Tue, Dec 11, 2018
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

New research examines quantitative trend following as an equity risk hedge

Thursday, May 16, 2013

amb
Nigol Koulajian
Bailey McCann, Opalesque New York:

New research from Nigol Koulajian founder and CIO, and Paul Czkwianianc, Head of Research at Quest Partners, a New York-based systematic fund, looks at how quantitative trend following could be used as an equity risk hedge. In the paper, authors note that trend following, which has primarily been used and sized as a portfolio diversifier, could actually be used and sized as an equity risk hedge, and at a lower cost than some of the tail risk strategies that have become popular in the wake of 2008. The research also shows significant style drift in the BTOP50* and large trend following shops.

Historically, trend following has helped bolster portfolios during a correction in the equity market but that function has become weaker over the years, limiting the value added to a portfolio. According to the paper, trend following managers have reduced their core style exposures and increased risk-on trades, which have a greater correlation to equities. Risk-on trades include being long equity beta, long hedge fund beta, and long FX Carry. These managers have also increased the time frames of their models as well as increasing their long biased trading overall.

"The biggest CTAs have a diminished ability to hedge equities, many of them use a longer time frame which isn't as good at hedging equities," Nigel Koulajian, paper co-author, founder and CIO, Quest Partners expl......................

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. Northern Trust builds out alternative funds offering on wealth management platform[more]

    Laxman Pai, Opalesque Asia: Chicago-based asset manager Northern Trust has added private market capabilities to supplement the recently launched ArcLine Alternatives platform for the firm's wealth management clients. The administrator of assets worth $10.8tn said in a press note that the priv

  2. New Launches: Fidelity launches water and waste strategy, NewView Capital debuts with $1.35bn fund, Värde Partners raises $400m for Asia Credit Fund[more]

    Fidelity launches water and waste strategy From Investment Europe: Fidelity has unveiled a strategy focusing on sustainable investment opportunities within the water and waste management sectors. The Fidelity Sustainable Water and Waste Fund seeks to deliver strong risk adjusted returns a

  3. Activists: Neiman Marcus creditor steps up attack on MyTheresa transfer plan, Aphria calls shortseller claims 'false and defamatory', Marijuana stock Aphria plummeted as it fought a short seller who called out 'something very sinister'[more]

    Neiman Marcus creditor steps up attack on MyTheresa transfer plan From Business of Fashion: Neiman Marcus is once again feeling the heat. On Monday, one of its creditors - distressed debt investor Marble Ridge Capital - delivered an urgent letter to to the department store group's board

  4. Outlook: The economist who discovered the yield curve's predictive powers says he's getting worried, The 'big squeeze': Ray Dalio, founder of the world's largest hedge fund, breaks down how the next financial meltdown will look different from the last[more]

    The economist who discovered the yield curve's predictive powers says he's getting worried From CNBC: Arturo Estrella and his former Fed colleagues used to watch the relationship between the 10-year Treasury and the 3-month bill. A lot of people have been focused lately on the di

  5. People: Deutsche Bank appoints new country head in Switzerland, London's MENA Capital and Dubai's Al Mal agree collaboration deal, BlueBay appoints new CIO[more]

    Deutsche Bank appoints new country head in Switzerland From Investment Europe: Deutsche Bank has appointed Claudio de Sanctis as the new chief executive officer of Deutsche Bank (Switzerland) Ltd, effective 1 February 2019, after Peter (Pedro) Hinder decided to step down. The appoint