Update from the CEO
Duncan Wilkinson, CFA, Chief Executive Officer at AlphaSimplex, shares an update on AlphaSimplex’s response to the coronavirus (COVID-19).
Duncan Wilkinson, CFA, Chief Executive Officer at AlphaSimplex, shares an update on AlphaSimplex’s response to the coronavirus (COVID-19).
Dr. Kaminski revisits the concept of crisis or correction and examines market trends in the wake of the coronavirus.
Duncan Wilkinson, CFA, Chief Executive Officer at AlphaSimplex, shares his insight into AlphaSimplex’s response to the coronavirus (COVID-19).
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...
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...
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...
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...
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 December 31, 2019.
Kathryn M. Kaminski, Ph.D., discusses market size in futures and describes how a CTA market size factor can affect CTA performance.