The Meb Faber Show: “Your Crisis Alpha: A Hidden Strategy For Market Crashes (Kathryn Kaminski Shares)”
The Meb Faber Show: “Your Crisis Alpha: A Hidden Strategy For Market Crashes (Kathryn Kaminski Shares)”
Today’s guest is Kathryn Kaminski, Chief Research Strategist at AlphaSimplex, where she’s also the co-portfolio manager for the firm’s Managed Futures Strategy and Global Alternatives Strategy. She also co-authored the book Trend Following with Managed Futures: The Search for Crisis Alpha.
In today’s episode, Meb and Katy discuss the tough year for managed futures strategies, which have experienced the 2nd largest drawdown in the last quarter century. Katy walks through the history of drawdowns and recoveries since 2000, explaining investors who have been patient in the past have been rewarded when the strategy recovers. She emphasizes managed futures’ ability to serve as a diversifier to stocks, revisits her research on crisis alpha, and touches on the rise of managed futures ETFs as a way for investors to get exposure to this asset class.
To see links or read the transcript of the episode, visit us at: https://www.themebfabershow.com/episo…
(0:00) Starts
(1:05) Katy’s thoughts on managed futures in 2025
(3:31) Lessons from past drawdowns
(10:04) The patience premium
(17:10) Follow the trends
(22:12) Crisis Alpha revisited
(26:01) Managed futures accessibility and ETFs
(29:35) Replication methods
(35:02) Implementing AI
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