Quantica Research AG Quarterly Insights: Q4 2020
In this paper, 2020 Q4 Quarterly Insights: How CTAs Make Money in Different Yield Curve Regimes, published in December 2020, Quantica Capital AG empirically analyzes and quantifies the risk-return and diversification characteristics of trend-following returns under each of the four term-structure scenarios, using close to 50 years of available futures price history.
More specifically, an emphasis is placed on the return attribution across all asset classes to show how the opportunity set provided by the four asset classes – bonds, equities, FX and commodities – have evolved relative to each other over time.
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