The Era of Product Chasing - Did I miss the trade? S03:E11
Pirates of Finance
00:00
Is CTA Trend Following a Risk Transfer?
The only thing I have a problem with with the long straddle profile is that CTA trend following is not necessarily long gamma, because nobody's really adding to their positions anymore. And so they're layering into those positions, but that's so rare. So you don't really have the long gamma effects that you would get from restriking a straddle. Most people are just discreet indicators on or off or short, which is sort of now you're discreetly replicating. But those that are attenuating their signal based on volatility can outperform what would have happened with Delta replication.
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