SI309: Bonds Behaving Badly ft. Katy Kaminski

17 snips

Aug 17, 2024

In this engaging discussion, Katy Kaminski, a market behavior expert and portfolio management guru, delves into the dynamics of economic disruptions and their impact on investor behavior. She examines the troubling relationship between bonds and inflation, stressing the need for a rethink of traditional investment strategies. Katy distinguishes between crises and corrections, highlights the evolving landscape of CTAs, and emphasizes the importance of process adherence in turbulent times. Tune in for insights on building resilient portfolios during market volatility!

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ANECDOTE

Euro Cup Experience

Katy Kaminski enjoyed watching the Euro Cup in Spain.
She found the Spanish national anthem very moving.

INSIGHT

Divergent Monetary Policies

Central banks are now pursuing divergent policies, focusing on their own economies.
Investors need to adapt to this new environment.

INSIGHT

Convergence vs. Divergence

Convergent strategies, like carry trades, are vulnerable during market shocks.
Divergent strategies offer more opportunities in uncertain times.

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Along with Katy Kaminski, we discuss how the current disruptions in the economy and markets cause a change in investors’ behaviour. We dive deep into the interconnection between inflation, bonds and volatility and we discuss how to build a portfolio that performs well in economic downturns. We also discuss the difference between a crisis versus a correction and the evolution when it comes to "model speed" within the CTA industry, the importance of sticking to the process in times of uncertainty and much more.

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Episode TimeStamps:

00:47 - What has been on our radar recently?

02:15 - Have investors internalized the new Divergent economies and policies?

05:37 - Are investors mistaking convergence for divergence and vice versa?

08:57 - Industry performance update

17:19 - Connecting the dots

23:35 - Bonds - Why are they Behaving Badly?

27:59 - Conditional return distribution - what and why?

30:04 - Alternative markets and the 60/40 struggle

35:29 - The role of crisis alpha and a discussion on speed

42:42 - Thoughts on carry in the CTA industry

47:29 - Did the VIX really hit 65?

55:34 - Sticking to the process

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