SI356: The Anatomy of a CTA Recovery ft. Katy Kaminski

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Jul 12, 2025

Katy Kaminski, an expert in trend following and managed futures, dives deep into recent research on market drawdowns and recoveries. She discusses how quick recoveries occur when markets break and the factors influencing slower rebounds. The conversation touches on copper’s significant fluctuations, China's impact on CTA returns, and the nuances between slow replication strategies versus trend-following approaches. Katy emphasizes understanding the environments trend-following needs and what signals indicate market shifts.

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ANECDOTE

Katy's Fourth of July Experience

Katy Kaminski enjoyed the US Fourth of July fireworks after a long time and noted the excitement surrounding them.
She found the wide presence of fireworks and explosions surprising and nostalgic from her childhood memories.

INSIGHT

Copper's Historic Price Surge

COMEX copper had its largest single-day price surge since 1968, rising about 13%.
This unusual move was linked to geopolitical and tariff-related shocks rather than fundamental market changes.

INSIGHT

Trending Assets in 2024

Equities and weak dollar have been the main trending asset classes this year, though the dollar showed some recovery in July.
Fixed income markets have been directionally mixed, challenging for trend-following strategies due to rapid policy shifts and rate fluctuations.

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Katy Kaminski returns to examine a moment in trend following that feels familiar... but isn’t. Drawing on new research, she and Niels explore how drawdowns resolve, why recovery is faster when markets break, and slower when they don’t, and what that asymmetry reveals about the current cycle. They unpack copper’s historic 1-day move, the role of China in CTA return dispersion, and what slower, replication-based strategies might be capturing that others aren’t. This episode isn’t about defending trend - it’s about understanding what environments it needs, and what signals suggest we’re getting closer.

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Episode TimeStamps:

00:48 - What has been on our radar recently?

07:43 - Crazy moves in US copper

09:45 - Industry performance update

14:31 - How should we approach the current drawdowns in managed futures?

23:01 - Why trend following is struggling at the moment

31:22 - Rebalancing in trend following is key

33:57 - A better alternative trend following?

37:32 - The different types of impact to markets and how it reflects on the CTA industry

44:41 - The key variables for understanding regimes

53:21 - Replication is beating the benchmarks that they are trying to replicate

58:16 - Mechanical vs. regression based replication

59:33 - Defining tracking error

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