Systematic Trading research and development, with a flavour of Trend Following
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Entries Tagged as 'benchmark'

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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