Dr. Galen Burghardt: Measuring the impact of trend following in the CTA space

Dr. Galen Burghardt is an adjunct professor at the University of Chicago's School of Business and currently serves as Senior Vice President and Director of Research at Chicago-based Newedge, a global, multi-asset brokerage firm. His most recent research measures the overall impact of trend following on the CTA space, and tracks the performance of trend following funds in comparison to the rest of the CTA sector.

Using data from a subset of trend following CTAs, measured against the full Newedge CTA Index, Dr. Burghardt was able to show the overall correlation of returns was 0.97 (from the time period 2000 to 2009). These results illustrate how closely trend following funds follow the broader CTA performance and to a large degree, how trend following funds drive the entire sector of CTA returns. (Click here to view Galen's research)

In this Opalesque TV BACKSTAGE interview, Dr. Burghardt discusses his role as an “industrial academic”, taking a research-based approach to analyze and promote further understanding of futures and the CTA space. Learn about the following:

• How has trend following evolved?
• What are the most compelling advantages of trend following funds?
• What is the Newedge CTA Index and the Newedge CTA Trend Sub-Index, and what do they reveal about CTA’s?
• How powerful is the effect of trend following/momentum trading on CTA returns?
• The Newedge CTA Trend Indicator: A benchmark for investors and managers
• Can a fund construct a portfolio to avoid looking like a trend follower?
• What is the impact of short term trading in the CTA space?

Prior to joining Newedge, Dr. Burghardt held top research and management positions with Calyon Financial, Dean Witter Institutional Futures, and before that, as Executive Vice President at Discount Corporation of New York Futures. Galen was also Vice President/Financial Research for the Chicago Mercantile Exchange, a teacher of economics at Amherst College, and served in the research division of the Federal Reserve Board in Washington. He is the lead author of 4 books, including “The Eurodollar Futures and Options Handbook”.
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Dr. Galen Burghardt is an adjunct professor at the University of Chicago's School of Business and currently serves as Senior Vice President and Director of Research at Chicago-based Newedge, a global, multi-asset brokerage firm. His most recent research measures the overall impact of trend following on the CTA space, and tracks the performance of trend following funds in comparison to the rest of the CTA sector.

Using data from a subset of trend following CTAs, measured against the full Newedge CTA Index, Dr. Burghardt was able to s ...more