Fri, Sep 4, 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 Detroit-based CTA seeks to take advantage of coming volatility[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: An emerging manager has just set up his one-man shop in the city of Detroit. Synchronicity Futures,

  2. Cliff Asness attracts $360 million as liquid alternative funds hold up[more]

    From Bloomberg.com: As U.S. stocks suffered their worst month in more than three years in August, Clifford Asness’s managed futures fund was able to profit. Investors are taking notice. The $9.12 billion AQR Managed Futures Strategy Fund pulled in an estimated $360 million in net subscriptions last

  3. Opalesque Exclusive: When the SEC calls, fund managers need to get out of their own way[more]

    Bailey McCann, Opalesque New York: New pressure is hitting alternative investment funds from all angles. So far this month both hedge fund and private equity players have seen enforcement actions, and subsequent fines over fees, disclosures, and misleading statements. Citi one of the biggest

  4. Performance - Einhorn and Loeb's hedge funds both decline 5% in August, Some target-date funds miss in the market turmoil[more]

    Einhorn and Loeb's hedge funds both decline 5% in August From Reuters.com: Hedge fund billionaires David Einhorn and Daniel Loeb saw their main funds lose roughly 5 percent in August during a dramatic market sell off, two people familiar with their returns said on Monday. Einhorn's

  5. Fortress hedge fund manager David Dredge says markets trouble on the way[more]

    From AFR.com: David Dredge of global hedge fund Fortress has built a career studying, predicting and protecting against the world's major financial crises. The recent convulsions in global sharemarkets are "just the beginning" of a painful adjustment as money drains from the emerging market economie

 

banner