61 CTAs as Portfolio Diversifiers in 2015 with Peter Kambolin of Systematic Alpha Management

By Niels Kaastrup-Larsen | 01/20/2015 |

“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

Tagged 2014, CTA, mean reversion, Russia, short term, year review

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