The simplest hedge fund strategy | Trend following

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What if one of the most powerful hedge fund strategies was also one of the simplest to understand?

In this video, we explore how trend following works, why it has historically exhibited low correlation to stocks and bonds, and why it often performs well during periods of market stress. To help unpack the strategy, we speak with Dr. Katy Kaminski, Chief Research Strategist and Portfolio Manager at AlphaSimplex and co-author of "Trend Following with Managed Futures: The Search for Crisis Alpha". She explains how systematic trend strategies operate, why they may benefit from large macroeconomic shifts, and how investors might think about incorporating them into a diversified portfolio.

Timestamps

00:00 - When diversification stopped working
01:25 - An accessible (and effective) diversifier
03:08 - What is trend following? (w/ Dr. Kathryn Kaminski)
05:46 - Adaptive Markets (w/ Andrew Lo)
07:48 - But trend following has underperformed...
10:19 - How to allocate to trend following

Sources:

Alex Greyserman and Kathryn Kaminski, Trend Following with Managed Futures: The Search for Crisis Alpha (Hoboken, NJ: John Wiley & Sons, 2014).

Kaminski, Kathryn M., and Shihong Wen. Market Cycles and Managed Futures Drawdowns: An Empirical Analysis of Managed Futures Drawdown and Recovery Periods. AlphaSimplex Group, June 2025.

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Disclosures:
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