Modelling Complex Systems – Tracy-Widom Distributions

“Whereas “uncorrelated” random variables such as test scores splay out into the bell-shaped Gaussian distribution, interacting species, financial stocks and other “correlated” variables give rise to a more complicated statistical curve. Steeper on the left than the right, the curve has a shape that depends on N, the number of variables.”

CTA Fund Performance Report – 31 May 2019 – A Month of Reversals

May 2019 saw another positive performance result for the Commodity Trading Advisors as a group. This is the fourth consecutive month in a row for positive returns in the CTA Composite Index (12)….however despite the solid performance of the CTA’s as a whole, we saw a slight negative result for the Trend Following Global CTA’s.