CTA Style Evolution
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...
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.
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...
Dr. Kathryn Kaminski, Chief Research Strategist and Portfolio Manager, comments on recent market events and the need to manage expectations for trend following strategies during equity market corrections.
A comparison of the institutional and behavioral perspectives on why markets trend.
In the context of the hedge fund industry’s growth over the past two decades, Andrew Lo, Peter Lee, and Mila Getmansky present a selective review of recent hedge fund academic literature and updated empirical results...
What are managed futures strategies? What role can they play in a durable portfolio? This brief positioning paper examines managed futures strategies and their historical performance to address these questions.
In the Adaptive Markets Hypothesis (AMH) intelligent but fallible investors learn from and adapt to changing economic environments. This implies that markets are not always efficient, but are usually competitive and adaptive, varying in their...
