021 - Dave Aspell - Mt Lucas Management - Keep It Simple!
The Algorithmic Advantage
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Capturing the Investor Risk Premium in Managed Futures Market
The chapter delves into the concept of risk premium in the market, focusing on managed futures and how CTAs capitalize on market surprises. It emphasizes the importance of having a robust model to capture this premium and staying true to proven strategies. The discussion highlights the evolution of research in investment strategies, touching on incorporating global bond futures and cautioning against overcomplicating approaches.
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