Harvesting 'Crisis Alpha’
They say every crisis is also an opportunity, and some trend-following investment strategies are proving that true by reaping strong returns amid the chaos in markets triggered by the Covid-19 pandemic. AlphaSimplex Group’s Managed Futures Strategy Fund is up more than 7% in 2020, reaping what the firm’s chief research strategist Kathryn Kaminski refers to as “crisis alpha.” Kaminski discusses how trend following works and how the firm’s strategy saw the crisis brewing in other markets before it sent equities into a tailspin. Mentioned in this podcast: Crisis or Correction? A Quant’s View of the Coronavirus Don’t Feel Too Relieved by the Bounce Back in Stocks Wall Street’s Bulls Drive Epic Market Split From Grim Reality The Average U.S. Stock Is Catching None of That Megacap Magic