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CTAs as Portfolio Diversifiers in 2015 | Peter Kambolin, Systematic Alpha Management | #61

“Last year was quite unprecedented from the standpoint of volatility in different markets.” – Peter Kambolin (Tweet)

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.

Thanks for listening and please welcome our guest Peter Kambolin.

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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.

    “Definitely the events in the Ukraine and Russia impacted our trading.” – Peter Kambolin (Tweet)

  • 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.

Resources & Links Mentioned in this Episode:

Listen to 2 hour-long episodes with Peter on this podcast here and here.

This episode was sponsored by Swiss Financial Services:

Connect with Systematic Alpha Management:

Visit the Website: www.systematicalpha.com

Call Systematic Alpha Management: +1 646 825 8075

E-Mail Systematic Alpha: info@systematicalpha.com

Follow Peter Kambolin on LinkedIn

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