4.8 • 670 Ratings
🗓️ 16 March 2024
⏱️ 59 minutes
🧾️ Download transcript
Today, we welcome Katy Kaminiski back to the show as we reflect on her entry into the trend following space and what she has learned on her systematic journey. We also discuss different ways of allocating risk in portfolio construction and why Katy “loves skewness”, why preparing for pain can actually lead to better decisions as an investor and how changes in the global macro environment takes time to manifest in trends. Lastly, we discuss what we are both excited and nervous for in 2024.
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Episode TimeStamps:
00:50 - What has been on our radar recently?
03:03 - When are trends coming to an end?
06:24 - Industry performance update
07:31 - How did Katy end up in the trend following industry?
11:19 - What attracted her to the industry?
12:40 - What Katy has learned from being an allocator
15:44 - Risk variations in portfolio construction
20:21 - What drives the biggest dispersion?
21:54 - Understanding risk in your portfolio
24:05 - Constant vol targeting - just a phase?
25:25 - The importance of skewness
31:06 - Mind the timeframe
34:57 - Preparing for pain ahead of time (MAN Paper)
38:15 - No pain, no gain...
43:28 - Economic trend (AQR Paper)
47:33 - Dealing with a world in...
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0:00.0 | You're about to join Neil's Kostrup Larson on a raw and honest journey into the world of systematic investing and learn about the most dependable and consistent yet often overlooked investment strategy. |
0:13.2 | Welcome to the Systematic Investor Series. |
0:26.6 | Welcome all welcome back to this week's edition of the Systematic Investor Series with Katie Kaminsky and I, Nealz Kastroblaston, where each week we take the pulse of the global |
0:31.1 | market through the lens of a rules-based investor. |
0:34.1 | Katie, it is wonderful to have you back this week. How are you doing? What's going on where you are today? |
0:40.7 | Good, good. You know, things are good. I can't believe it's already, you know, getting closer to spring. |
0:45.6 | So that's positives. Yeah. It definitely is. Definitely is. Katie, it's been a few weeks since we spoke. |
0:53.8 | We have a great lineup ofup of some interesting topics, |
0:57.0 | maybe something that we don't talk about too often. And there's going to be a little bit of a |
1:01.7 | backstory that I think people will enjoy. But before we tackle all of these topics, I'm always |
1:07.5 | curious, sort of in between our conversations, at least on the podcast here. |
1:14.4 | What's been on your radar? |
1:16.6 | What's kind of, I wouldn't say top of mind, but what do you find interesting outside, |
1:21.0 | maybe the world of trend following? |
1:24.3 | Well, I think markets recently, like there's been some interesting in idiosyncratic trades and things that have been interesting. |
1:31.8 | One has been like just watching Coco prices, for example. |
1:35.3 | That was a big move. |
1:37.2 | But I think really the fun one to watch, I mean, with this, you know, upcoming next few weeks is going to be the Bank of Japan and just how different |
1:47.3 | how it's just really, you know, gone to the beat of its own drum for the last like two or three |
1:53.1 | years and now is talking about hiking potentially after all the hiking seems to be done. |
1:59.7 | So I don't know. |
2:02.0 | I think that's something to watch. |
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