Terrien: CTA strategies carry positive gamma and thrive in volatile markets
Mario Therrien · Leda Braga – Systematica Investments (Manager Meetings, EP.10) · Sep 9, 2021 · at 10:00
Mario Terrien of CDPQ explains to Ted Seides the performance characteristics and portfolio sizing mechanics of systematic CTA strategies.
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“That strategy as a positive gamma. That strategy thrives in more volatile markets.”
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