TTU134: Crisis Alpha Revisited ft. Katy Kaminski, Chief Research Strategist at AlphaSimplex Group

Today, we are joined by Katy Kaminski, Chief Research Strategist at AlphaSimplex Group, for a conversation on how they approach managed futures and trend following in their programs. We discuss how they work together with their clients to find the right solution for them and why it is important to understand the true meaning of Crisis Alpha, why commodities play a crucial role in times of crises and the key components of managing major disrupting events like COVID19. We also discuss why you might want an equity aware strategy, how they use machine learning to be more precise and prepared for moves in markets, how macro uncertainty impacts managed futures and trend following and much more.-----EXCEPTIONAL RESOURCE: Find Out How to Build a Safer & Better Performing Portfolio using this FREE NEW Portfolio Builder Tool-----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 “The Many Flavors of Trend Following” here.Learn more about the Trend Barometer here.Send your questions to [email protected] 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 Alan on Twitter.Learn more about AlphaSimplex Group.Episode Timestamps:02:01 - Introduction to AlphaSimplex Group03:03 - Their Investment Philosophy08:02 - Too concerned about Sharpe?13:42 - How do you customize pure trend?16:10 - Crisis Alpha - the true meaning explained22:24 - The role of commodities in crises26:22 - A need for speed?32:20 - Capping the equity beta39:36 - Their approach to CTA replication44:59 - Machine learning as a research tool48:30 - Simple vs. sophisticated50:02 - CTA style factors56:16 - All about bonds?59:00 - An uncertain world01:02:38