TTU134: Crisis Alpha Revisited ft. Katy Kaminski, Chief Research Strategist at AlphaSimplex Group
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 24 February 2023
⏱️ 72 minutes
🧾️ Download transcript
Summary
Today, we are joined by Katy Kaminski, Chief Research Strategist at AlphaSimplex Group, for a conversation on how they approach managed futures and trend following in their programs. We discuss how they work together with their clients to find the right solution for them and why it is important to understand the true meaning of Crisis Alpha, why commodities play a crucial role in times of crises and the key components of managing major disrupting events like COVID19. We also discuss why you might want an equity aware strategy, how they use machine learning to be more precise and prepared for moves in markets, how macro uncertainty impacts managed futures and trend following and much more.
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Episode Timestamps:
02:01 - Introduction to AlphaSimplex Group
03:03 - Their Investment Philosophy
08:02 - Too concerned about Sharpe?
13:42 - How do you customize pure trend?
16:10 - Crisis Alpha - the true meaning explained
22:24 - The role of commodities in crises
26:22 - A need for speed?
32:20 - Capping the equity beta
39:36 - Their approach to CTA replication
44:59 - Machine learning as a research tool
48:30 - Simple vs. sophisticated
50:02 - CTA style factors
56:16 - All about...
Transcript
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| 0:00.0 | People ask me all the time, what's going to happen to the market? |
| 0:09.0 | And I say, we don't do what the market should do. |
| 0:12.1 | We do what the market is doing. |
| 0:14.4 | So therefore, when there's a crisis, we don't sit there and ask ourselves the question, |
| 0:18.4 | like, oh, I don't know if this is a crisis. |
| 0:20.5 | We just, our strategies move.'t know if this is a crisis. We just, |
| 0:26.4 | we, our strategies move. And then we answer the questions later. We figure, oh, my gosh, |
| 0:32.4 | did you see what happened to oil? But during the actual move, it's not about trying to value oil. |
| 0:36.4 | It's about figuring out what's happening, where's it going, get on the train. |
| 0:41.8 | Imagine spending an hour with the world's greatest traders. |
| 0:46.3 | Imagine learning from their experiences, their successes, and their failures. |
| 0:48.3 | Imagine no more. |
| 0:54.7 | Welcome to Top Traders Unplugged, the place where you can learn from the best hedge fund managers in the world, |
| 0:59.2 | so you can take your manager, due diligence, or investment career to the next level. |
| 1:03.2 | Before we begin today's conversation, remember to keep two things in mind. |
| 1:07.1 | All the discussion we'll have about investment performance is about the past, |
| 1:11.9 | and past performance does not guarantee or even infer anything about future performance. |
| 1:16.6 | Also understand that there's a significant risk of financial loss with all investment strategies, and you need to request and understand the specific risks from the investment manager about |
| 1:21.5 | their product before you make investment decisions. |
| 1:24.5 | Here's your host, veteran hedge fund manager, Niels Kostrup Larson. |
| 1:33.8 | Hey everyone and welcome to another edition of Top Traders on Plog, where today Alan Don |
| 1:37.8 | and I are joined by Catherine Kaminsky, chief research strategist at Alpha Simplic's Group as part |
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