In recent years, the CTA industry has experienced significant growth in assets under management. This impressive growth has two main drivers: first, renowned CTA benchmarks show that CTA strategies can generate an attractive, risk-adjusted return in the long term; and second, CTAs have proven to...

The occurrence of trends within financial markets is inconsistent with the assumptions of classical financial theory. Nevertheless, it can be empirically validated that market prices can be subject to trends and profitably exploited. But − which trends should you measure? Which trend is your...

Risk-parity strategies have gained considerable popularity in recent years. For commonly accepted rumours have it that the historically attractive performance of risk-parity strategies has been due in large part to the trend toward record-low market interest rates. However, the yield situation...

The risk parity asset allocation methodology has recently increased in popularity, as such strategies have in general avoided the hefty drawdowns during the recent volatile market periods. Even the most fervent critics appreciate the diversifying potential historically provided by risk parity...