Tag Archives: trend following
According to actual performance data, top 20 CTA woes continue in 2018 with an average return of about -2.65% year-to-date. A statistical test shows that the null hypothesis of random performance of top 20 CTAs since 1987 cannot be rejected.
The edge the financial media and trading gurus provide comes in the form of dumb money needed for systematic and skilled traders to realize alpha.
Traders and investors are constantly bombarded by articles touting price series momentum and trend-following in equity markets. But it is possible that these claims rest on wishful thinking rather than on strategy robustness. Here is an example. For access to … Continue reading
This apologetic narrative is frequently found in blogs and social media: “I have traded for X number of years.” It is often used by those who have not kept up with progress in financial markets to convince an audience that … Continue reading
In this article we look at the past performance of two popular trend-following strategies applied to the Dow 30 group and attempt to explain the reasons this style has fallen out of favor among some fund managers. For access to … Continue reading