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.
Subscribe on:
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