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...
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...
This paper examines the sources of potential return dispersion across portfolios of risk premia strategies. In addition to classifying these sources of return dispersion, the paper also provides an analysis that helps to make these...
Dr. Kathryn Kaminski, Chief Research Strategist and Portfolio Manager, comments on 2018 market events and the need to manage expectations for trend following strategies during equity market corrections.
Key facts on AlphaSimplex Group, LLC as of June 30, 2019.
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.
Do naïve versions of risk premia strategies offer the same level of opportunity from one year to the next? This paper discusses how risk premia strategies change over time and the ways they are being...
With the return of volatility to markets in 2018, some Managed Futures strategies have struggled. This paper discusses the counter-cyclical performance of Managed Futures strategies and the ways in which these strategies have re-positioned for...
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.
Duncan Wilkinson, CFA, Chief Executive Officer at AlphaSimplex, shares his insight on major events that impacted the markets in 2016, including the U.S. presidential election.