Someone from Man Investments posted this today:
“As an employee of one of the largest CTAs I can catagorically [sic] state that we do change our models. This is, amongst other things, what us researchers are employed to do. I think that the assumption that all major CTAs run the same or similar models is also fairly amusing. Not all CTAs using EWMAs for example. At our shop we use four types of models to determine the level of momentum from markets, EWMAs being just one.”
Later in the day the same person posted:
“I agree that they are not changed every day but it is not as black and white as you appear to be making it.”
So you have a system that changes the system at Man?
Isn’t that a system?