SI356: The Anatomy of a CTA Recovery ft. Katy Kaminski
发布时间 2025-07-12 04:30:00 来源
摘要
Katy Kaminski returns to examine a moment in trend following that feels familiar... but isn’t. Drawing on new research, she and Niels explore how drawdowns resolve, why recovery is faster when markets break, and slower when they don’t, and what that asymmetry reveals about the current cycle. They unpack copper’s historic 1-day move, the role of China in CTA return dispersion, and what slower, replication-based strategies might be capturing that others aren’t. This episode isn’t about defending trend - it’s about understanding what environments it needs, and what signals suggest we’re getting closer.-----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.comAnd 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 Katy on LinkedIn.Episode TimeStamps:00:48 - What has been on our radar recently?07:43 - Crazy moves in US copper09:45 - Industry performance update14:31 - How should we approach the current drawdowns in managed futures?23:01 - Why trend following is struggling at the moment31:22 - Rebalancing in trend following is key33:57 - A better alternative trend following?37:32 - The different types of impact to markets and how it reflects on the CTA industry44:41 - The key variables for understanding regimes53:21 - Replication is beating the benchmarks that they are trying to replicate58:16 - Mechanical vs. regression based replication59:33 - Defining tracking errorCopyright © 2024 – CMC AG – All Rights...
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