SI326: Volatility and Trends: What 2024 Held for Trend Followers ft. Katy Kaminski
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 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.
-----
50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE
-----
Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.
IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.
And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here.
Learn more about the Trend Barometer here.
Send your questions to info@toptradersunplugged.com
And please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.
Follow Alan on Twitter.
Follow Katy on LinkedIn.
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 space?
23:10 - A historical perspective on volatility sizing
30:50 - How different styles of trend following work and perform
35:51 - When is long vol a good strategy to use?
37:41 - The challenges of trend following as a strategy
41:36 - Our perspective on running portable alpha
49:15 - Where does portable alpha sit in a portfolio?
51:59 - Tweaking your trend following portfolio to accommodate equities
54:06 - Thoughts on going into 2025
Copyright © 2025 – CMC AG – All Rights Reserved
----
PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:
1. eBooks that cover key topics that you need to know about
In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here
2. Daily Trend Barometer and Market Score
One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here
3. Other Resources that can help you
And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here
Transcript
Click on a timestamp to play from that location
| 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. |
... |
Please login to see the full transcript.
Disclaimer: The podcast and artwork embedded on this page are from Niels Kaastrup-Larsen, and are the property of its owner and not affiliated with or endorsed by Tapesearch.
Generated transcripts are the property of Niels Kaastrup-Larsen and are distributed freely under the Fair Use doctrine. Transcripts generated by Tapesearch are not guaranteed to be accurate.
Copyright © Tapesearch 2026.