Systematic investing in a dislocated market
After 10 years of investors picking up pennies thinking that there is no risk in basis trades, the tide turns. Extreme market conditions are almost a daily occurrence, leading investors to question whether trend-following can still be a diversifier in this environment. Are there systems that survive this environment of V-shaped price patterns and heavy kurtosis?
Kathryn Kaminski, chief research strategist and portfolio manager, AlphaSimplex
Moderator: Alex Proimos, head of institutional content, Investment Magazine
- There are changes to market structure taking place which include the ongoing growth of passive and systematic activity and the exuberance of retail trading accounts with zero transaction costs.
- Government stimulus and emergency liquidity measures have created a temporary situation whereby underlying fundamentals are not driving recent equity market performance.
- Assets such as commodities and currencies are likely to experience higher levels of dislocation since these do not receive the same level of central bank support.
How emotionally challenging was the March drawn down experience?
- High anxiety and distress
- Moderate anxiety
- Minimal anxiety
- Alert and awake