CTA Market Size Factor: Bigger was Better in 2018
Kathryn M. Kaminski, Ph.D., discusses market size in futures and describes how a CTA market size factor can affect CTA performance.
Kathryn M. Kaminski, Ph.D., discusses market size in futures and describes how a CTA market size factor can affect CTA performance.
Kathryn M. Kaminski, Ph.D., discusses market trends in 2018 and how they compare to other historical periods, particularly 2007-2008.
Dr. Kathryn Kaminski, Chief Research Strategist and Portfolio Manager, comments on recent market events and the need to manage expectations for trend following strategies during equity market corrections.
A comparison of the institutional and behavioral perspectives on why markets trend.
In the context of the hedge fund industry’s growth over the past two decades, Andrew Lo, Peter Lee, and Mila Getmansky present a selective review of recent hedge fund academic literature and updated empirical results...
What are managed futures strategies? What role can they play in a durable portfolio? This brief positioning paper examines managed futures strategies and their historical performance to address these questions.
In the Adaptive Markets Hypothesis (AMH) intelligent but fallible investors learn from and adapt to changing economic environments. This implies that markets are not always efficient, but are usually competitive and adaptive, varying in their...
The quantitative aspirations of economists and financial analysts have for many years been based on the belief that it should be possible to build models of economic systems—and financial markets in particular—that are as predictive...
Drs. Andrew Lo and Alexander Healy propose a futures overlay strategy designed to hedge out or control the common factor exposures of gated assets. The study demonstrates that by taking countervailing positions in stock, bond,...
The study investigated the possibility of creating passive replicating portfolios or “clones” using liquid exchange-traded instruments that could provide similar risk exposures as hedge funds’ at lower cost and with greater transparency.
