Benchmarks in our industry are like taking a fruit salad and comparing it to an apple.—Kathryn Kaminski
In This Episode, You'll Learn:
- What Kathryn looks at when evaluating the track records of managers.
- Her thoughts on the recent performance of trend followers.
- About price range compression.
- If she has a favorite statistic to look at when analyzing a manager.
- How she and her co-author came up with the trading strategy that they use in their book.
We focus on position sizing; creating one key formula which is a function of several key variables.—Kathryn Kaminski
- Why the exit from a position is just as important as the entrance.
The point of a trend following strategy is that there is both the entry and the exit.—Kathryn Kaminski
- What trend leakage is.
- Her views on how inflation and other environmental changes affects trend following strategies.
Extreme environments tend to have divergence, and thus more opportunities for trend followers.—Kathryn Kaminski
- About diversification.
There are pros and cons to how much you diversify your process.—Kathryn Kaminski
- About risk management; how Kathryn defines risk and what is important to look at in risk management.
- Kathryn explains the topics of hidden and unhidden risk.
- What kind of drawdowns should be expected from a trend following model.
When you look at trend followers, they have a lot more drawdowns over time than equity, but they are way shorter.—Kathryn Kaminski
- A discussion of the drawdowns that trend followers have experience in the last few years.
- Seeing drawdowns as a buying opportunity.
- How to detect if a manager’s models and system has stopped working.
- The biggest challenge for the CTA industry right now.
- What she would ask of David Harding.
- What questions investors should be asking of managers when doing their due diligence.
- What personalities traits a good trend following manager should have.
- Her thoughts on regulation, especially for smaller managers.
- What her plans are for the future and how she sees the managed futures industry going forward.
Resources & Links Mentioned in this Episode:
- Kathryn's book is: Trend Following with Managed Futures.
- 4 Key questions of trend following:
- Determine when to enter
- How large of a position to take out
- How to get out of the position
- How much risk to allocate to a particular position
- Is this Time Different? Trend Following and Financial Crisis.
- Books that Kathryn recommends:
- Kathryn's TED talk on Convergence and Divergence.
This episode was sponsored by Swiss Financial Services:
Connect with The Institute for Financial Research, Stockholm (SIFR):
Visit the Website: www.sifr.org
Call SIFR: +46-8-736 91 01
E-Mail SIFR: email@example.com
Follow Kathryn Kaminski on Linkedin
In my opinion, risk management is the greatest asset of the CTA industry.—Kathryn Kaminski