CTA Performance During the Brexit Vote | Pocketmags.com

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CTA Performance During the Brexit Vote

Price movements analysed

On 23 June 2016, the UK electorate voted 51.9% in support of an exit from the European Union. This resulted in significant market turmoil over the following trade day. The voting outcome came as a surprise to many, who saw the exit as unlikely. Perhaps more surprisingly, medium- to long-term trend followers benefited from the announcement: the SG CTA Index increased 2.27%. Why? Were CTAs forecasting the event?

Qualitative examination of price movements suggests that markets were trending in the direction of the Brexit exit in the prior months. This is supported by systematic analysis over the same period. There are many ways to define the concept of “trend,” and while it is useful to visually examine the evolution of prices themselves over time, creating a trend metric has its own utility in terms of creating a less subjective view of market behavior. Signal-tonoise ratio (SNR), which attempts to quantify the strength of a price trend by looking at how uniformly it increases or decreases, is one such measure.

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INFORMING THE HEDGE FUND COMMUNITY With access to some of the industry’s biggest names and an astute and talented group of writers and contributors, The Hedge Fund Journal has established itself as a trusted source of information on the hedge fund industry.