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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Markets in Motion: The Return of Trend

Kathryn M. Kaminski, Ph.D. describes the return of momentum in fixed income trades during the first months of 2019. This is in contrast to 2018, which was more difficult period for trend-following strategies. Through August...

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CTA Style Evolution

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...

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