The last two-and-a-half years have been brutal for trend followers. Performance of the CTA industry in particular has fallen dramatically since 2008.
Justifying the relatively long and deep period of drawdowns appears as challenging as finding returns. Questions about capacity and broken models have been asked of the industry but neither issue appears to explain fully the underperformance.
The scale of market intervention and inter-asset correlations are more likely candidates. However, investor
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