Tue, Feb 21, 2017
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. With $54bn in assets, Philippines is ready for hedge funds, alternative investment products[more]

    Komfie Manalo, Opalesque Asia: With the country's outstanding fund management industry at $54bn and growing, the Philippine market and its investors are ready to invest in "more sophisticated" asset management products, like hedge funds and alternative investments, said Deanno J. Basas, presi

  2. SoftBank to buy Fortress Investment for $3.3bn[more]

    From Reuters.com: Japan's SoftBank Group Corp on Wednesday said it has agreed to buy Fortress Investment Group LLC for about $3.3 billion, looking to add investment expertise as it prepares to launch the world's largest private equity fund. The all-cash deal is SoftBank's first major investmen

  3. ...And Finally - Truth in advertising[more]

    From Newsoftheweird.com: Girl Scout Charlotte McCourt, 11, of South Orange, New Jersey, saw her sales zoom recently when she posted "brutally honest" reviews of the Scouts' cookies she was selling -- giving none of them a "10" and labeling some with dour descriptions. She was hoping to sell

  4. Europe - Brexit - Updated legal guide, Euro exchange rates set to tumble as hedge fund's super computer predicts Marine Le Pen will be next French president, Swiss fund market hits all-time high[more]

    Brexit - Updated legal guide From Herbertsmithfreehills.com: When we began analysing in depth the possibility of Britain exiting the EU (Brexit), 18 months prior to the June 2016 referendum, the business consensus was very much that Brexit was a remote prospect that either would never hap

  5. People - Gramercy appoints Bradshaw McKee as managing director of Capital Solutions, Trump taps Cerberus's Feinberg to lead intelligence review[more]

    Gramercy appoints Bradshaw McKee as managing director of Capital Solutions Gramercy Funds Management LLC, a $5.8 billion dedicated emerging markets investment manager, today announced the appointment of Bradshaw McKee to the position of Managing Director, Capital Solutions and Distressed