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Alternative Market Briefing

CTAs have faced a brave new world since 2008

Friday, November 16, 2012

By Beverly Chandler, Opalesque London:

The Opalesque Managed Futures Roundtable, sponsored by Efficient Capital Management, and Eurex heard that historically most CTAs find opportunity in markets that explode directionally.

Grant Jaffarian of Efficient Capital Management said: "As managed futures strategies evolve, they will not evolve beyond their ability to capture divergent opportunities and strong volatility trend moves. That will be the bread and butter. You will not hear CTAs say, "Let’s become a strategy that can only take advantage of less volatility, or perhaps strong mean reversion opportunities because long volatility trends and market shocks are a thing of the past." The trend-capture personality of managed futures is a good thing for long term returns and alpha contribution. When a well diversified portfolio needs CTAs, you want them to be there for the 2008 environment.".

Jaffarian added: "On the one hand, you do not want to switch everything you are doing, and I do not think the industry is doing that (we are certainly not, on that product). On the other hand, as a thoughtful manager and multi-manager allocator into managed futures, you need to be aware that this is not currently the ideal trend environm......................

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