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Education

Themes of 2023

Kathryn M. Kaminski, Ph.D., CAIA®, Chief Research Strategist and Jiashu Sun, Junior Research Scientist examine key themes that affected trend followers over the course of 2023, including extreme shocks, shifts in stock/bond correlations, and variations in style factors.

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From Bears to Bulls? A trend-follower’s perspective on the U.S. yield curve

Kathryn M. Kaminski, Ph.D.,CAIA, Chief Research Strategist and Yingshan Zhao, CFA, Research Scientist examine how trend followers have moved in fixed-income markets during the recent period and what we might expect going forward from the perspective of a trend follower.

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Crisis or Correction: Managing Expectations for Managed Futures and Crisis Alpha

Kathryn M. Kaminski, Ph.D., Chief Research Strategist, and Yingshan Zhao, Research Scientist, examine the performance of trend-following strategies during crisis or correction periods over time in both equity and fixed income markets.  

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Beyond Bond Bias: Perspectives from a Systematic Trader

Kathryn M. Kaminski, Ph.D., Chief Research Strategist, and Yingshan Zhao, Research Scientist, examine whether trend following strategies have potentially added long bond bias and the ways in which that might have happened, intentionally or unintentionally.

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Themes of 2022

Kathryn M. Kaminski, Ph.D., Chief Research Strategist, and Yingshan Zhao, Research Scientist, analyze trend-following themes from 2022, including the fixed-income trade, return dispersion across managers, and variations in CTA style factors that may explain some of that dispersion.

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The Short on Shorting Bonds

Kathryn M. Kaminski, Ph.D., Chief Research Strategist, and Jiashu Sun, Junior Research Scientist, examine two common myths about shorting bonds to help clarify why, when, and how often trend followers may be shorting bonds in the future.

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Managed Futures and Macro Uncertainty: Navigating the Extremes

Kathryn M. Kaminski, Ph.D., Chief Research Strategist, and Ying Yang, Research Scientist, consider historical periods of high and low macro uncertainty for different asset classes as well as for trend-following strategies.

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Quantifying Turbulence in Trend Following

Kathryn M. Kaminski, Ph.D., Chief Research Strategist, and Yingshan Zhao, Junior Research Scientist, consider a quantitative method for measuring the amount of turbulence an investor may experience with trend following.

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Three Themes of 2021

Kathryn M. Kaminski, Ph.D., Chief Research Strategist, and Ying Yang, Junior Research Scientist, review trends and market themes of 2021 and consider the future of markets going into 2022.

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The Realities of Realizing Risk

Kathryn M. Kaminski, Ph.D., Chief Research Strategist, and Ying Yang, Junior Research Scientist, review realized risk in 2020 and the first half of 2021 and decompose realized risk into several key components.

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Multi-Strategy Investing with Global Alternatives

Kathryn M. Kaminski, Ph.D., Chief Research Strategist, and Yingshan Zhao, Junior Research Scientist, review the AlphaSimplex Global Alternatives program and how multi-strategy alternatives can be used in a traditional investment portfolio.

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The Great Fiscal Experiment: What could be next?

Kathryn M. Kaminski, Ph.D., Chief Research Strategist, and Saurabh Kelkar, Junior Research Scientist, review some interesting market trends, including the potential demise of the long bond trend, a powerful reflation trade, and the shift from monetary to fiscal policy. They also review how the use of massive government stimulus, or what they term “the great fiscal experiment,” may provide new opportunities going forward.

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Gaming the Stop on GameStop

Kathryn M. Kaminski, Ph.D., Chief Research Strategist, and H. Gray Karpel, Senior Marketing Associate, review the events surrounding GameStop (GME) shares in January 2021 and how they relate to theories of market behavior.

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Crowded Trends: Safe Haven or Sour Spot in 2020?

Kathryn M. Kaminski, Ph.D., Chief Research Strategist, and Ying Yang, Junior Research Scientist, review the concept of crowdedness and examine which crowded trades worked and which did not for trend followers in 2020.

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Trends Everywhere in 2020

Kathryn M. Kaminski, Ph.D., Chief Research Strategist, reviews market themes in 2020 and examines what trends emerged and worked well over the year.

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