Top Traders Unplugged · Oct 17, 2026 · 1h 9m · 61m saved
With Katy Kaminski, Chief Investment Strategist at AlphaSimplex
Photo via alphasimplex.com
Trend following has averaged a return of about 5.6% over a long horizon, but take out its 20 biggest months and the figure falls to about minus 0.5%. Katy Kaminski, Chief Investment Strategist at AlphaSimplex, walked through that finding with Niels Kaastrup-Larsen on Top Traders Unplugged.
Most investors judge a strategy by its average year. Katy's point is that trend pays in a few sharp episodes nobody can time, and that investors who leave after a bad stretch are gone when those episodes arrive.
"People are getting out at the bottom or after we underperform, and then they're buying after we already performed." — Katy Kaminski
Katy sets investment strategy at a managed-futures firm, and she has published her own research on why bonds fail as a hedge when inflation is the main risk. She had just presented on geopolitical risk and crisis alpha at a conference in Copenhagen.
The full interview is covered here so you can skip it. 1 hour 9 minutes of audio, 8 minutes of reading.
Here are the 9 lessons that matter.
Key Takeaways
Without its 20 biggest months, trend's long-run average return turns slightly negative
Investors in trend funds keep about 4% of a 5.6% return because they sell after losses and buy after gains
The gap was much wider in public funds than in private ones
Bonds move with stocks and lose their safe-haven role when inflation is the dominant risk
An AQR paper found trend the most robust strategy in both inflationary and deflationary periods
A passive commodity allocation has delivered poor risk-adjusted returns, and Katy wants it actively managed
Geopolitical risk is priced, so investors who bear it get paid for it
Portable alpha suits investors who need equity-like returns, not everyone
1. A Hedged Trend Year
Katy opened by setting 2026 against 2022. In 2022 one theme, geopolitical risk, pushed bonds and equities in the same direction. This year an AI-driven equity boom and an inflation and geopolitical-risk theme in bonds have paid at different times, which she said has made trend "extremely diversified."
Katy Kaminski says 2026's two big themes have worked for trend in turn rather than together
"It feels actually like a nice relatively hedged trend environment this year, where the two themes... are actually working together at very different times during the year." — Katy Kaminski
The biggest danger to the strategy from here, in her view, is a risk-off move in equities. Niels put numbers on the year. The SG CTA index was up 16.41% year to date and SG Trend up 16.47%, against 13.78% for the S&P 500 and 12.45% for MSCI World. The World Government Bond Index was down about 3%. The Short Term Traders Index was down 60bps in October but up 5.58% for the year.
