April 7, 2017
After a brief description of his view of markets as both random and trendy, Mr. Carpenter will present two models of market condition.
The PBA model (“Portfolio Behavior Analysis”) is a returns-based fund attribution model. Originally designed to assess mutual fund strategies, it is now primarily applied to tracking CTA hedge fund exposures. The presentation will show how tracking CTA behavior adds value and how the analyst can piggy-back on that value. The CTAs are better than their record suggests.
Carpenter’s “Cumulative Skew” index (CSQ) indicates market strength or weakness as revealed in the shape of cross-sectional returns distribution. The presentation will show the underlying basis and results of the CSQ index.
