The Meb Faber Show
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Kathryn Kaminski, AlphaSimplex - When You’re A Systematic Investor, Your Process Makes The Decision | #310
In episode 310, we welcome our guest, Kathryn Kaminski, Chief Research Strategist at AlphaSimplex, where she’s also the co-portfolio manager for the firm’s Managed Futures Strategy. In today’s episode, we’re talking all about trend following and managed futures. You may have heard the phrase “crisis alpha” before, and Kathryn is the person who coined that phrase. We start with hearing what it was like for her to study at MIT under the legendary Andrew Lo. Then she explains why trend following works during a crisis and uses last year as an example. As we wind down, Kathryn explains some misconceptions about trend following and talks about why it’s so important to have a process driven investment approach.
Key Points
- Catherine Kaminski discusses the performance and advantages of trend following during crises, illustrating how systematic investment approaches can thrive in times of market stress by capturing trends rather than predicting market movements.
- The episode highlights the complexities of implementing trend following strategies, emphasizing the importance of speed, volatility measurement, and the purity of the trend following approach to capture crisis alpha effectively.
- Kaminski expresses concern about the potential ramifications of extensive fiscal stimulus on markets, suggesting that significant changes in monetary policy could present new opportunities for trend following strategies in the coming decade.
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Transcript
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