Daily BriefsQuantitative Analysis

Daily Brief Quantitative Analysis: Creating a CTA from Scratch- II and more

In today’s briefing:

  • Creating a CTA from Scratch- II

Creating a CTA from Scratch- II

By Nicolas Rabener

  • CTAs pursue trends across asset classes, regardless if long or short
  • 2022 is exceptional as CTAs have more short positions than during the GFC
  • No single long bond index position remains, fixed income is one big short

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