Systematic Vs. Discretionary CTAs

Posted by Michael Harris on October 31, 2022

Based on historical returns since 1987, I show that the returns of top AUM CTAs and discretionary trader returns are statistically indistinguishable. Read the article with a Trend-Following subscription . . .

This post is for paid subscribers

+ Subscribe

Already a subscriber? Sign in

CTA systematic trading

Michael Harris

Read more about the author here

Hypothetical or simulated performance results have certain inherent limitations. Unlike an actual performance record, simulated performance results do not represent actual trading. Also, since the trades have not actually been executed, the results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Hypothetical trading results are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.

Systematic Vs. Discretionary CTAs

Michael Harris

Subscribe by email

Subscribe and receive a free book

CFTC RULE 4.41

Copyright Notice

Categories

Systematic Vs. Discretionary CTAs

Data Mining, “Momentum Monkeys”, and Survivorship-Free Data

Retail Stock Market Investors Do Not Need Macroeconomic Analysis

Equities Market: Trend-Following Or Momentum?

Michael Harris

Data Mining, “Momentum Monkeys”, and Survivorship-Free Data

Retail Stock Market Investors Do Not Need Macroeconomic Analysis

Equities Market: Trend-Following Or Momentum?

Subscribe by email

Subscribe and receive a free book

CFTC RULE 4.41

Copyright Notice

Categories