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Winton Capital Management analyzed the autocorrelation of trend-following returns over various time periods to determine if past performance can predict future returns. Their analysis found: 1) A simulated fund with random returns but performance fees showed negative autocorrelation, even without true patterns in the underlying returns, due to the structure of performance fees. 2) The autocorrelation of the BarclayHedge CTA index, a measure of trend-following strategies, was not significantly different t

Author

phil_lica

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EN