Capturing Unpredictability

Aspect Capital

Research

11 Pages

This paper repositions trend following strategies from “Crisis Alpha” to “Unpredictability Alpha,” emphasizing their adaptability to volatile and shifting macro environments. Aspect Capital argues these strategies remain relevant as global markets move through divergent economic regimes.

Key Takeaways

Unpredictability benefits trend following: CTA strategies thrive in divergent regimes where surprises drive persistent price trends
Post-QE era is fertile ground: The shift away from coordinated low-rate policies has reintroduced macro dispersion across geographies and assets
Adaptive and agnostic: Trend strategies do not require forecasts and remain agile, providing potential diversification regardless of prevailing market narratives
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