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Betafication of Alpha: towards a Commoditization of Trend Following?
Above is a diagram by Andy Lo, illustrating how alpha morphs into beta over time, as the initial strategy becomes more common/popular. Could the phenomenon affect Trend Following? And could the 2/20...
View ArticleOne for the CTA Skeptics
I mentioned, in a recent post, a paper by Newedge presenting a Trend Follower CTA sub-Index as well as a mechanical Trend Following benchmark (Newedge Trend Indicator). I recently found another paper...
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