Today, we are joined by Katy Kaminski, Chief Research Strategist at AlphaSimplex Group, for a conversation on how they approach managed futures and trend following in their programs. We discuss how they work together with their clients to find the right solution for them and why it is important to understand the true meaning of Crisis Alpha, why commodities play a crucial role in times of crises and the key components of managing major disrupting events like COVID19. We also discuss why you might want an equity aware strategy, how they use machine learning to be more precise and prepared for moves in markets, how macro uncertainty impacts managed futures and trend following and much more.
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Episode Timestamps:
02:01 - Introduction to AlphaSimplex Group
03:03 - Their Investment Philosophy
08:02 - Too concerned about Sharpe?
13:42 - How do you customize pure trend?
16:10 - Crisis Alpha - the true meaning explained
22:24 - The role of commodities in crises
26:22 - A need for speed?
32:20 - Capping the equity beta
39:36 - Their approach to CTA replication
44:59 - Machine learning as a research tool
48:30 - Simple vs. sophisticated
50:02 - CTA style factors
56:16 - All about bonds?
59:00 - An uncertain world
01:02:38 - The signs of change
01:06:23 - Trend following disagreements
01:09:03 - Expectations for 2023
01:10:52 - Thanks for listening
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