Not a fan of the name of this research by Newedge: “It’s the autocorrelation, stupid“, but I am a fan of the research. This is a very detailed article that explains a reason why drawdowns in equities can be deeper … Continued
CTA
Morningstar Perspective on Managed Futures
Morningstar recently released a very good article on the effects of government intervention on investor behaviour. According to the author, the effect of increased money supply seems to increase the risk appetite for investors relative to less risky strategies such … Continued
Comments re fundamental analysis in Wall Street Journal
“Many investors rely on fundamentals, such as earnings for companies, or weather for natural gas, to identify when an up or down trend is about to reverse. But Pickering ignores this type of analysis, arguing “fundamentals and actual market movements … Continued
Article featuring Tim Pickering on correlation
Kirsten Bischoff of Opalesque writes: There is little doubt that the recent market shakeup will offer CTA firms another chance to make the case for portfolio diversification into commodities. “The benefits of a CTA are not only non‐correlation but tail … Continued