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Doug Greenig - At the Frontier of Trend Following

Flirting with Models

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The Attraction of the CTA Trend-Following Style

The CTA trend-following style is one of the few strategies where you really get to profit from the unexpected, these dislocations. It may not be the highest sharp ratio strategy, but it has such a nice positive skill. A lot of times the kurtosis is working for you, not against you. The bad thing about the style is the sharp ratio isn't very high.

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