Sun, May 1, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Volatility is key driver in managed futures funds

Wednesday, November 14, 2012

By Beverly Chandler, Opalesque London:

CTAs are defined by their volatility and speakers at the Opalesque Managed Futures Roundtable, sponsored by Efficient Capital Management, and Eurex, discussed how they cope with the phenomenon.

Sam Gover of Altiq Asset Management said that volatility could be looked at from a number of perspectives: "In the extreme case you are worried about shocks in markets which are by definition unexpectedly large. It is more significant in the CTA industry where you are holding a relatively small portfolio of instruments. Even if you have 50 plus markets which are fairly liquid, many of them are correlated, so you are actually holding a fairly small portfolio of global risks" he said. "But by definition you cannot do anything about unexpected shocks because you do not know when they are going to arrive. All you can do really is try to make sure that your portfolio is as diversified as possible so that when they do hit, they do not have an outsized effect on the portfolio. Even if you trade a relatively small number of instruments, you can still try to do that, by limiting position sizes, by keeping the portfolio balanced across instruments."

Gover added: "From a short-term trader’s perspecti......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Hedge funds see $14.3bn outflows in Q1, CTAs and multi-strategy lead net inflows[more]

    Komfie Manalo, Opalesque Asia: The hedge fund industry saw net outflows of investor capital in the first quarter of the year, totaling $14.3bn, data from Preqin showed. This continues from the $8.9bn overall net outflows that funds recorded in Q4

  2. Third Point calls Q1 "catastrophic" for hedge funds[more]

    Bailey McCann, Opalesque New York: The first quarter of this year was rocky for hedge funds based on aggregate performance from the industry, but now we are beginning to hear what the managers thought of it as quarterly letters make their way to investors. Dan Loeb, CEO of New York-based $17 bill

  3. Asia - Stabilization of China's capital outflows may hinge on Janet Yellen, Fink says China to do well this year as bubble threat postponed, Chinese hedge fund to invest in India’s infrastructure[more]

    Stabilization of China's capital outflows may hinge on Janet Yellen From Bloomberg.com: Whether China’s recent stabilization of its currency and capital outflows continues -- or downside pressure reignites -- may hinge in large part on Janet Yellen. If the Federal Reserve chair sticks to

  4. …And Finally - After all, judges are human too[more]

    From Newsoftheweird.com: In March, one District of Columbia government administrative law judge was charged with misdemeanor assault on another. Judge Sharon Goodie said she wanted to give Judge Joan Davenport some files, but Davenport, in her office, would not answer the door. Goodie said once the

  5. Comment - Unmasking the men behind Zero Hedge, Wall Street's renegade blog[more]

    From Bloomberg.com: Colin Lokey, also known as "Tyler Durden," is breaking the first rule of Fight Club: You do not talk about Fight Club. He’s also breaking the second rule of Fight Club. (See the first rule.) After more than a year writing for the financial website Zero Hedge under the n