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A Quantitative Approach to Tactical Asset Allocation

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Momentum Strategies in Futures Markets and Trend-Following Funds

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Volatility Exposure of CTA Programs and Other Hedge Fund Strategies

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Fact, Fiction and Momentum Investing

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Trend Factor: A New Determinant of Cross-Section Stock Returns

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Sortino: A ‘Sharper’ Ratio

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MANAGED FUTURES AND HEDGE FUNDS: A MATCH MADE IN HEAVEN

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Revisiting Kat\’s Managed Futures and Hedge Funds

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Quest #1: Trend Following – Lifting the Veil

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Quest #2: Know Your Skew

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Quest #3: Quantitative Trend Following Strategies and Equity Risk

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Quest #4: Mean Reversion – Illustration of Irregular Returns in US Equity and Fixed Income Markets

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Quest #5: Hedge Fund Index Replication

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Quest #6: Return Enhancing Style Drifts in Futures/FX-Based Momentum Portfolios

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The MOM-TOM Effect: Detecting the Market Impact of CTA Trading

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Two centuries of trend following

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Managed Futures: Staying the Course

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A Comparison of CTA Indexes

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Backtesting

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THE TACTICAL AND STRATEGIC VALUE OF COMMODITY FUTURES

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