Tue, Jun 27, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Zenith believes good CTAs offer protection from market volatility

Thursday, April 11, 2013

Beverly Chandler, Opalesque London: Zenith Investment Partners has just released its 2013 CTA / Macro Sector findings. Daniel Liptak, Head of Alternatives said: "With the performance of many CTAs struggling over the last 18 – 24 months we believe that it is timely to consider the function and utility such funds can make to a portfolio."

Zenith believes that CTAs are an important strategy that should be considered as part of a diversified portfolio, particularly as over the medium term CTAs have historically provided an offset at times of acute equity market stress. "This observation is the likely cause of many investors believing that CTAs are long volatility, when in fact they are long gamma (they become more exposed to a trend as it becomes more pronounced, regardless of direction). Being long gamma allows this investment style to take advantages of being a liquidity provider in markets undergoing forced sales. Investors in CTAs need to understand that not all market conditions are conducive to positive returns and, indeed on a standalone basis CTAs can disappoint" Zenith says.

While Zenith believes that medium term CTAs can act as an offset in dislocated equity markets, they are hesitant to class CTAs as being un-correlated to equity markets, believing that they are on the whole non-correlated to equities. "This is an important observation, as this suggests that the returns from CTAs are independent......................

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. Legal - Bond market concerns could scuttle Paulson's Fannie-Freddie plan[more]

    From Bloomberg.com: A hedge fund proposal for freeing Fannie Mae and Freddie Mac from U.S. control is poised to face stiff opposition from investors who say it risks wrecking the mortgage-bond market. The Moelis & Co. blueprint, which firms including Paulson & Co. and Blackstone Group LP sponsored,

  2. Other Voices: Are your pricing policies and procedures for less liquid instruments adequate?[more]

    Komfie Manalo, Opalesque Asia: The unrelated position mismarking incidents that quickly precipitated the closures of both Visium Asset Management and Marinus Capital have been recent focal points for market participants, but regulatory scrutiny of valuation choices for less liquid instruments is

  3. FinTech - AI hedge fund Numerai now live on Ethereum, Cryptocurrency hedge funds generate huge returns as bitcoin surges[more]

    AI hedge fund Numerai now live on Ethereum From Cryptoninjas.net: Back in February, Numerai announced numeraire (NMR), a cryptographic token to incentivize a new kind of hedge fund built by a network of data scientists. Earlier today, the Numeraire smart contract was officially deployed

  4. Investing - Advisors slash hedge fund positions, Theravance Biopharma is a top pick of investment guru Seth Klarman, As asset management industry grows a search for new revenue streams[more]

    Advisors slash hedge fund positions From Barrons.com: Financial advisors have cut wealthy clients' exposure to hedge funds by up to one third over the past 12 months, The Financial Times reports. Advisor firms in the FT's annual top-300 ranking have reduced their hedge fund allocation to

  5. Investing - U.S. hedge fund in anonymous bet against Tesco shares, Hedge funds made repeated attempts to invest in Veneto banks, Steve Cohen's Point72 takes stake in struggling electronics retailer Conn's, Hedge fund Excalibur bets Riksbank will tighten by end of year[more]

    U.S. hedge fund in anonymous bet against Tesco shares From FT.com: A $20bn New York hedge fund is using an offshore shell company to anonymously bet against the shares of the UK supermarket Tesco, raising fresh questions over the efficacy of European short selling disclosure rules.