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...

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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...

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The Realities of Realizing Risk

Kathryn M. Kaminski, Ph.D., Chief Research Strategist, and Ying Yang, M.F.E., 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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Trends Everywhere 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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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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