Loss Coherence – Part II


Loss coherence applied to random variables; loss coherence matrix compared to correlation matrix; loss coherence for asset classes and trading strategies; some surprises…

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Loss Coherence – Part I


What is Loss Coherence? Define the Loss Coherence Coefficient; Next post –  Explore Loss Coherence behavior and values.

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CTA Style Analysis Using Average Weighted Trend Ratio (AWTR)


Analyze CTA trading style using AWTR; simple linear regression of CTA rolling returns; trend-following vs non-trend-following results; data.

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Average Weighted Trend Ratio for a Portfolio


Calculating the Average Weighted Trend Ratio (AWTR) for a typical portfolio of futures contracts; Examining the relationship between AWTR and trend-following CTAs; Next, practical applications of TR, formulas, and data.

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Looking Back on Trend-Following (Part 1)


The conventional wisdom is that the well-known managed futures indices overwhelmingly comprise managers following trend-following strategies.  It’s also no secret that the indices have had a tough time of late. (Maybe that’s being too kind, with the 12-month return of the SG CTA Index currently at -6%.) Continue reading “Looking Back on Trend-Following (Part 1)”

Spike? What Spike? (Or…Never Believe Anyone When They Talk About the Markets)


On Thursday night, the Trump administration launched a missile strike against Syria as punishment for the use of chemical weapons against its own people. That’s not what this post is about, however.  This post is about financial news. Continue reading “Spike? What Spike? (Or…Never Believe Anyone When They Talk About the Markets)”