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.
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...
Kathryn M. Kaminski, Ph.D., Chief Research Strategist, reflects on the last ten years in trend-following strategies.
Kathryn M. Kaminski, Ph.D., Chief Research Strategist, and Ying Yang, Junior Research Scientist, review the recent COVID-19 crisis from the perspective of a trend-following strategy to determine what is similar and what is different from...
Kathryn M. Kaminski, Ph.D., Chief Research Strategist, describes different top-level approaches to volatility and the ways in which managers can approach risk in their strategies.
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...
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...
