Mon, May 2, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Niederhoffer’s CTAs up in January as short-term trends provide best opportunities

Friday, March 14, 2014

Benedicte Gravrand, Opalesque Geneva:

According to Roy Niederhoffer, founder of R. G. Niederhoffer Capital Management, a registered CTA in New York, a short term trading strategy like his firm’s can do very well on both the long and short sides in equities during a volatile period. But it is not only the direction of equities, or the S&P500, that explains his funds’ performance – as well as CTAs’ and hedge funds’ in general – it is also realized volatility.

Realized volatility is the magnitude of daily price movements, regardless of direction, of some underlying asset, over a specific period.

Hedge funds and CTAs do worse than average when volatility increases, and better than average when realized volatility decreases, he says in his latest newsletter. In contrast, his strategies do better when S&P 500 realized volatility increases.

During rising volatility, CTAs seem to have become less "long realized volatility" and more "short realized volatility" over time, he continues, while his funds have maintained their "long volatility" nature.

When the S&P500 realized volatility decreases, CTAS tend to perform well, he says.

"This indicates in another way that trend following is a short volatility strategy and should be thought of as such in a portfolio. The same is true for hedge funds – it should come as no surprise that hedge funds also seem to be "short-volatility,"" he comm......................

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. Hedge funds see $14.3bn outflows in Q1, CTAs and multi-strategy lead net inflows[more]

    Komfie Manalo, Opalesque Asia: The hedge fund industry saw net outflows of investor capital in the first quarter of the year, totaling $14.3bn, data from Preqin showed. This continues from the $8.9bn overall net outflows that funds recorded in Q4

  2. Third Point calls Q1 "catastrophic" for hedge funds[more]

    Bailey McCann, Opalesque New York: The first quarter of this year was rocky for hedge funds based on aggregate performance from the industry, but now we are beginning to hear what the managers thought of it as quarterly letters make their way to investors. Dan Loeb, CEO of New York-based $17 bill

  3. Asia - Stabilization of China's capital outflows may hinge on Janet Yellen, Fink says China to do well this year as bubble threat postponed, Chinese hedge fund to invest in India’s infrastructure[more]

    Stabilization of China's capital outflows may hinge on Janet Yellen From Bloomberg.com: Whether China’s recent stabilization of its currency and capital outflows continues -- or downside pressure reignites -- may hinge in large part on Janet Yellen. If the Federal Reserve chair sticks to

  4. …And Finally - After all, judges are human too[more]

    From Newsoftheweird.com: In March, one District of Columbia government administrative law judge was charged with misdemeanor assault on another. Judge Sharon Goodie said she wanted to give Judge Joan Davenport some files, but Davenport, in her office, would not answer the door. Goodie said once the

  5. Comment - Unmasking the men behind Zero Hedge, Wall Street's renegade blog[more]

    From Bloomberg.com: Colin Lokey, also known as "Tyler Durden," is breaking the first rule of Fight Club: You do not talk about Fight Club. He’s also breaking the second rule of Fight Club. (See the first rule.) After more than a year writing for the financial website Zero Hedge under the n