Systematic Trading research and development, with a flavour of Trend Following
Au.Tra.Sy blog – Automated trading System header image 2

Entries Tagged as 'cta'

One for the CTA Skeptics

April 20th, 2011 · 3 Comments · Trend Following

I mentioned, in a recent post, a paper by Newedge presenting a Trend Follower CTA sub-Index as well as a mechanical Trend Following benchmark (Newedge Trend Indicator). I recently found another paper taking the concept further: Fooling some of the People all of the time: The inefficient Performance and Persistence of CTAs. Abstract: Investors face […]

[Read more →]

Tags:

Betafication of Alpha: towards a Commoditization of Trend Following?

March 29th, 2010 · 9 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 […]

[Read more →]

Tags: ···