SI365: Design or Luck: Why Trend Following Results Diverge ft. Katy Kaminski
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 13 September 2025
⏱️ 56 minutes
🧾️ Download transcript
Summary
Katy Kaminski returns to explore why results in trend following rarely look alike, even when the rules sound the same. Using fresh research from Man Group and Quantica, she and Niels trace the fingerprints of design choices: the pace of signals, how portfolios tilt, whether to add carry, and the impact of alternative markets. Along the way they connect these differences to today’s landscape, from the Fed’s looming decision to Europe’s bond jitters, from gas and power’s outsized role in recent Alternative CTA returns to the risks of crowding. It’s a clear-eyed discussion about how systematic strategies evolve - and why dispersion matters.
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Episode TimeStamps:
01:12 - What has caught our attention recently?
06:44 - Industry performance update
12:01 - How different can managers really be in the trend following space?
22:30 - Is Andrew Beer onto something about the sharpe ratio of trend indices?
24:26 - Why Katy and Alex are obsessed with return dispersion
30:34 - What drives dispersion the most?
32:41 - Designing a trend following benchmark
35:46 - Quantifying turbulence in CTAs
39:46 - The importance of simplicity as a CTA
42:30 - Every asset is an opportunity for trend
47:41 - Do we actually have enough data to evaluate the performance of alternative markets?
52:34 - Potential papers for the future
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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 of systematic investing and learn about the most dependable and consistent yet often overlooked investment strategy. |
| 0:13.0 | Welcome to the Systematic Investor Series. |
| 0:33.7 | Welcome and welcome back to this week's edition of the Systematic Investor Series with Katie Kaminsky and I in Niels Kastrow-Larsen, where each week we take the polls of the global market through the lens of a rules-based investor. |
| 0:39.8 | Katie, it is wonderful to have you back this week. How are you doing? What are things going on where you are? Things are good. Falls in full force here. You know, kind of back to school. I'm happy |
| 0:45.6 | about that. And, you know, everybody's focused on the Fed. And that's about it. I don't know. |
| 0:50.7 | That's true. That's true. You know, in some ways, the summer kind of seemed |
| 0:56.6 | pretty quiet in terms of news that really moved the markets, but perhaps we're just getting |
| 1:01.8 | used to this narrative-driven news flow, but you never know. The autumn may still present some |
| 1:07.8 | surprises and maybe even some strong trends. So we can always hope. |
| 1:12.7 | Now, what's great about today's conversation is that we've got some new papers from our |
| 1:20.1 | friends at Man Group as well as Quantica. On some of maybe the less discussed areas, if I can |
| 1:27.3 | put it that way within the CTA and trend following space, |
| 1:30.6 | but also a few other things that will come up. |
| 1:33.5 | So it's really relevant to be talking to you today and tackling this. |
| 1:39.0 | And also, before we dive into all of that, |
| 1:42.3 | I'm always curious to know what's been on your radar, |
| 1:45.4 | if anything, other than the markets. |
| 1:47.8 | Well, I think the markets, I'm just waiting for, I mean, and I got several calls yesterday, |
| 1:52.4 | both from press and clients. |
| 1:54.3 | Everybody wants to know what is going to happen in fixed income in the U.S. |
| 1:58.1 | But if you look at the trend signals, they haven't moved much. So I'm kind of |
| 2:02.7 | thinking that can be a potential catalyst, and it's something that, you know, there's so many themes, |
... |
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