Crisis Alpha
Crisis alpha is return earned from persistent trends that form after a market crisis starts — not a prediction of the crash day, and not a put that pays on a two-day dip.
Definition
Kaminski’s term: after a dislocation, many markets trend (risk-off FX, rates, equities, commodities) for weeks to months. A two-way futures book can flip and ride those trends. A two-day correction that mean-reverts gives the CTA no time to build the short. Crisis ≠ correction.
Why it matters
It is the allocator’s reason to hold trend through the boring years. It is also the most abused slide in the deck.
Case
Feb 2018 and Mar 2020 Q1: fast corrections; many trend books were late or mixed. 2008 H2 and 2022: slow, persistent crises; trend paid. The word ‘crisis’ hid the duration.
How to read it
Ask for performance in crash weeks vs crash quarters. If the pitch is ‘always up when stocks are down,’ they are selling a put they do not own.
Key papers
Landmark references with real publisher or arXiv links — not token-overlap noise.
- In Search of Crisis AlphaKaminski · 2011 · CMEThe short guide that named the concept for allocators.