Why this matters: Short is the New Long

Why this matters is a blog series introducing content topics for the Time Summit. For information on the conference, visit timesummit.org.

Kathryn Kaminski, Chief Research Strategist and Portfolio Manager at AlphaSimplex, will be moderating a panel at our upcoming Time Summit on April 30th / May 1st, in Pinehurst, NC. This panel will be preceded by a presentation from David Dunning, social psychologist and professor of psychology at the University of Michigan, where he will showcase his work on hypocognition – “the lack of linguistic or cognitive representation for an object, category, or idea.” In other words, hypocognition characterizes behavior in the presence of unknown unknowns. The panel will focus on the implications of hypocognition and how this could be applied to investments and finance.

We’d also like to draw attention to Kathryn’s recent paper, Short is the New Long. In this work, Kathryn looks at how the financial markets experienced a turbulent year in 2018, which affected the performance of trend following strategies. Going into 2019, she sees trend following strategies may be positioned for potential change.

As is often stated, history does not necessarily repeat itself, but in can certainly rhyme. In this paper Kathryn explores several different “rhymes” to see if there are possible correlations we can draw.

  • Is this time different? – A look at ‘18 and ‘07, even though the reversals in the markets were for different reasons, the similarities in the markets stand out.
  • How did trend navigate 2007 and 2018? – Focusing on the trends leading into the ’07 and ‘18
  • How do market reversals impact trend positioning? – A look at the asset classes and the change in positioning during the course of the year.
  • What can we expect going forward? – Thoughts on ’08, and how it may apply to ’19.

Download the paper