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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SI156: The Case for Buying at All-Time Highs ft. Moritz Seibert
SI155: How to Create the Perfect Backtest ft. Richard Brennan
SI154: Defining 'Outliers' from a Trend Follower's Perspective ft. Richard Brennan
SI153: Being Aware of Known & Unknown Risks ft. Mark Rzepczynski
SI152: Love Your Rules, But Not Your Positions ft. Jerry Parker
SI151 Long-Term Profitability vs Short-Term Luck ft. Moritz Seibert
SI150: Extracting Edges from the Market ft. Richard Brennan
SI149: Model Anxiety & Algorithm Aversion ft. Mark Rzepczynski
SI148: The Importance of Capturing A Few Large Trends ft. Jerry Parker
SI147: The Perfect Exit Strategy ft. Moritz Seibert
SI146: The Trend Following Mindset ft. Rob Carver
SI145: The 3 D's of Inflation ft. Mark Rzepczynski
SI144: Why Single Stocks Should Matter to CTAs ft. Jerry Parker
SI143: How Decentralised Is Bitcoin? ft. Eric Crittenden
TTU115: Building a Bulletproof Portfolio with Jason Buck of Mutiny Fund
SI142: How Decentralised Is Bitcoin Really? ft. Rob Carver
SI141: Aligning 'Operation Tempo' with your Trading Personality ft. Mark Rzepcyznski
SI140: Down Markets Are Often a Treasure to Trend Followers ft. Jerry Parker
SI139: How to Beat Unpredictable Markets ft. Moritz Seibert
SI138: The 'Holy Trinity' of Security Selection ft. Rob Carver
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