Debunking Trend Following’s Dead Theories with Kathryn Kaminski

Is trend following too big? Can managed futures do it without the bond tailwind they’ve had for 30 years? Does globalization take away diversification? We’re debunking these trend following myths/truths (?) in today’s podcast – and today’s guest is ideal to take us through the ins-and-outs of these trend following theories. We’re joined by Kathryn Kaminski, PHD, CAIA, and Chief Research Strategist & Portfolio Manager at AlphaSimplex who has written the literal book and research papers on these theories and more. We’re also talking with Kathryn about AlphaSimplex, COVID puppies, the Nashville predators, diversifying across trends,  Dr. Andrew Lo, research papers & books, pure risk premium, crisis alpha, trend following “doesn’t work” theories, alternative data, being an MIT professor, homemade Swedish meatballs, risk/volatility targeting, and being an alternatives person in a stock town.

00:00-01:43 – Intro

01:44-13:18 = An Impressive Background with a touch of Sweden

13:19-35:03 = Alpha Simplex, Trend Models, & Crisis Alpha

35:04-53:19 = Debunking Trend Following’s Dead & Inflation Environments

53:20- 01:09:51 = Risk Targeting & 2020: A year in review

01:09:52-01:13:29 = Favorites

Follow along with Katy on LinkedInand check out the AlphaSimplex website.

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Disclaimer: This podcast is provided for informational purposes only and should not be relied upon as legal, business, or tax advice. All opinions expressed by podcast participants are solely their own opinions and do not necessarily reflect the opinions of RCM Alternatives, their affiliates, or companies featured. Due to industry regulations, participants on this podcast are instructed not to make specific trade recommendations, nor reference past or potential profits. And listeners are reminded that managed futures, commodity trading, and other alternative investments are complex and carry a risk of substantial losses. As such, they are not suitable for all investors. For more information, visit www.rcmalternatives.com/disclaimer