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Episode Description
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.
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Episode TimeStamps:
00:48 - What has been on our radar recently?
07:43 - Crazy moves in US copper
09:45 - Industry performance update
14:31 - How should we approach the current drawdowns in managed futures?
23:01 - Why trend following is struggling at the moment
31:22 - Rebalancing in trend following is key
33:57 - A better alternative trend following?
37:32 - The different types of impact to markets and how it reflects on the CTA industry
44:41 - The key variables for understanding regimes
53:21 - Replication is beating the benchmarks that they are trying to replicate
58:16 - Mechanical vs. regression based replication
59:33 - Defining tracking error
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