Wed, Jun 19, 2013
A A A
Welcome Guest
Free Trial RSS
New! Family Office and Investor Database with 11,750 contacts
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
Article link
Banner
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. GAIM delegates hear fund of funds fees are increasingly discounted[more]

    Beverly Chandler, Opalesque London: Reporting from the GAIM conference in Monaco, CooConnect finds that funds of funds are taking action over their fees. The site writes: "Funds of funds have insist

  2. Multifonds’ white paper reflects on the likely impact of AIFMD[more]

    Beverly Chandler, Opalesque London: Investment software provider Multifonds has published its white paper, entitled: The impact of AIFMD and convergence survey. Key findings from the survey include: 83% of respondents agree convergence o

  3. Swiss funds increased by CHF 100bn ($829bn) year on year[more]

    The Swiss Fund Association has announced that in May 2013, the volume of assets placed in the investment funds covered by the statistics compiled by Swiss Fund Data AG and Lipper reached around CHF 763 billion, a slight rise of CHF 2.6 billion month-on-month. This represents a marked increase of jus

  4. GAIM Conference – Hedge funds brace for renewed debt crisis, Hedge fund managers don hairshirts and ‘impact investing’ at Monaco meet[more]

    Hedge funds brace for renewed debt crisis From Indiatimes.com: The euro zone's debt crisis may be far from over, while Japan's money-printing gamble to revive its economy could destabilize global markets if it doesn't work, some hedge fund managers say. They are taking the view that the

  5. Empirical research on fine wine performance: An IMF research paper shows that global prices for fines wines are heavily driven by macroeconomic changes in emerging market economies.
Click here for More about Opalesque Tracking
- A new, unique Premium Service -
  1. Peak 6
  2. One William Street
  3. Securis
  4. Haymarket
  5. Cantab
  1. managed account
  2. Ucits
  3. man group
  4. ubs
  5. bridgewater