SI385: When Volatility Becomes the Signal ft. Katy Kaminski

Katy Kaminski joins us to assess the early signals shaping markets in 2026. The conversation explores the resurgence of commodity trends, the role of volatility estimation, and why diversification across markets and speeds matters more than ever. Drawing on new research, they examine dispersion within the CTA universe, the limits of replication, and how volatility targeting quietly determines outcomes. From precious metals to currencies, from crisis alpha to geopolitical risk, this episode offers a grounded look at why trend following thrives during disruption and why regime change remains its natural habitat.
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Episode TimeStamps:
00:00 - Introduction to the Systematic Investor Series
00:39 - Weather disruptions and market perspective
02:31 - Precious metals and extreme commodity moves
04:28 - Gold, central banks, and monetary regime shifts
07:43 - Replication versus full CTA diversification
09:47 - Liquidity differences across metals
12:03 - Metals leading trend performance in 2026
15:01 - Multi-sector trends and diversification benefits
20:13 - Media attention and the return of trend following
23:29 - Research insights on speed and dispersion
31:44 - Trend speed and timing tradeoffs
40:59 - Market concentration and narrow universes
43:19 - Volatility estimation as a hidden driver
50:41 - Crisis alpha and regime change
59:53 - Geopolitical risk and future research themes
Resources discussed in this Episode:
• LINK SI385 - AlphaSimplex (alphasimplex.com/education)
• LINK SI385 - Meketa (meketa.com/leadership/trend-following-strategies)

Copyright © 2026 – CMC AG – All Rights Reserved
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