Trend-Following CTAs Suffer Performance Declines

Some quantitative investors are concerned that commodity trading advisers (CTAs) are “ill-equipped to handle a new era of steeper declines and sudden volatility spikes,” according to a recent article in Bloomberg. In February, the article asserts, the trend-following strategy employed by CTAs suffered the worst month since 2001 (according to a Societe General basket of the 20 largest managers), and in the beginning of March these funds fell by 0.7 percent. The article offers the… Read More

Some Ideas for Investing in a Low Return Environment

There is a very strong likelihood that returns for investors over the next decade will be significantly lower than what we have seen in the past ten years. With the trailing ten-year return of the S&P 500 at around 10% and the ten-year return of a 50-50 stock and bond portfolio at a little less than 7%, investors have become accustomed to above average returns. But long-term data indicates that these ultra-strong returns are very… Read More

You Can’t Time The Market – But Many People Should

By Jack Forehand, CFA (@practicalquant) — There are few topics that are more controversial in the stock market than market timing. Most long-term investors will tell you that market timing is impossible. Given that in order to time the market, you not only need to know when to get out, but also when to get back in, you can see why they think that. And on top of that, many market declines are just corrections… Read More