It's the Autocorrelation, Stupid

  • 14 Nov 2012
  • By Newedge

In this research note we: describe the data sets that we used to establish the presence and persistence of autocorrelation in CTAs’ returns; present a drawdown puzzle involving the 67 CTAs who had ever appeared in the Newedge CTA Index that brought the importance of autocorrelated returns to our attention

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