The authors examine the recent performance of bond markets, especially their correlation to stocks and their volatility, and examine the benefits of bonds as a tool to diversify equity exposure. They also explain why, in an...

The authors summarize the history of publicly traded managed futures funds to date, highlighting the evolution of category characteristics including returns, performance dispersion, fees, and transparency. They also contrast common...

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...

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...

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....

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,...

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...

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...

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.

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.

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.

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.

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...

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...

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.

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.

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

Kathryn M. Kaminski, Ph.D., Chief Research Strategist, and Ying Yang, Junior Research Scientist, review Managed Futures return dispersion during 2020 and since 2015, and consider a few key potential drivers of differences in return.

Kathryn M. Kaminski, Ph.D., Chief Research Strategist, reflects on the last ten years in trend-following strategies.

Kathryn M. Kaminski, Ph.D., Chief Research Strategist, and Ying Yang, Junior Research Scientists, review the recent COVID-19 crisis from the perspective of a trend-following strategy to determine what is similar and what is different...

Kathryn M. Kaminski, Ph.D., Chief Research Strategist, and Ying Yang, Junior Research Scientists, review the recent COVID-19 crisis from the perspective of a trend-following strategy to determine what is similar and what is different...

Kathryn M. Kaminski, Ph.D., Chief Research Strategist, and Ying Yang, Junior Research Scientist, describe how risk exposures are determined in trend-following systems. Additionally, they review 2019 as a case study to demonstrate how...

Kathryn M. Kaminski, Ph.D., and Robert W. Sinnott describe CTA styles across time and across managers. This approach allows us to document key themes in the CTA space: trading speeds, style tilts, and asset class tilts.