Kathryn Kaminski – Don’t Fire Your Diversifier | #604
Today’s guest is Kathryn Kaminski, Chief Research Strategist at AlphaSimplex, where she’s also the co-portfolio manager for the firm’s Managed Futures Strategy and Global Alternatives Strategy. She also co-authored the book Trend Following with Managed Futures: The Search for Crisis Alpha. In today’s episode, Meb and Katy discuss the tough year for managed futures strategies, which have experienced the 2nd largest drawdown in the last quarter century. Katy walks through the history of drawdowns and recoveries since 2000, explaining investors who have been patient in the past have been rewarded when the strategy recovers. She emphasizes managed futures’ ability to serve as a diversifier to stocks, revisits her research on crisis alpha, and touches on the rise of managed futures ETFs as a way for investors to get exposure to this asset class.
Key Points
- Managed futures often experience drawdowns during positive equity environments but tend to recover quickly when equities face turbulence.
- The benefits of trend following include capturing prevailing market themes dynamically, providing exposure to diverse asset classes without requiring deep market predictions.
- The rise of managed futures ETFs offers retail investors accessible, liquid, and capital-efficient exposure to diversified macro trends.
Follow Katy: Website; LinkedIn
Resources: Trade War Crisis or Correction: Managed Futures and Crisis Alpha in 2025 Market Cycles and Managed Futures Drawdowns The Patience Premium: Staying the Course in Managed Futures After Drawdowns
Trend Following with Managed Futures: The Search for Crisis Alpha Katy's episode in 2021
Chapters
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| 1:05 | |
| 3:31 | |
| 10:04 | |
| 17:10 | |
| 22:12 | |
| 26:01 | |
| 29:35 | |
| 35:02 |
Transcript
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