How adaptive models got AlphaSimplex through the Covid crisis
System sped up moves out of stocks into commodities and bonds
For trend followers like Kathryn Kaminski the defining feature of the coronavirus selloff was its speed – a feature that could easily trip a quant firm like hers. US equities plunged nearly 34% in 23 days. In the subprime mortgage crisis in 2008, the market took more than four times as long to fall roughly half as far.
“It was one of the fastest crisis periods we’ve had in the past 20 years,” the chief research strategist and portfolio manager at quant manager AlphaSimplex tells Risk.net. “As
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