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kathryn-kaminski

Kathryn M. Kaminski, PhD, CAIA®

Chief Research Strategist, Portfolio Manager
AlphaSimplex

As Chief Research Strategist at AlphaSimplex, Dr. Kaminski conducts applied research, leads strategic research initiatives, focuses on portfolio construction and risk management, and engages in product development. Dr. Kaminski is a member of the Investment Committee. She also serves as a co-portfolio manager for the AlphaSimplex Managed Futures Strategy.

Dr. Kaminski joined AlphaSimplex in 2018 after being a visiting scientist at the MIT Laboratory for Financial Engineering. Prior to this, she held portfolio management positions as a director, investment strategies at Campbell and Company and as a senior investment analyst at RPM.

Dr. Kaminski co-authored the book, Trend Following with Managed Futures: The Search for Crisis Alpha (2014). Her research and industry commentary have been published in a wide range of industry publications as well as academic journals. She is a contributory author for both the CAIA® and CFA® reading materials. Dr. Kaminski is a Senior Lecturer at the MIT Sloan School of Management and has taught at the Stockholm School of Economics and the Swedish Royal Institute of Technology, KTH.

Dr. Kaminski earned an SB in electrical engineering and PhD in operations research from MIT where her doctoral research focused on stochastic processes, stopping rules, and investment heuristics. Dr. Kaminski is also a CAIA® charterholder.

CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA Institute.

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Trends Everywhere 2020

What happened and which trends worked well in 2020?
Reflections on Ten Years in Trend Following

Kathryn M. Kaminski from Alpha Simplex looks back on her personal journey in the quest for “crisis alpha”, a research concept she created ten years ago.

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What Is Crisis Alpha? How Do Some Managed Futures Strategies Pursue It?

Persistent cross-asset trends during periods of market stress, crisis alpha and the strategic role of managed futures are explained.
Crisis or Correction?

Managing expectations for managed futures and crisis alpha.