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.

10 mai 2022
Loomis on Loans – Q1 2022

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

20 avril 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.

2 mars 2022
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.

2 décembre 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.

6 octobre 2021
Trends Everywhere 2020

What happened and which trends worked well in 2020?

16 mars 2021 Kathryn M. Kaminski
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.

9 mars 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.

2 décembre 2020
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.

22 avril 2020 Kathryn M. Kaminski
Gestion dynamique des primes de risque

Exploiter le caractère cyclique des facteurs d’investissement.

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
Crisis or Correction?

Managing Expectations for Managed Futures and Crisis Alpha.

2 juillet 2019 Kathryn M. Kaminski
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.

8 février 2019
L'avenir des retraites au Royaume-Uni passe-t-il par les régimes de retraite collectifs à cotisations définies (CDC) ?

Le régime collectif à cotisations définies est dans l’ADN des néerlandais. Peut-il être exporté au Royaume-Uni ?

19 octobre 2018 Nick Groom
Investir autrement dans les actions à faible volatilité

Les stratégies put-write affichent des performances quasiment similaires à celles des actions, mais avec des pertes moins fréquentes.

18 juin 2018 D. David Jilek
Pourquoi les indices doivent-ils entrer dans le XXIe siècle

Interview du Dr. Andrew Lo

24 juillet 2016
Crisis Alpha

Les managed futures, un refuge potentiel contre les turbulences de marché

20 juin 2016
Quand les instits regardent les infras

Le point sur une classe d’actifs en pleine mutation : l’investissement en fonds propres dans les infrastructures.

2 octobre 2015 Gwenola Chambon - Mounir Corm