SI374: When the Data Goes Dark: Trend Following, Turbulence & Total Portfolios ft. Katy Kaminski
Top Traders Unplugged
Which performance metrics and robustness matter?
Katie advises prioritizing out-of-sample robustness, parameter stability, and downside/upside capture over single metrics.
What happens when the data goes dark, yet markets barely flinch? In this episode, Niels and Katy unpack the month of October defined by missing economic releases, relentless equity strength and three extraordinary days of Liberation Day turbulence. They explore why price often tells the truest story, how total portfolio thinking could rewrite the role of trend, and why short term strategies faltered while precious metals surged. The conversation then shifts to the coming wave of alternatives in private wealth and the silent risk inside target date funds, asking how managed futures can reshape retirement outcomes when timing paths go wrong.
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Episode TimeStamps:
00:00 - Introduction and catching up from Boston
02:00 - Life without economic data and what markets really need
04:20 - Price as the only truth and the limits of official data
05:45 - CalPERS, total portfolio thinking and what it means for trend
08:20 - AI, data centers and the inflation story hiding in electricity
10:30 - Inflation regimes, unstable prices and why trend cares about change
12:40 - Year to date trend review across equities, metals, FX and bonds
15:10 - Why short term traders struggled in a headline driven year
20:00 - Picking “the best strategy” and why robustness matters more than Sharpe
24:10 - Parameters, speed of response and treating markets differently
26:20 - Liberation Day: three consecutive shock days and what CTAs learned
33:40 - Economic trend, price trend and the blurry line with global macro
39:00 - Crisis alpha, convexity and when fundamentals stop mattering
44:50 - The rise of alternatives and why “core” portfolios are changing
48:20 - How the industry can tap private wealth and model portfolios
52:00 - Trend in target retirement funds and the sequence of returns problem
56:40 - Looking ahead, volatility forecasting and next week’s guest
58:25 - Wrap up, disclosures and final reflections
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