Thu, Apr 25, 2024
A A A
Welcome Guest
Free Trial RSS pod
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

Previous Opalesque Exclusives                                  
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. KKR raises $6.4bn for the largest pan-Asia infrastructure fund[more]

    Laxman Pai, Opalesque Asia: The New York-based global investment firm KKR has raised a record $6.4bn for its second Asia-focused infrastructure fund, underlining investors' continued appetite for private markets. According to a media release from the alternative assets manager, the figure top

  2. Bucking the trend, top hedge fund makes plans for a second SPAC[more]

    From Institutional Investor: SPACs aren't dead. At least not to the folks at Cormorant Asset Management. The life sciences firm, whose hedge fund topped its peers in 2023, is confident it will match the success of its first blank-check company. Last week, the life sciences and biopharma speciali

  3. Benefit Street Partners closes fifth fund on $4.7 billion[more]

    Bailey McCann, Opalesque New York: Benefit Street Partners has closed its fifth flagship direct lending vehicle, BSP Debt Fund V, with $4.7 billion of investable capital across the strategy. Benefit Street invests primarily in privately originated, floating rate, senior secured loans. The fun

  4. 4 hedge fund themes that are working in 2024[more]

    From The Street: A poor earnings report from Tesla (TSLA) has not hurt the indexes on Thursday. The decline in Tesla stock, which is losing its position in the Magnificent Seven pantheon, is more than offset by strong earnings from IBM (IBM) and ServiceNow (NOW) . In addition, the much higher-t

  5. Opalesque Exclusive: A global macro fund eyes opportunities in bonds[more]

    Bailey McCann, Opalesque New York for New Managers: Munich-based ThirdYear Capital rebounded in 2023, following a tough year for global macro. The firm's flagship ART Global Macro strategy finished the year up 1