Persistent cross-asset trends during periods of market stress, crisis alpha and the strategic role of managed futures are explained.
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.
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.
AlphaSimplex’s Katy Kaminski discusses crisis alpha, why trend-following generated positive returns in 1H, and trends to watch in 2H 2022.