Sat, Nov 1, 2014
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. Macks aim to raise $750m for real estate debt fund[more]

    From Therealdeal.com: Father-son duo William and Richard Mack and former Blackstone Group managing director Peter Sotoloff are starting a new real estate debt fund. Together, the trio hopes to raise more than $750 million for the private equity fund, according to the Wall Street Journal. The fund wi

  2. Manager Profile - Seth Klarman: Lessons for retail and institutional investors[more]

    From Valuewalk.com: Seth Klarman is virtually unknown outside value circles, despite his impressive record and value of assets under management. On average Baupost has returned 19% p.a. despite holding a large portion of its assets in cash. During the financial crisis, Seth Klarman’s funds lost some

  3. North America - FATCA leads 75% of U.S. expats to consider dropping citizenship[more]

    From International-adviser.com: Nearly three quarters of American expats are considering the renouncement of their citizenship following July’s introduction of the “absurd” Foreign Account Tax Compliance Act (FATCA). The findings, which were revealed in a survey by deVere, come alongside the news th

  4. New app allows asset managers easy interaction with portfolios, securities, holdings, transaction details[more]

    Komfie Manalo, Opalesque Asia: Global financial services software company SS&C Technologies Holdings has launched Explorer, a powerful data visualization and analysis tool that turns critical investment data into meaningful information. Explore

  5. Opalesque Exclusive: Mariner’s new healthcare mandate applies strategic approach across pharmaceutical and biotech sectors[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: A team of two was hired in February this year t