Fri, May 22, 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. Comment - Top hedge fund managers talk about how easy their jobs have gotten, BlackRock to Schroders warn of Argentina’s $20bn bond glut, The 35-year “investment supercycle” is drawing to a close, says Bill Gross, Gundlach: When the Fed starts hiking rates, 'GET OUT' of this asset class[more]

    Top hedge fund managers talk about how easy their jobs have gotten From Businessinsider.com.au: Time was, before the financial crisis hit, corporate boards treated multi-billion dollar hedge fund managers like Jehovah’s Witnesses pounding on their doors and flashing bibles. But no more.

  2. T Rowe's challenge to Dell deal may fuel critics of 'appraisal'[more]

    From Reuters.com: An increasingly popular tactic used by hedge funds and others to extract more money from buyouts could soon face a major courtroom test when a big investor in Dell Inc may argue that it should be paid a higher price for the 2013 acquisition of the PC maker. The strategy, known as "

  3. News Briefs - Ergen says LightSquared plan unfairly favors hedge funds, Why hedge fund managers make good advisory clients, I learned a lot about dad-bros after spending 4 days in Vegas with 2,000 hedge funders[more]

    Ergen says LightSquared plan unfairly favors hedge funds LightSquared Inc.’s bankruptcy plan gives hedge funds that invested in the broadband company a leg up while blocking telecommunications firms from competing with it, a fund owned by Dish Network Corp. Chairman Charles Ergen said in

  4. Opalesque Exclusive: SEC approves proposed changes to Form ADV, '40 Act - comment period to follow[more]

    Bailey McCann, Opalesque New York: Hedge funds and providers of liquid alternatives will want to pay close attention to proposed reforms approved by the SEC yesterday. The changes will require more frequent reporting, as well as a closer look into social media, liquid alternative strategies, and

  5. New market regime has created more dispersion between managers[more]

    Komfie Manalo, Opalesque Asia: The month of April has marked the transition toward a new market regime, Philippe Ferreira, Lyxor AM’s head of research, managed account platform, commented in the May 5's Weekly Briefing. "The first quart

 

banner