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 […]
Entries Tagged as 'cta'
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 […]