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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