Top Traders Unplugged

SI365: Design or Luck: Why Trend Following Results Diverge ft. Katy Kaminski

39 snips
Sep 13, 2025
Guest
Katy Kaminski
Katy Kaminski, an expert in systematic investing and trend following, dives into the divergent results of trend-following strategies. She highlights how design choices, like signal pace and portfolio tilts, impact performance outcomes. The conversation also connects current market dynamics, including the Fed's decisions and Europe's bond issues, to the intricacies of risk management. Katy emphasizes the significance of understanding return dispersion and the challenges posed by crowding in alternative markets, offering a clear perspective on evolving systematic strategies.
Ask episode
AI Snips
Chapters
Books
Transcript
Episode notes
ANECDOTE

Waiting On The Fed As A Potential Catalyst

  • Katy notes front-seat market focus on the Fed with little trend movement so far.
  • She expects a big catalyst if fixed-income outcomes differ materially from current market pricing.
INSIGHT

Short-Term Models Lag This Year

  • Shorter-term trend models have struggled this year on a vol-adjusted basis.
  • Short-window barometers can therefore understate current trend strength compared with longer-window indices.
INSIGHT

Design Choices Drive Dispersion

  • Trend-following returns diverge because of deliberate design choices, not randomness.
  • Speed, allocation, alternative markets and carry each leave a distinct fingerprint on performance.
Get the Snipd Podcast app to discover more snips from this episode
Get the app