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Our CTA replication strategy is down 5.8% year-to-date, versus a 10.4% loss for the DBMF ETF and a 9.4% loss for the CTA ETF. The KMLM ETF is down 3.7% year-to-date. Our strategy (REPA) does not rely on an index to ...

Recent tail risk events and how fixed-income markets reacted to them have put pressure on managed futures replication. The S&P 1500 banking sector index has plunged 14% in the last two trading days (Friday, March 10, and Monday, March 13, 2023). As ...

The dual momentum strategy was described in papers and in a book published in 2013. Post-publication analysis shows a significant deterioration in performance. We attribute the performance deterioration to selection bias and regime changes. This article is along the lines of ...

Trading and investing are complicated topics where people have an illusion of control over risk and often confuse risk and uncertainty. In financial markets, the risk usually comes from not getting the expected return, alpha, or risk-adjusted return, hitting uncle point, ...

If there is a vomiting camel pattern, we should also have a golden pliers pattern, the one that formed in the S&P 500 a few days ago and as of the close of March 2, 2023. This is the chart with ...

The golden cross moving average signal, when applied to the S&P 500 index, has provided slightly better risk-adjusted returns but at the cost of destroying profitability. A golden cross (the 50-day moving average crossing above the 200-day moving average) occurred in ...

Trend-following CTAs delivered exceptional performance last year due to rare economic conditions that created favorable conditions for their strategies but in the last 22 years have failed to outperform the simplest momentum strategy. After a “lost decade” from 2009 to 2018, ...

We used the Norgate Data price series for Russell 3000 stocks with current and past constituents to determine whether breakouts or moving averages provide the most robust trend-following signals. When backtesting trading strategies for stock index constituents, it is necessary to ...

Occasionally, rare outliers are delivered by the markets. Should the long-term performance of a strategy depend on catching those rare outliers? Our answer is “No”. Before we get a bit mathematical and present simulations, let us use some common sense. It is ...

Where can we draw a line between hype and reality in managed futures? A few thoughts. After a lost decade, from 2009 to 2018, managed futures trend-following delivered solid gains and the best performance since 2000 last year. The SG Trend Index ...