Top Traders Unplugged

SI337: How Best to "Replicate" Managed Futures Returns ft. Katy Kaminski

57 snips
Mar 1, 2025
Guest
Katy Kaminski
Katy Kaminski, an expert in managed futures and trend-following strategies, joins the discussion to uncover the intricacies of replication methods in investment. She compares index and mechanical replication, revealing how they respond differently in varying market conditions. The conversation also dives into the evolving ETF landscape, assessing the new products and whether they truly qualify as CTAs. Listeners gain valuable insights into asset co-movement and its significance for effective trading strategies.
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ANECDOTE

Widow Trade Profitable

  • The short Japanese Government Bonds (JGB) trade, also known as the widow trade, is finally profitable for trend followers.
  • This follows decades of this trade not working out.
INSIGHT

Market Hesitancy

  • The market is hesitant about the U.S. exceptionalism theme's viability.
  • This creates uncertainty in trend following given the typical long equities, short fixed income, and long dollar positions.
INSIGHT

Co-Movement and Crowding

  • Co-movement, the excess correlation of an asset class relative to its benchmark, can indicate crowding.
  • This metric helps assess reversal risk and can be used for signal generation and risk management.
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