SI337: How Best to "Replicate" Managed Futures Returns ft. Katy Kaminski
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 1 March 2025
⏱️ 63 minutes
🧾️ Download transcript
Summary
In this episode, Katy Kaminski helps us explore the latest trends in managed futures and how different approaches to replication can impact performance and correlation. We explore the pros and cons of index versus mechanical replication, highlighting how each method reacts differently in various market conditions. Plus, we touch on the most recent developments in the ETF space and how they're reshaping access to CTAs, but also question if all of the new products are truly worthy of the "CTA" label. Stick around as we break down these ideas and share insights that can help shape your investment strategies.
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Episode TimeStamps:
01:50 - What has caught our attention recently?
06:09 - Industry performance update
13:06 - Q1, Rick: Has Katy done any work on Co-Movement Factor and "offsides" systems?
18:12 - Q1.2, Rick: Katy's work shows us the dispersion between "slow" and "fast" systems w/ an optimal window of 10mo: How does this "optimal window" differ by year?
25:54 - Q2, Brian: Are there more individual investors than institutional investors?
28:43 - Q2.2: Are investors holding the ETF “long term”, or do they “chase performance”?
32:25 - Q3, Niels: How should we think about future returns in trend following?
36:24 - The beta of trend following and how to access it
44:05 - Combing index- and mechanical replication
50:58 - The pitfalls of replication...
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. |
| 0:28.3 | Welcome and welcome back to this week's edition of the Systematic Investor Series with Katie Kiminski and I, Nils Castor Blasen, where each week we take the pulse of the global market |
| 0:32.1 | through the lens of a rules-based investor. |
| 0:35.2 | Great to be back with you this week. |
| 0:37.2 | Katie, how are you doing? |
| 0:38.5 | Where do I find you today? |
| 0:40.9 | Great. |
| 0:41.7 | I'm in Arizona today. |
| 0:44.2 | Just been at a conference. |
| 0:46.2 | So just good to be some warm weather. |
| 0:51.0 | Indeed. |
| 0:51.7 | We need a little bit of that over here in Europe. |
| 0:53.4 | But speaking of conferences, it was very nice to see you in Miami last month at the Global |
| 0:58.9 | Alts conference, but I have to say, I think it was only like 10 seconds. |
| 1:02.5 | I managed to speak with you. |
| 1:04.5 | I hope you had a good time. |
| 1:05.9 | Yeah, we had a little walk by, hey, Niels, how are you doing? |
| 1:09.1 | Yeah, yeah, exactly. |
| 1:11.4 | But it was a good event for you? |
... |
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