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Is Trend Still Your Friend?: A Microstructural Account of the Demise of Short-Term Trend-Following

July 29, 2026

Trend following was one of the most persistent anomalies in finance for nearly two centuries, yet its performance deteriorated sharply after the 2008 financial crisis. An analysis of approximately 100 liquid futures contracts from 1995 to 2025 shows that this decline is highly selective. The decisive factor is not asset class, liquidity, market electronification, or strategy crowding, but volatility-normalized tick size. After 2008, trend-following profits collapsed almost entirely on small-tick contracts across all signal horizons, while remaining largely intact on large-tick contracts. This finding suggests that modern trend-following portfolios are fundamentally split into two distinct regimes governed by market microstructure rather than traditional asset classifications.

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Who Profits from Prediction Markets?

May 18, 2026

In the high-stakes arena of prediction markets, a counterintuitive pattern emerges: retail traders who correctly pick winners more than half the time still lose money, while automated traders with coin-flip accuracy pocket nine-figure profits. Using 222 million prediction market tradeswith directly observable terminal payoffs, the paper “Who Profits from Prediction? Execution, Not Information” presents a clean answer to why it is so. The authors decompose trader returns into a directional component and an execution component, revealing that the execution component, not the directional component, determines which trader types earn positive returns. 

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Evaluating Reversal Potential in Niche Alternative ETFs

February 23, 2026

Alternative ETFs sit at an unusual intersection of public-market accessibility and hedge-fund-style investment techniques. They package managed futures, merger arbitrage, and option-based income strategies into exchange-traded products, yet they remain thinly traded and relatively niche compared to mainstream equity or bond ETFs. This combination makes them intriguing: they offer exposure to alternative risk premia, and their limited liquidity raises possibilities to build short-term reversal strategies. 

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How Fragile is Liquidity Across Asset Classes?

July 14, 2025

The paper “Through Stormy Seas: How Fragile is Liquidity Across Asset Classes?” is a very interesting examination of how liquidity properties have evolved over the past decade. Although the average bid–ask spread has declined, the kurtosis and skewness of the spread distribution have increased. What does this imply? On average, markets appear more liquid; however, liquidity evaporates more rapidly during stress events, amplifying tail risk and increasing execution slippage.

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Evaluating Factor Models in China

April 21, 2023

Today, we will evaluate some specifics that are akin to the now second-largest market in the world – China. The abundance of “shell companies” creates a problem when researchers try to uncover sources of alpha in the Chinese market. We present recent research by Zhiyong Li and Xiao Rao (2022) that proposes a new alternative filter, which excludes the stocks with a high estimated shell probability when constructing equity factor models.

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