Quantitative Trading Thu, 05 Mar 2020 13:37:00 GMT language
I generally don't like to write about our investment programs here, since the good folks at the National Futures Association would then have to review my blog posts during their regular audits/examinations of our CPO/CTA. But given the extraordinary market condition we are experiencing, our kind cap intro broker urged me to do so. Hopefully there is enough financial insights here to benefit those who do not wish to invest with us.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
For further reading on convex strategies, please see the papers by Paul Jusselin et al “Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies” and Dao et al “Tail protection for long investors: Trend convexity at work” (Hat tip to Corey Hoffstein for leading me to them!)Thu, 05 Mar 2020 13:37:00 GMT language