Kathryn Kaminski | Crisis alpha, building systematic models and markets detached from financial theory

In episode 60, Alex Proimos speaks with Kathryn Kaminski, chief research strategist, portfolio manager at AlphaSimplex (an affiliated investment manager of Natixis).

This episode discusses why market views may not be lining up with the financial theory, the detachment of the market from fundamentals, has the nature of the market changed, how to capture behavioural aspects as a systematic investor, incorporating volatile market regimes in a systematic model, feedback loops with many investors are on the same trade, being short at a time of immense Fed support and what is meant by the term crisis alpha.