SI385: When Volatility Becomes the Signal ft. Katy Kaminski

18 snips

Jan 31, 2026

Katy Kaminski, researcher and systematic investing specialist focused on trend following and managed futures. She discusses the comeback of commodity and metals trends. They explore volatility estimation as a hidden driver. Conversation covers diversification across markets and speeds, replication limits, and why trend thrives during market regime shifts.

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INSIGHT

Commodities Leading 2026 Trends

Commodities, especially precious and base metals, are driving major trends in early 2026 and may reflect structural monetary shifts.
A weakening dollar and central bank buying can amplify sustained commodity supercycle dynamics.

ANECDOTE

Weather Anecdote Opens Market Talk

Katy described New England snow and Tennessee ice storm impacts as a preface to market discussion.
Niels connected weather and infrastructure to broader resilience themes before shifting to gold and markets.

INSIGHT

Exposure Drives CTA Dispersion

Return dispersion across CTAs stems from exposure to a few large trending markets rather than uniform strategy differences.
Being exposed to the right commodities and allocations can materially change relative performance.

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Katy Kaminski joins us to assess the early signals shaping markets in 2026. The conversation explores the resurgence of commodity trends, the role of volatility estimation, and why diversification across markets and speeds matters more than ever. Drawing on new research, they examine dispersion within the CTA universe, the limits of replication, and how volatility targeting quietly determines outcomes. From precious metals to currencies, from crisis alpha to geopolitical risk, this episode offers a grounded look at why trend following thrives during disruption and why regime change remains its natural habitat.

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Episode TimeStamps:

00:00 - Introduction to the Systematic Investor Series

00:39 - Weather disruptions and market perspective

02:31 - Precious metals and extreme commodity moves

04:28 - Gold, central banks, and monetary regime shifts

07:43 - Replication versus full CTA diversification

09:47 - Liquidity differences across metals

12:03 - Metals leading trend performance in 2026

15:01 - Multi-sector trends and diversification benefits

20:13 - Media attention and the return of trend following

23:29 - Research insights on speed and dispersion

31:44 - Trend speed and timing tradeoffs

40:59 - Market concentration and narrow universes

43:19 - Volatility estimation as a hidden driver

50:41 - Crisis alpha and regime change

59:53 - Geopolitical risk and future research themes

Resources discussed in this Episode:

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