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Alternative Market Briefing

Investors want alpha to go with uncorrelated volatility

Thursday, November 28, 2013

Beverly Chandler, Opalesque London:

The Opalesque 2013 Chicago Roundtable, sponsored by FfastFill, Eurex and Taussig Capital saw delegates discussing the latest state of play for the CTA strategy.

Emil van Essen CEO and CIO, Emil van Essen CTA declared that he was in favour of commodities. "We have been launching new products in that area. I think there has been an evolution over the last decade from a big rush into passive long only commodities to active alpha generating strategies, and eventually to long/short" he said.

"I think everybody realizes the diversification benefits of commodities, but investors today decide at some point they also want some alpha to go along with all that non-correlated volatility. That is what we are trying to provide."

In terms of style, Van Essen commented on a trend which has a combination of discretionary and systematic. "Possibly pure static systematic models have become a little bit problematic" he said. "In today's information age things tend to evolve and change much faster, and alpha generating strategies tend to disseminate much quicker. Very quickly, everybody jumps on them, and then all of a sudden they don't work as well."

Van Es......................

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