The Market Distribution of Returns Reveals all for those that like to Speculate

All this talk about convergence and divergence can be confusing but for those interested in harvesting an edge in today’s modern efficient markets, the following diagram (of the typical market distribution of returns for a liquid instrument such as the S&P500) tells the story and is an invaluable guide towards your quantitative data mining efforts.

CTA Fund Performance Report – 31 March 2020 – “Welcome to the disorienting world of uncertainty”

There are unpredictable moments in time when things start becoming….. well…… you know….uncertain. What was up is now down…what was wrong is now right……what worked well works no more……you know what I mean. Uncertain. This is the moment when what screams in your head as the most rational choice can often lead to your biggest