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

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.

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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:

01:50 - What has caught our attention recently?

06:09 - Industry performance update

13:06 - 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 it

44:05 - Combing index- and mechanical replication

50:58 - The pitfalls of replication strategies

52:32 - What does managed futures/CTAs mean to Katy?

59:14 - Why is mechanical replication often simplified versions of a full trend following system?

Copyright © 2025 – CMC AG – All Rights Reserved

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PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:

1. eBooks that cover key topics that you need to know about

In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here

2. Daily Trend Barometer and Market Score

One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here

3. Other Resources that can help you

And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here

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