Capturing Unpredictability: Trend Following Alpha

29 February 2024

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Trend following CTAs have been able to capitalise on bull and bear markets across asset classes in recent years, encouraging investors to view them once again as an all-weather allocation in a climate where considerable uncertainties can upend forecasting-based approaches. In this paper we explore whether it is time to evolve the “Crisis Alpha” label for trend following strategies, and instead think of them in terms of “Unpredictability Alpha”.

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