The Differences Between CTA and Regular Portfolios

Generally speaking, we are using very similar models across all the markets with an appropriate adjustment for liquidity and slightly different mixes depending on some special characteristics that a sector like credit might have. In many cases, we'll specify certain aspects of our model as opposed to estimate it in order to avoid back-test bias. You don't want to be overfitting. So you allow yourself a little bit of room to maybe trade this sector a little faster than that sector or to include maybe more breakout type models in this place as opposed to that place. But you really want to be absolutely mindful that everything you're doing for a good reason and that you don't become back-test junkies.

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