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.

Learn More

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...

Learn More

Update from the CEO

Duncan Wilkinson, CFA, Chief Executive Officer at AlphaSimplex, shares an update on AlphaSimplex’s response to the coronavirus (COVID-19).

Learn More

Letter from the CEO

Duncan Wilkinson, CFA, Chief Executive Officer at AlphaSimplex, shares his insight into AlphaSimplex’s response to the coronavirus (COVID-19).

Learn More

Risk Variation in Trend-Following Systems

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...

Learn More

Markets in Motion: The Return of Trend

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...

Learn More