We order vertically markets from low capacity markets (top) to high capacity (bottom). We compare each market's allocations when AUM is high (lhs, blue) vs when AUM is low and capacity is less of an issue (rhs red).

High and rising Inflation is bad for your portfolio. Especially to your bonds. If you are worried about inflation and want a better defensive allocation, returning CPI+4% in all inflation regimes, an equal mix of bonds and commodity trend may be what you are looking for.

Fear and greed drive markets. For equities this is the classic risk-off, risk-on dynamic. For commodities it can play a little differently, indeed both fear and greed can lead to commodity price rises.

Let’s talk about “bananas”. And for once this isn’t a metaphor for market madness.

Understanding the supply & demands dynamics of a market is important for trend followers, so here is a surprising result showing how inelastic demand is in the US equity market...

We examine both through the lens of which markets are ‘best’ for trend and demonstrate that it is possible to reconcile these two opponents and persuade them both to work together.

The mathematical distillation of trend into its critical components.

Oftentimes we think of CTAs as “uncorrelated”. But if you are an allocator and want to ensure your portfolio is more robust to your capital market assumptions, you should consider CTAs as a tool, right at the core, of your allocation process.

Marriages may be made in heaven but marriages of signals is done by quants. And not all unions are happy ones...

CTAs can help you out when a big crisis hits, but it’s the small crises that make it a defensive strategy.

As an allocator, deciding how much to allocate to most strategies require much work and understanding of your current portfolio. But for CTAs, we can apply a magic trick…

It’s not method, it is the motivation. And it’s not the individual, it’s the team…

For CTAs, it is common knowledge that the more markets, the greater the diversification, but it turns out that quality can trump quantity.

Trying to fit a mathematical round peg into a trading square hole can lead to some unintended consequences…

CTAs will have you believe their execution efficiency and research is key to their performance. Here I make the case that the opposite is true…

With high funding costs, allocators are facing difficulties in diversifying their investments, exposing themselves to left tail events. Can CTAs help?

I have been a fixed income quant for over twenty years. Here is why I am still in love with bonds…

CTAs offer the investor convexity. But how much? And is there a price to pay? It turns out we can benchmark CTAs… and in some cases we can meet the benchmark while in some cases we don’t...

Mathematicians are very good at what they do, which is why they often sideline experienced discretionary traders. But you can choose to have the best of both worlds...

There are no perfect solutions, so when designing a trading algorithm, we make choices based on the current markets and environment. These choices often stay with us long after the actual markets we trade have changed…