CTA · Core
CTA Whipsaw / Chop Regime
Whipsaw is the range-bound regime where trend signals flip, scratch, and bleed — the ordinary cost of owning tail convexity.
Definition
A market that oscillates inside the lookback produces a sequence of small losses. Ensemble speeds can cancel (good) or all flip together (bad). Years like 2011–13 and parts of 2015–16 are the living memory. This is not model failure; it is the premium you pay for 2008/2022.
Why it matters
Allocators fire CTAs in chop and buy them after the crisis print — the opposite of the hold you need.
Case
A three-year stretch of sub-zero SG Trend with a 2022 rebound. The clients who left in 2018 owned none of 2022.
How to read it
Ask for the worst 36-month window, not the since-inception Sharpe. If they skip 2011–16, they are selling a highlight reel.
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