TTU61: CTAs as Portfolio Diversifiers ft Peter Kambolin of Systematic Alpha Management
Episode description
Peter Kambolin comes from the short term CTA space, and thus has a different perspective than some of our previous guests for our Year in Review theme this month. He discusses how the events in Crimea and Russia shaped markets, how divergence played a role, and how his firm made small changes to models and even added a new product line in 2014.
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In This Episode, You’ll Learn:
- How the year went for Peter and his two different strategies that his firm trades.
- Why it was a challenging year for mean-reversion type strategies.
- What markets did well in his portfolio.
- What he learned from 2014 and what he would do differently.
- The minor adjustment they made to the model in October.
- How they adjusted or reacted to world events in 2014.
- Why they don’t trade certain markets because most trades are not made by humans.
- What would divergence do for his trading models.
- How they improved their backtesting in 2014.
- How to avoid an inflow of capital that will only leave a year or two later.
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Resources & Links Mentioned in this Episode:
Listen to 2 hour-long episodes with Peter on this podcast here and here.
Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.
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Learn more about the Trend Barometer here.
Send your questions to [email protected]
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Follow Peter Kambolin on LinkedIn.
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