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.
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.
Kathryn M. Kaminski, Ph.D., Chief Research Strategist, and Yingshan Zhao, Junior Research Scientist, review the AlphaSimplex Global Alternatives program and how multi-strategy alternatives can be used in a traditional investment portfolio.
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...
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.
Kathryn M. Kaminski, Ph.D., Chief Research Strategist, and Ying Yang, Junior Research Scientist, review the concept of crowdedness and examine which crowded trades worked and which did not for trend followers in 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.
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...