
Author: Michael Harris
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Trend-Following Risks and The Top CTA Performance

Extreme Macro Causes Volatility

Trend-Following Many Markets Maximizes Sharpe

Diversification and Trend-following

Positive Skew Can Hurt Returns

CTAs and Sharpe Ratio

Trend-Following Is Appealing in Theory But Painful in Reality

Reliance on a Single Strategy Poses High Risks

Strategies Fail When Market Regimes Change

On The Importance Of The Sharpe Ratio
