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~Jez Liberty
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Futures Broker

Wisdom Trading, a Futures Broker who can Execute your Trading System and provide access to Global Markets and CTA's – all at great rates.
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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 […]

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Tags: 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 […]

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Tags: alpha·benchmark·beta·cta

Au.Tra.Sy blog, Systematic Trading research and development, with a flavour of Trend Following.

Disclaimer: Past performance is not necessarily indicative of future results. Futures trading is complex and presents the risk of substantial losses; as such, it may not be suitable for all investors. The content on this site is provided as general information only and should not be taken as investment advice. All site content, shall not be construed as a recommendation to buy or sell any security or financial instrument, or to participate in any particular trading or investment strategy. The ideas expressed on this site are solely the opinions of the author. The author may or may not have a position in any financial instrument or strategy referenced above. Any action that you take as a result of information or analysis on this site is ultimately your sole responsibility.

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN; IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK OF ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL WHICH CAN ADVERSELY AFFECT TRADING RESULTS.

THESE PERFORMANCE TABLES AND RESULTS ARE HYPOTHETICAL IN NATURE AND DO NOT REPRESENT TRADING IN ACTUAL ACCOUNTS.

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