CTA Performance During the Brexit Vote | Pocketmags.com

Shopping Cart -

Your cart is currently empty.
Upgrade to today
for only an extra Cxx.xx

You get:

plus This issue of xxxxxxxxxxx.
plus Instant access to the latest issue of 300+ of our top selling titles.
plus Unlimited access to 26000+ back issues
plus No contract or commitment. If you decide that PocketmagsPlus is not for you, you can cancel your monthly subscription online at any time. Auto-renews at €10,99 per month, unless cancelled.
Upgrade Now for €10,99 Learn more
This website use cookies and similar technologies to improve the site and to provide customised content and advertising. By using this site, you agree to this use. To learn more, including how to change your cookie settings, please view our Cookie Policy
Pocketmags Digital Magazines
Pocketmags Digital Magazines
   You are currently viewing the Italy version of the site.
Would you like to switch to your local site?
Leggi ovunque Read anywhere
Modalità di pagamento Pocketmags Payment Types
Trusted site
A Pocketmags si ottiene
Fatturazione sicura
Ultime offerte
Web & App Reader
Loyalty Points

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.

Purchase options below
Find the complete article and many more in this issue of The Hedge Fund Journal - Issue 116 - September 2016
If you own the issue, Login to read the full article now.
Single Issue - Issue 116 - September 2016
Or 12999 points
Getting free sample issues is easy, but we need to add it to an account to read, so please follow the instructions to read your free issue today.
Email Address
6 Month Digital Subscription
Only € 140,00 per issue
Or 69999 points

View Issues

About The Hedge Fund Journal

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.