Fri, May 26, 2017
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. Investing - Tudor Jones backs AI hedge funds, Massive hedge fund trades highlight insider buying: GE, Pentair, Tempur Sealy, Apollo Global and more, Hedge funds big wigs are buying consumer and selling tech, here's the stocks[more]

    Tudor Jones backs AI hedge funds From FT.com: Hedge fund magnate Paul Tudor Jones has invested in a brace of artificial-intelligence powered "quantitative" hedge funds, underscoring the increasing acceptance that the industry will need to turn more to technology and away from traditional

  2. Soon hedge fund investors won't bet on a man, they will bet on a machine[more]

    From Forexlive.com: The Wall Street Journal is in the midst of a 17-part series that looks at the rise of quant funds. The AUM and money invested in quant funds still trails traditional asset managers but the gap is closing. What's truly amazing is volume. Quant funds make up 27% of trading vo

  3. Investing - China's HNA wants to invest in Value Partners, Risk parity investors reap rewards from rebalancing act, SoftBank's $100 billion tech fund rankles VCs as valuations soar[more]

    China's HNA wants to invest in Value Partners From Reuters.com: HNA Group has alighted on a logical, if pricey, target in Hong Kong. The deal-hungry Chinese travel conglomerate known for overpaying wants to invest in Value Partners, one of Asia's few sizeable independent asset managers,

  4. Opalesque Exclusive: Investors warm to ESG, but seek standardization[more]

    Bailey McCann, Opalesque New York: Asset managers and asset owners plan to double their investment in Environmental, Social and Governance (ESG) driven strategies over the next two years, according to a survey from BNP Paribas Securities Services. The report, "Great Expectations: ESG - what's nex

  5. J.P. Morgan Asset Management launches ultra-short income ETF[more]

    Komfie Manalo, Opalesque Asia: J.P. Morgan Asset Management, the $1.5tln investment management arm of JPMorgan Chase & Co., has launched the JPMorgan Ultra-Short Income ETF (JPST), an actively managed ETF that seeks to provide current incom