Kathryn Kaminski: The Source of Crisis Alpha

Kathryn Kaminski discusses the main conclusions reached in her popular research paper, In Search of Crisis Alpha: A Short Guide to Investing in Managed Futures. She explains the source of this particularly valuable type of alpha and its origins in specific environments where any kind of alpha is hard to extract from markets. This understanding sheds light on why the value of these strategies is sustainable over the long-term.

Kathryn Kaminski, Assistant Professor at Swedish Royal Institute of Technology and Senior Lecturer at MIT