Publié en décembre 2020

Lire aussi

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.

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.

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.

  • 7 janvier 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.

  • 4 septembre 2019