Thu, Jul 2, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

New papers from Newedge and Altegris seek to explain the extended drawdown in managed futures strategy

Tuesday, July 02, 2013

Beverly Chandler, Opalesque London:

James Skeggs, global co-head of the advisory group at Newedge and senior director of Alternative Investment Solutions presented his latest research paper on managed futures industry capacity and its effect on CTA returns at the Emerging Manager Forum in London last week.

This paper came at a time when CTAs and the managed futures sector have been struggling to make returns. Skeggs said: "Recent performance has been far from spectacular with a long and deep drawdown which has seen performance at minus 9% at its worst and lasting over two years."

Limited capacity in the managed futures space has often been cited as one of the potential causes for underperformance. Skeggs and his team evaluated excess return from the CTA sector by taking out the performance of the underlying asset in a CTA portfolio, cash, and any interest earned on it to arrive at an excess returns index. They looked at a total history of some 23 years, with CTAs returning 298.7% equivalent to an annualised return of 6% with 9% volatility and a maximum drawdown over that period of 10.3%. They then asked how large an investor or a manager can be before affecting the pool. "There is a danger of over-simplification" Skeggs said. He and his team had to take into account extra events that would affect trend followers and trading......................

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. Opalesque Exclusive: New systematic strategy managed alongside research firm outperforms S&P500[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: An emerging CTA manager explains how he runs his strategy, which is based on an index produced by a research firm. Peter Turk is head of

  2. Larry Robbins' hedge fund Glenview buys 1m Tenet Healthcare shares[more]

    Komfie Manalo, Opalesque Asia: Glenview Capital Management said it bought an additional 979,482 shares at Tenet Healthcare Corp valued at $53.80 million, raising its stakes in the healthcare services company to 15.16%, reported

  3. Legal - Grayson’s hedge funds under scrutiny for possible ethics violations, Court rejects hedge fund’s motion to block merger of Samsung affiliates[more]

    Grayson’s hedge funds under scrutiny for possible ethics violations From Freebeacon.com: Rep. Alan Grayson is finding himself in hot water over managing hedge funds that bear his name, actions that are in possible violation of House ethics rules. Sitting members of Congress are prohibite

  4. Hedge funds panic over Greece[more]

    Komfie Manalo, Opalesque Asia: Some investors are in panic mode as Greek Prime Minister Alexis Tsipras announced Sunday night that the banks and the stock market would be closed Monday, said

  5. Alternative investment industry could grow to $13.6tln in five years[more]

    Komfie Manalo, Opalesque Asia: Leading auditing and advisory group PwC said that the global alternative investment industry, which includes hedge funds, private equity and real assets, is set to increase to $13.6tln within the next five years. "Be

 

banner