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AlphaSimplex’s Managed Futures and Market Stress

AlphaSimplex’s Katy Kaminski discusses crisis alpha, why trend-following generated positive returns in 1H, and trends to watch in 2H 2022.

Managed Futures and Macro Uncertainty: Navigating the Extremes

This conceptual whitepaper examines how trend-following strategies tend to behave in uncertain, changing macro environments and how these can be complementary within an investor’s portfolio.

  • May 10, 2022
Loomis on Loans – Q1 2022

A quarterly look at data and topics in the syndicated loan market.

  • April 20, 2022
Quantifying Turbulence in Trend Following

AlphaSimplex examine how often turbulence is high on both a daily and monthly basis and use a novel method to classify what forces are driving turbulence: magnitude surprises or correlation surprises.

  • March 2, 2022
Inflation & How to Hedge Portfolios

Rightly or wrongly, the investor believes there is a link between inflation and more volatility in equity markets. An investor who is concerned over a rising equity risk in his portfolio may opt for an overlay strategy to reduce it, rather than government bonds.

AlphaSimplex: Three Themes of 2021

From a trend-following perspective, three new themes have emerged in 2021 as aftermath of the pandemic and as potential trends: inflation, the end of the great bond bull market trend, and value/growth style rotations in equity markets.

  • December 2, 2021
The Realities of Realizing Risk

AlphaSimplex Group’s Chief Research Strategist analyses realized risk over recent crisis periods in global markets and considers future implications.

  • October 6, 2021
Volatility: Banking on Behavioural Economics

Why a rise in regulation and the exogenous shock of a pandemic have skewed the volatility risk premium firmly in investors’ favour.

Trends Everywhere 2020

What happened and which trends worked well in 2020?

2021 Preqin Global Hedge Fund Report: Risk Premia Investing Should Be Dynamic

Alternative risk factors, or premia, can be used to exploit the cyclical nature of the global economy.

  • March 9, 2021
The Advent of the Pandemic Factor

The Pandemic Factor, Alpha Simplex Group’s quantitative factor aiming at identifying the daily influence of the coronavirus pandemic on stocks’ returns, may help investors manage risk and construct better portfolios.

  • December 2, 2020
Volatility Hedging: from Theory to Reality

Downside protection really paid off in 2020. But it’s not as simple as buying the VIX.

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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.

Dynamic Risk Premia

Exploiting the cyclicality of investment factors.

Markets in Motion: The Return of Trend

Fundamental investors tend to be skeptical of price-based strategies, because they generally believe that markets are efficient. Yet, during certain scenarios, markets move in unexpected directions temporarily exhibiting price momentum.

  • January 7, 2020
Sources of Return Dispersion in Alternative Risk Premia

ASG Research has identified eight sources of potential return dispersion across portfolios of risk premia strategies. A simulation analysis shows, returns can quite differ based on few alterations of these sources.

  • September 2, 2019
Crisis or Correction?

Managing expectations for managed futures and crisis alpha.

CTA Market Size Factor: Bigger was Better in 2018

Since the size of different futures markets varies from contract to contract, having risk in a number of smaller markets can provide better returns.

  • February 5, 2019
A Look at Trend Following Strategies, Past and Present

Going into 2019, trend following strategies are positioned for potential change.

  • January 10, 2019
CDC Pensions and the Future of UK Retirement

Collective defined contribution (CDC) is part of the fabric of Dutch society. Could it be exported to the UK?

Low vol Equity: There's Another Way

"Put-write" strategies have nearly kept pace with US equities, but with fewer drawdowns.

Time to Re-invent the Default Wheel?

How a combination of member profiling and applying a risk-first investment approach improves member outcomes.

Why Indexes Need to Enter the 21st Century

Q&A with Dr. Andrew Lo.

  • July 24, 2016
Crisis Alpha

Managed futures may provide shelter from storms and diversified returns in calm markets.

  • June 20, 2016