Crisis or Correction? A Quant’s View of the Coronavirus
Dr. Kaminski revisits the concept of crisis or correction and examines market trends in the wake of the coronavirus.
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...
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 September 30, 2020.
Kathryn M. Kaminski, Ph.D., discusses market size in futures and describes how a CTA market size factor can affect CTA performance.
Kathryn M. Kaminski, Ph.D., discusses market trends in 2018 and how they compare to other historical periods, particularly 2007-2008.
With the return of volatility to markets in 2018, some Managed Futures strategies have struggled. This paper discusses the counter-cyclical performance of Managed Futures strategies and the ways in which these strategies have re-positioned for...