P&I: CTAs capture unpredictability alpha


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Trend-following CTAs have been able to capitalize on bull and bear markets across asset classes in recent years. It is time to evolve the “crisis alpha” label for trend-following strategies, and instead think of them in terms of “unpredictability alpha.”

The “crisis alpha” description of trend following CTA return profiles has become limiting in the post-COVID and post-QE/ZIRP environment of heightened economic, policy, political and geopolitical uncertainty.

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