SI337: How Best to "Replicate" Managed Futures Returns ft. Katy Kaminski
In this episode, Katy Kaminski helps us explore the latest trends in managed futures and how different approaches to replication can impact performance and correlation. We explore the pros and cons of index versus mechanical replication, highlighting how each method reacts differently in various market conditions. Plus, we touch on the most recent developments in the ETF space and how they're reshaping access to CTAs, but also question if all of the new products are truly worthy of the "CTA" label. Stick around as we break down these ideas and share insights that can help shape your investment strategies.-----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:01:50 - What has caught our attention recently?06:09 - Industry performance update13:06 - Q1, Rick: Has Katy done any work on Co-Movement Factor and "offsides" systems?18:12 - Q1.2, Rick: Katy's work shows us the dispersion between "slow" and "fast" systems w/ an optimal window of 10mo: How does this "optimal window" differ by year?25:54 - Q2, Brian: Are there more individual investors than institutional investors?28:43 - Q2.2: Are investors holding the ETF “long term”, or do they “chase performance”?32:25 - Q3, Niels: How should we think about future returns in trend following?36:24 - The beta of trend following and how to access it44:05 - Combing index- and mechanical replication50:58 - The pitfalls of replication...