CTA Fund Performance Report – 30 June 2020 – “Are all these Apples Alike? – Dispersion Unpacked for the TF Mob”

I mentioned last week that I might investigate some of the concerns raised in recent podcasts regarding the apparent increase in the dispersion of returns in the Trend Following space.  So I played around with the concept of dispersion in relation to those Funds that are classified  as Long Term Globally Diversified Systematic Trend Following

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.