CTAs and Alpha Generation: Is Efficient Implementation the Answer?

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CTAs and Alpha Generation: Is Efficient Implementation the Answer?

hedgenordic

1 month ago

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By Andrew Beer, Co-Founder of DBi: After a decade of studying CTAs, we have drawn three conclusions about the nature of their alpha generation. At the strategy level we believe:

CTA alpha is generated by early, contrarian bets on big price moves across commodities, rates, currencies and equities.

CTA alpha is lumpy, because these types of “regime shifts” are rare.

CTA alpha is concentrated in major liquid markets simply because regime shifts play out in, and more money is made in, th...

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