Welcome to my online repository of research and insights on automated trading system development
They say any publicity is good publicity… If that’s the case, Standard and Poor’s might have achieved the “marketing coup” of the year/decade/century (time will tell) with their downgrade of US credit rating last Friday (possibly thanks to a $2 Trillion Mistake). SGMI: a new Trend Following Index But this is not the piece of [...]
Entries Tagged as 'Fund Review'
S&P make the news… with a Trend Following Index
August 10th, 2011 · 34 Comments · Equities, Fund Review, Futures, Trend Following
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Geometric Information Ratio
April 26th, 2010 · 20 Comments · Fund Review
Following the previous post where we ranked CTA performance using the Geometric Information Ratio, a couple of readers have requested clarification/more information on it. So I thought a reference post dedicated to the Geometric Information Ratio might be a good idea. This post contains a spreadsheet used to calculate the Geometric Information Ratio, and expanded [...]
Which CTAs REALLY provide alpha (and HOW do you calculate it)?
April 22nd, 2010 · 13 Comments · Fund Review, Trend Following Wizards
The idea of having a true benchmark for Trend Following (a.k.a. Managed Futures/CTAs), independent from the performance of the existing funds, could shake up the industry and have serious implications (increased competition and fees reduction resulting from commoditization of Trend Following). The Beta of Managed Futures paper (PDF) by Conquest Group and their claim to [...]
Tags: alpha·beta·Conquest Capital Group·geometric return·information ratio
Betafication of Alpha: towards a Commoditization of Trend Following?
March 29th, 2010 · 8 Comments · Fund Review, Trend Following
Above is a diagram by Andy Lo, illustrating how alpha morphs into beta over time, as the initial strategy becomes more common/popular. Could the phenomenon affect Trend Following? And could the 2/20 fee structure charged by CTAs now be inappropriate? This Beta of Managed Futures paper (PDF) from the Conquest Group hints that Yes, the [...]
