CTA Performance During the Brexit Vote

Price movements analysed


On 23 June 2016, the UK electorate voted 51.9% in support of an exit from the European Union. This resulted in significant market turmoil over the following trade day. The voting outcome came as a surprise to many, who saw the exit as unlikely. Perhaps more surprisingly, medium- to long-term trend followers benefited from the announcement: the SG CTA Index increased 2.27%. Why? Were CTAs forecasting the event?

Qualitative examination of price movements suggests that markets were trending...

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