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Kathryn Kaminski From Komfie Manalo, Opalesque Asia:

Hedge fund managers should develop strategies that can manoeuvre during times of crisis and still be able to generate alpha, this was the gist of the views of Kathryn Kaminski, CIO and Co-founder of Alpha K Capital, a new thematic fund focusing on tail risks, during the latest Opalesque Monaco Roundtable which took place in Monaco last month. The Roundtable and was sponsored by Salus Alpha and Eurex.

Kaminski was reacting to a question posed by Opalesque CEO and Roundtable moderator Matthias Knab about her paper on crisis alpha.

Kaminski replied, "Several years ago I found it puzzling that systematic approaches were used in some of the most highly efficient markets. This confused me because frankly if there is no free lunch these types of strategies (from an academic perspective) should not work. This led me to wonder why they could work and what was it about these strategies that made them work?"

She cited as an example the performance of managed futures during equity drawdowns that are generally exceptional.

"I wanted to understand conceptually why this is the case. A review of the performance of managed futures and connections with my past thesis advisor’s theories on adaptiv......................

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