SI326: Volatility and Trends: What 2024 Held for Trend Followers ft. Katy Kaminski
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 13 December 2024
⏱️ 60 minutes
🧾️ Download transcript
Summary
Today, we examine the intriguing dynamics of systematic investing, focusing on the theme of volatility sizing and its implications for trend following strategies. We discuss how volatility often expands during profitable trades, highlighting the importance of managing risk through dynamic sizing compared to static approaches. We explore the interplay between equities and managed futures, emphasizing how these strategies can complement each other while navigating the complexities of correlation risk. As we look ahead to 2025, the conversation touches on broader economic themes, including inflation volatility and its potential impact on investment strategies. With insights from recent research, the episode provides valuable perspectives for investors seeking to understand the evolving landscape of systematic investing.
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Episode TimeStamps:
01:05 - What has caught our attention recently?
02:13 - Industry performance update
03:48 - Our takeaways from 2024
09:20 - How different speed has performed in different markets
13:25 - Has market correlation been lower than usual this year?
14:15 - Concluding on 2024
15:55 - Interesting news in the ETF space
18:29 - Key takeaways from the Hedge Nordic Roundtable 2024
20:18 - Optimism for the managed futures...
Transcript
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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 |
| 0:07.6 | of systematic investing and learn about the most dependable and consistent yet often overlooked |
| 0:13.0 | investment strategy. |
| 0:15.0 | Welcome to the Systematic Investor Series. |
| 0:29.1 | Welcome back to the latest edition of TopTraders Unplugged, for each week we take the post of the markets from the perspective of a rules-based investor. |
| 0:32.5 | It's Alan Dunn here sitting in for Neals again. |
| 0:34.8 | Neils has often his travels again and delighted to be joined by |
| 0:38.4 | Katie this week. Katie, how are you? Great. Nice to chat with you today, Alan. Very good, yeah, |
| 0:44.4 | looking forward to it. How's all in the Boston area? Are you getting ready for Christmas or has the |
| 0:50.3 | holiday's evening? Yeah, I mean, honestly, it's been really cold here. So I just kind of always |
| 0:56.4 | hits me in December and I say, oof, what happened here? Yeah, so we're definitely in full swing for |
| 1:02.8 | winter here. Good stuff. Yeah, well, somewhat similar here in Ireland. And we always like to kick off |
| 1:08.7 | African people what's on their radar and what's been keeping you focused in the last while. |
| 1:16.2 | Well, I think, you know, it's been pretty quiet in the markets. |
| 1:20.3 | But, you know, I was trying to think of like, what are some of the fun market movements that have been watching? |
| 1:25.1 | And I think reading that Quantica paper that we're going to talk about today and thinking about commodities, like honestly coffee, cocoa, and some of |
| 1:32.4 | these sort of baseline mocha latte trades that, like, and just the price changes, it's going to make |
| 1:39.1 | it a rough winter season with those expensive lattes. Absolutely. Yeah. I mean, as you say, |
| 1:45.6 | soaps have started to move again. |
| 1:48.9 | Coffee up to new highs for this move. |
| 1:53.4 | So, yeah, I guess we're going to feel that in our pockets soon enough. |
| 1:56.5 | I don't know if they'll start, what did they call it, shrinkflation. |
... |
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