Episode description

Today, we welcome Katy Kaminiski back to the show as we reflect on her entry into the trend following space and what she has learned on her systematic journey. We also discuss different ways of allocating risk in portfolio construction and why Katy “loves skewness”, why preparing for pain can actually lead to better decisions as an investor and how changes in the global macro environment takes time to manifest in trends. Lastly, we discuss what we are both excited and nervous for in 2024.

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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

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Episode TimeStamps:

00:50 - What has been on our radar recently?

03:03 - When are trends coming to an end?

06:24 - Industry performance update

07:31 - How did Katy end up in the trend following industry?

11:19 - What attracted her to the industry?

12:40 - What Katy has learned from being an allocator

15:44 - Risk variations in portfolio construction

20:21 - What drives the biggest dispersion?

21:54 - Understanding risk in your portfolio

24:05 - Constant vol targeting - just a phase?

25:25 - The importance of skewness

31:06 - Mind the timeframe

34:57 - Preparing for pain ahead of time (MAN Paper)

38:15 - No pain, no gain...

43:28 - Economic trend (AQR Paper)

47:33 - Dealing with a world in...