Managed Futures Return Dispersion: A Review

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.

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The Advent of the Pandemic Factor

David E. Kuenzi, CFA®, Senior Research Scientist and Senior Portfolio Manager, and Peter A. Lee, CFA®, Senior Research Scientist and Portfolio Manager, use quantitative tools to define a “Pandemic Factor:” losses due to long positions...

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Update from the CEO

Duncan Wilkinson, CFA, Chief Executive Officer at AlphaSimplex, shares an update on AlphaSimplex’s response to the coronavirus (COVID-19).

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Letter from the CEO

Duncan Wilkinson, CFA, Chief Executive Officer at AlphaSimplex, shares his insight into AlphaSimplex’s response to the coronavirus (COVID-19).

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Risk Variation in Trend-Following Systems

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 different risk...

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