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The new CTA generation. Video (EN/DE)

30/1/2018

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​The new CTA generation

​The traditional CTA model can largely be explained with a slow-moving momentum model which is applied to a diversified universe of underlying markets. We have observed two trends of new generation CTAs:

Firstly, technology driven. These CTAs employ artificial intelligence, machine learning, big data, and deep learning techniques or also use high frequency trading techniques to identify trends in financial markets or to profit from mispricings in related markets, sometimes in a split second.

Secondly, risk premia driven. These models view momentum as only one risk premium to explain economic fundamental return drivers in financial markets and explore additional risk premia such as carry, value, liquidity, or term structure to monetise complex market phenomena.

J8 Capital Management is of the latter kind. We not only diversify asset class risk, but also mathematical model risk.

​Die neue CTA Generation

​Herkömmliche CTA Modelle basieren auf sich langsam bewegenden Momentum Modellen, die auf breit gefächerte Märkte angewendet werden. Wir haben zwei Trends in der nächsten Generation von CTAs ausgemacht:

Zum einen technologiegetrieben: Das sind CTAs, die Methoden der künstlichen Intelligenz, Maschinenlernen, Big Data, Deep Learning, aber auch des Hochfrequenzhandels anwenden, um Preisdifferenzen im Bruchteil von Sekunden zu erkennen und auszunutzen.

Die zweite Gruppe wird von der Ausnutzung von Risikoprämien getrieben: Das sind CTAs, die Momentum als nur eine von vielen Risikoprämien betrachten, um die Komplexität der Märkte zu erklären. Sie suchen nach weiteren Erklärungen mit Hilfe von Carry-, Value-, Termin- oder Liquiditätsprinzipien.

J8 Capital Management LLP gehört der zweiten Gattung an: Wir sind nicht nur über die Anlageklassen sondern auch über mathematische und wirtschaftliche Modelle hinweg diversifiziert.
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    Dr. Tillmann Sachs, CIO and Head of Research

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  • About
    • Organisation and regulation
    • Awards & News
    • Join as trader or AR
    • Career
  • J8 GARS
    • Glossary - What is....
  • Research
    • J8 CTA Index
    • Videos >
      • Video Series: What are CTAs? EN/DE
    • JII - A liquid and investible benchmark index for the CTA and MF industry
    • THFJ - Common Denominators in CTAs: Traded Markets
    • THFJ - Common Denominators in CTAs: Portfolio Construction and Index
    • JII - Common denominators in the CTA and managed futures industry: A survey report
    • THFJ - Correlation is not always what it seems
    • Quantifying Political Risks - PhD Thesis
  • Contact