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Learning From IMC's "The MOM-TOM Effect: Detecting The Market Impact Of CTA Trading"

To test for crowding effects of Absolute Momentum strategies employed by CTAs, the author explored and found significant returns for Absolute Momentum strategies during "turn of the month" days. The hypothesis is that during such days, CTAs would have to trade up their positions to put their new inflows to work in markets, temporarily pushing prices in their favour.

01 November, 2014 / 0 Comments

Learning From Quest Partners' "Quantitative Trend Following Strategies and Equity Risk"

Style drifts in some trend following funds reduced their ability to hedge equity drawdowns and reduced their positive skew.

01 June, 2013 / 0 Comments

Learning From Auspice Capital's "The CTA VAI (Value Added Index)"

Managed Futures funds consistently add value over the long term including during financial crisis periods.

01 January, 2012 / 0 Comments

Learning From Quest Partners' "Know Your Skew"

Momentum strategies, with frequent small gains and losses and occasional large gains, are inherently positively skewed.

01 August, 2011 / 0 Comments

Learning From Quest Partners' "Black Box Trend Following – Lifting the Veil"

CTA performance can be broadly replicated with simple trend following strategies.

01 November, 2010 / 0 Comments