Katy Kaminski returns to explore why results in trend following rarely look alike, even when the rules sound the same. Using fresh research from Man Group and Quantica, she and Niels trace the fingerprints of design choices: the pace of signals, how portfolios tilt, whether to add carry, and the impact of alternative markets. Along the way they connect these differences to today’s landscape, from the Fed’s looming decision to Europe’s bond jitters, from gas and power’s outsized role in recent Alternative CTA returns to the risks of crowding. It’s a clear-eyed discussion about how systematic strategies evolve - and why dispersion matters.
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Episode TimeStamps:
01:12 - What has caught our attention recently?
06:44 - Industry performance update
12:01 - How different can managers really be in the trend following space?
22:30 - Is Andrew Beer onto something about the sharpe ratio of trend indices?
24:26 - Why Katy and Alex are obsessed with return dispersion
30:34 - What drives dispersion the most?
32:41 - Designing a trend following benchmark
35:46 - Quantifying turbulence in CTAs
39:46 - The importance of simplicity as a CTA
42:30 - Every asset is an opportunity for trend
47:41 - Do we actually have enough data to evaluate the performance of alternative markets?
52:34 - Potential papers for the future
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