SI385: When Volatility Becomes the Signal ft. Katy Kaminski
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 31 January 2026
⏱️ 65 minutes
🧾️ Download transcript
Summary
Katy Kaminski joins us to assess the early signals shaping markets in 2026. The conversation explores the resurgence of commodity trends, the role of volatility estimation, and why diversification across markets and speeds matters more than ever. Drawing on new research, they examine dispersion within the CTA universe, the limits of replication, and how volatility targeting quietly determines outcomes. From precious metals to currencies, from crisis alpha to geopolitical risk, this episode offers a grounded look at why trend following thrives during disruption and why regime change remains its natural habitat.
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Episode TimeStamps:
00:00 - Introduction to the Systematic Investor Series
00:39 - Weather disruptions and market perspective
02:31 - Precious metals and extreme commodity moves
04:28 - Gold, central banks, and monetary regime shifts
07:43 - Replication versus full CTA diversification
09:47 - Liquidity differences across metals
12:03 - Metals leading trend performance in 2026
15:01 - Multi-sector trends and diversification benefits
20:13 - Media attention and the return of trend following
23:29 - Research insights on speed and dispersion
31:44 - Trend speed and timing tradeoffs
40:59 - Market concentration and narrow universes
43:19 - Volatility estimation as a hidden driver
50:41 - Crisis alpha and regime change
59:53 - Geopolitical risk and future research themes
Resources discussed in this Episode:
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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. |
| 0:27.2 | Welcome and welcome back to this week's edition of the Systematic Investor series with Katie Kaminsky and I, Neil's Castrum Larsen, where each week we take the pulse of the global market |
| 0:30.8 | through the lens of a rules-based investor. Katie, it is wonderful to have you back this week. |
| 0:36.7 | How are you doing? What's going on where you are? |
| 0:39.4 | Hey, Neil's. Yeah, I'm doing good, a little snowed in, but otherwise good. You know, it's, it feels like winter, but that's where we are. |
| 0:47.5 | I was going to ask you about that. I mean, we hear a lot about this winter storm, but how, how affected have you guys been? |
| 0:54.1 | Well, I'd say like in Boston, we're basically just snowed in and there's just like, about this winter storm, but how affected have you guys been? |
| 0:58.8 | Well, I'd say like in Boston we're basically just snowed in and there's just like mounds of snow that may be here forever. |
| 1:00.7 | But I think I've been more following the ice storms because I'm originally from Tennessee |
| 1:04.8 | and millions of people have been out of power and dislocated. |
| 1:08.8 | So it's been, you know, we're complaining about the snow, |
| 1:11.6 | but like I really think it's been a serious issue for a lot of people dealing with power |
| 1:16.2 | issues and, you know, having no heat. So it's pretty, pretty extreme January so far in many ways. |
| 1:23.1 | Yeah. Yeah. For obvious reasons, work-wise, I usually travel to Florida, so I've never really been caught in a winter storm in the US, but of course you have the hurricanes. |
| 1:32.2 | And it's always puzzled me a little bit why the US, when they know these things happen almost every year, either a winter storm or hurricane, why they don't dig down in the ground the electrical cables? |
| 1:45.8 | I've never thought. |
| 1:46.9 | You just read my mind because I'm from Tennessee and they have all the trees are down |
| 1:52.4 | because the ice is so heavy on the trees. |
| 1:55.4 | And I just think like in Europe, like they always dig them down and then it doesn't matter |
| 1:59.7 | if a tree falls. |
| 2:00.6 | I mean, yeah, |
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