvey & Rob Carver
SI169: Buying the Dip ft. Richard Brennan
TTU116: In Pursuit of the Perfect Portfolio ft. Steve Foerster
SI168: The Trading Secrets of Trend Followers ft. Mark Rzepczynski
VOL05: Maintaining Liquidity & Cash Efficiency ft. Zed Francis
SI167: The Road to Profits is Bumpy ft. Jerry Parker
VOL04: Profiting from Short-Term Volatility ft. Bastian Bolesta
SI166: Riding the Waves of Volatility ft. Hari Krishnan
VOL03: The Evolution of the VIX ft. Stefan Wintner
SI165: Responsible Investing as a Trend Follower ft. Rob Carver
VOL02: Past, Present, & Future Volatility ft. Noel Smith
SI164: Compounding - The 8th Wonder of the World ft. Richard Brennan
VOL01: The New Nature of Stock Market Movements ft. Hari Krishnan
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