Fri, Mar 24, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
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......................

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 fund liquidations in 2016 surpass 2009 levels, new launches decline[more]

    Benedicte Gravrand, Opalesque Geneva: Even as the hedge fund industry's total assets exceeded the $3tln milestone last year, hedge fund liquidations increased. So much so that 2016 had the highest number of liquidations since 2008, claims the latest HFR Market Microstructure Report, re

  2. Hedge funds find no joy in macro as returns lag Trump rally[more]

    From Gulfnews.com: In 2017, macro hedge funds were expected to shine. So far? Not so much. It's been a far from impressive first two months for funds that trade around macroeconomic events. Discretionary funds rose just 0.3 per cent through February, according to Hedge Fund Research Inc., while the

  3. Strategies - Billionaire investor Marc Lasry shares how he's playing markets right now, Classic models are failing FX hedge funds desperate for return[more]

    Billionaire investor Marc Lasry shares how he's playing markets right now From CNBC.com: Buy on the prospect of deregulation. Sell on the enactment of deregulation. That's the strategy that billionaire investor Marc Lasry is implementing, according to an interview with CNBC in Las Vegas

  4. Opalesque Exclusive: Aberdeen makes the case for the lower mid-market[more]

    Bailey McCann, Opalesque New York: Aberdeen Asset Management has released a new paper focused on lower mid-market private equity. According to the paper, this segment of the private equity market is gaining popularity with private equity investors that are looking for multiple expansion and less

  5. Hedge funds await outcome of French elections, feel pinch on lower oil prices & weak dollar[more]

    Komfie Manalo, Opalesque Asia: Hedge funds felt the pinch of lower oil prices and weak U.S. dollar as the Lyxor Hedge Fund Index was marginally down as of the week ending 14 March, Lyxor Asset Management said in its Weekly Briefing. The Lyxor He