Do ‘trend’ risk premiums explain CTA performance?

Included below is a link to Andrew Beer’s most recent article in P&I, which was featured in today’s Industry Voices section.

This article entitled, “Do Trend Risk Premiums Explain CTA’s Performance?”, provides an insightful look at the performance of recent attempts to replicate CTA performance through creating “trend” models which seek to offer a higher alpha way to access CTA performance and the viability of this approach going forward.

P&I subscribers click here to continue reading this article.

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March 6, 2018