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Editor’s Letter


As 2016 starts with one of the worst ever equity market performances, systematic and quantitative (SQ) funds are topping the performance tables, with traditional trend-following CTAs in the lead. As markets move into uncharted territory, dispassionate SQ funds seem well placed to cope. Oil and various metals have, for some time, been trading well below marginal production costs for much of the supply curve, but the glut of these commodities stubbornly persists, and trend models have followed prices down. They have also profited from the continuing appreciation of government bond prices. Negative interest rates were dismissed as temporary or anomalous by some discretionary traders. Now those prices above par look like prescient signals, with at least five central banks (in the Eurozone, Sweden, Denmark, Switzerland and Japan) setting official interest rates below zero – and some academic economists are proposing more radical policies that could drag rates further into negative territory. Eliminating cash is not as outlandish as it might sound, with electronic payments ubiquitous and physical currency already down to a single-digit percentage of overall currency in some countries.

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