This is Trend Following Radio, where great thinking comes alive.

Nobel Prize winners, legendary traders, bestselling authors, and the pros that know what drive us irrational human beings.

I am your host, Michael Covel.

Not filtered, raw, honest.

That's my passion.

Today in the show I have Catherine Kamenski.

This is Catherine's second visit to my show.

She came on last year discussing her new book. Today, she's discussing a new white paper,

specifically diving into correlation among traders. A deep dive, but a really important critical

distinction that she makes in this new research.

Also, Catherine recently joined Campbell & Company, one of the oldest, if not oldest, CTAs in existence,

with much trend-following expertise, dating back to the 1970s up to today, never stopped a very successful firm.

I hope you enjoy this conversation with Catherine Kaminsky.

Catherine, today, and I think people really need to go back and listen to our first conversation,

but today what I really want to get into is you've got this cool white paper that you put out at Campbell & Company called Return Dispersion,

counterintuitive correlation, subtitled the role of diversification in CTA portfolios.

I really did not know what I was walking

into as I started underlining and going through this about a 10-page white paper.

But I started to realize there's something really interesting, and you're going to be able

to kind of flesh this out.

But over the years, I have noticed, and I'm sure other people have noticed too, that when

there are big performing months in the CTA, managed futures trend following space, that often managers that might have high correlation don't necessarily at those opportune times don't necessarily always have correlated results right at that very opportune time for that particular type of strategy.

...