I think finding CTAs with low correlation to each other is easy. Throw in a fundamentals/meteorologist CTA; option writer CTA; spread trader CTA; pattern recognition CTA and a trend following CTA. Whether these strategies outside of trend following are worthwhile is another discussion.Chris67 wrote:SURELY 2 TF's with correlation below 50% are not TF 's ?
Seems carazy to expect 2 firms who both follow trends in global futures markets to have a correlation of less than 0.5 ? if tehy do something maybe wrong
Once again Institutional investors looking for what probably doesnt exist ? looking for the holy grail perhaps ?
Of course many TF's have lowly correlated performance over the short term but as we all know that counts for diddly
IncidentallyJAZ in the World of TF - Correlation of 0.75 would get me very excited ? 0.88 gets me going over the long run hehe
But combining TREND FOLLOWING CTAs will only go so far. What if the only diversification you're getting there among the trend followers is because they're not PURE trend followers, i.e., they're employing other strategies in addition to trend following?