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TTU134: Crisis Alpha Revisited ft. Katy Kaminski, Chief Research Strategist at AlphaSimplex Group

Top Traders Unplugged

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How Important Is Crisis Alpha?

I'm curious, you know, you've talked a lot about crisis. How much does that inform that this is in your mind, the importance of the program having that crisis as a characteristic? One speed of system. Is it better to be faster to have a greater likelihood of delivering performance in a crisis? That's one thing. Secondly, there's a topic that comes up frequently here is, is vol sizing or not. And then more generally kind of risk variation, allowing the fall of the program across the whole portfolio to be higher in those risk periods.

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