Tue, Jun 25, 2019
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Quest Partners focuses on skew to avoid the CTA drawdown

Wednesday, April 20, 2016

Bailey McCann, Opalesque New York:

New York-based Quest Partners has been one of the few CTAs in the market to consistently perform well despite a years long drawdown for CTA funds. The firm's flagship CTA strategy has had an annualized return of 13.5 percent over the past 16 years. Nigol Koulajian, founder and CEO of Quest Partners recently sat down with Opalesque TV to discuss how he has been able to maintain a track record like this.

Koulajian first got interested in system design all on his own and wanted to start a CTA based on his ideas early in his career. But he ended up waiting until 1999 to launch Quest Partners after several years managing a fund of funds. The strategy Koulajian developed for Quest caught the eye of Man Global Strategies shortly after launch and from 2003 to 2010 much of Quest's capacity was taken up by running a large mandate from the firm. When Man redeemed in 2010, the firm reopened to outside capital.

According to Koulajian, Quest's rate of performance has to do with maintaining a disciplined strategy that trades in shorter intervals than most other CTAs and focuses on finding alpha that is less transient than simply chasing factors as they become popular.

"We have identified 7 style drifts within CTA indices that can significantly impact performance," he explains. "All of these style drifts have a negative convexity and result in negative returns during equity corrections." This kind of performanc......................

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. New Launches: Hedge fund Cheyne raises $1.12bn for stressed loan fund, Private equity groups prepare to unleash mega funds, TCV, Warburg veterans launch new growth equity firm Farview, Carlyle closes European real estate fund at $604m, Consumer brand-focused H Ventures registering two new funds, Catalys Pacific targets $100m for first VC healthcare fund[more]

    Hedge fund Cheyne raises $1.12bn for stressed loan fund From FT: London-based hedge fund Cheyne Capital has raised €1bn ($1.12bn) for a new fund that will aim to profit from European banks selling down their loan portfolios to meet new accounting and regulatory standards. The

  2. PE/VC: The myth of private equity: Funds struggle to beat the market[more]

    From Guru Focus: Private equity is a glitzy industry, but does it actually beat the market? The data suggests it does not. In an October 2018 episode of "Talks at Google," former fund manager and academic Jeffrey Hooke explained why the sheen has come off of private equity in the last decade. A

  3. News Briefs: Fixing the Sharpe ratio: A machine learning approach, Sotheby's snapped up by French tycoon Drahi for $3.7bn, SALT announces its signature global thought leadership conference in Abu Dhabi, UAE[more]

    Fixing the Sharpe ratio: A machine learning approach From All About Alpha: The Sharpe ratio has long served as a simple but important item in the due diligence tool kit. Formulated by William F. Sharpe in 1966 and first called the "reward to variability" ratio, the number arises from a

  4. New Launches: Private-equity firms are raising bigger and bigger funds. They often don't deliver, Adams Street Partners closes sixth global secondary fund at $1.05bn, Cathay Capital's venture affiliate seeks $560m for latest fund, Kempen raises $134m in second closing for latest fund, Amethis hard-closes Pan-African fund after surpassing $336m target, Access Capital hits $461m first close for European FoF[more]

    Private-equity firms are raising bigger and bigger funds. They often don't deliver. Blackstone Group is in the final stretch of raising what would be the largest private-equity fund ever. Big funds, however, don't necessarily translate into big returns. The private-equity gia

  5. Investing: Paul Tudor Jones likely made a killing off a timely call last week to buy gold and stocks, Equity-market cycle should continue, with spikes in volatility[more]

    Paul Tudor Jones likely made a killing off a timely call last week to buy gold and stocks From Market Watch: Billionaire investor Paul Tudor Jones must be rolling in bullion right now. The famed hedge-fund investor made a notable call last week, citing a cocktail of a dovish Federal Res