Three Themes of 2021

Kathryn M. Kaminski, Ph.D., Chief Research Strategist, and Ying Yang, M.F.E., Junior Research Scientist, review trends and market themes of 2021 and consider the future of markets going into 2022.

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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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The Great Fiscal Experiment: What could be next?

Kathryn M. Kaminski, Ph.D., Chief Research Strategist, and Saurabh Kelkar, Junior Research Scientist, review some interesting market trends, including the potential demise of the long bond trend, a powerful reflation trade, and the shift from...

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Gaming the Stop on GameStop

Kathryn M. Kaminski, Ph.D., Chief Research Strategist, and H. Gray Karpel, Senior Marketing Associate, review the events surrounding GameStop (GME) shares in January 2021 and how they relate to theories of market behavior.

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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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The Advent of the Pandemic Factor

David E. Kuenzi, CFA®, Senior Research Scientist and Senior Portfolio Manager, and Peter A. Lee, CFA®, Senior Research Scientist and Portfolio Manager, use quantitative tools to define a “Pandemic Factor:” losses due to long positions...

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