Opalesque Futures Briefing http://www.opalesque.com/Futures_Briefing Futures Briefing Mon, 02 Mar 2015 01:08:23 +0000 http://wordpress.org/?v=2.7.1 en hourly 1 Managed futures making a come back? http://www.opalesque.com/Futures_Briefing/?p=11280 http://www.opalesque.com/Futures_Briefing/?p=11280#comments Mon, 02 Mar 2015 01:08:23 +0000 shailaja http://www.opalesque.com/Futures_Briefing/?p=11280 Michal Pruski, the founder of Warsaw-based start-up fund Metrum, is bullish about the future for the CTA segment. Managed futures have not had the best of times in recent years as the sector was hit by a series of losses. To make matters worse some firms tarnished the market by charging excessive fees at a time of declining returns.
But a…

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Managed futures enjoy strong inflows http://www.opalesque.com/Futures_Briefing/?p=11278 http://www.opalesque.com/Futures_Briefing/?p=11278#comments Mon, 02 Mar 2015 01:08:10 +0000 shailaja http://www.opalesque.com/Futures_Briefing/?p=11278 According to eVestment, redemption pressures continue for equity & credit, macro/managed futures enjoy strong inflows. Total hedge fund assets increased 0.22% in the first month of 2015 bringing the industry’s total asset under management to $3.033 trillion. The flow of investor assets was nearly flat on a net basis in January, but there were elevated redemptions and allocations occurring across…

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Barclay CTA Index Gains 3.41% in January http://www.opalesque.com/Futures_Briefing/?p=11276 http://www.opalesque.com/Futures_Briefing/?p=11276#comments Mon, 02 Mar 2015 01:07:56 +0000 shailaja http://www.opalesque.com/Futures_Briefing/?p=11276 Managed futures traders got off to a fast start in 2015, with a 3.41% gain in January according to the Barclay CTA Index compiled by BarclayHedge. “Trends from the prior month stayed on track in January as commodity prices continued to move lower while bonds, equity markets outside the US, and the US dollar all moved higher,” says Sol Waksman,…

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10 of the Best Managed Futures Performers in January http://www.opalesque.com/Futures_Briefing/?p=11274 http://www.opalesque.com/Futures_Briefing/?p=11274#comments Mon, 02 Mar 2015 01:07:31 +0000 shailaja http://www.opalesque.com/Futures_Briefing/?p=11274 While one month’s performance is no way to judge an investment that has 3 to 5 year cycles, a glance at who’s doing well in the different environments month to month can be a useful data point at times. Here’s the top managed futures performers (by return only) for the month gone by:
Purple Valley Capital, KeyQuant SAS, Quality Capital -…

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Five predictions for managed futures http://www.opalesque.com/Futures_Briefing/?p=11272 http://www.opalesque.com/Futures_Briefing/?p=11272#comments Mon, 02 Mar 2015 01:07:16 +0000 shailaja http://www.opalesque.com/Futures_Briefing/?p=11272 In the closing months of 2014, CTAs confounded the swelling ranks of sceptics by accelerating spectacularly out of a long and painful three-year drawdown. Managers are now optimistic and hungry for assets; but what can they expect, and what should they watch out for?
Here are my best predictions and why I think they matter: 1. Performance will not determine the…

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Is Managed Futures an Asset Class? The Search for Beta of Commodity Futures http://www.opalesque.com/Futures_Briefing/?p=11270 http://www.opalesque.com/Futures_Briefing/?p=11270#comments Mon, 02 Mar 2015 01:06:55 +0000 shailaja http://www.opalesque.com/Futures_Briefing/?p=11270 Simply, managed futures is where the theoretical becomes real world. Those agents called ‘speculators’ in academic models are best represented in the real world by commodity trading advisors (CTAs). And while real-life speculators who do not hold themselves out to the public as such certainly exist, CTAs and to lesser extent commodity pool advisors, provide the best window into the…

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Trend-Following with Managed Futures (Book review) http://www.opalesque.com/Futures_Briefing/?p=11268 http://www.opalesque.com/Futures_Briefing/?p=11268#comments Mon, 02 Mar 2015 01:06:10 +0000 shailaja http://www.opalesque.com/Futures_Briefing/?p=11268 Chapter eleven discusses return dispersion in the CTA space and how different choices of parameters for trading systems can create return dispersion from one systematic fund to another. This discussion leads to chapters twelve and thirteen, which are on style analysis and benchmarking. Here, similar to the Fama and French three-factor model, we designa model for benchmarking CTA returns as…

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Bridgewater’s traditional “managed futures” algorithmic trading approaches http://www.opalesque.com/Futures_Briefing/?p=11266 http://www.opalesque.com/Futures_Briefing/?p=11266#comments Mon, 02 Mar 2015 01:05:56 +0000 shailaja http://www.opalesque.com/Futures_Briefing/?p=11266 Ray Dalio’s Bridgewater Associates, the world’s largest hedge fund whose strategy is said to include a small portion of traditional “managed futures” algorithmic trading approaches, appears to have a desire to take the computer-based trading concept to a new level.Dalio will start a new artificial intelligence unit next month staffed with six people and headed by former International Business Machines…

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What Institutional Investors Want From Hedge Funds http://www.opalesque.com/Futures_Briefing/?p=11264 http://www.opalesque.com/Futures_Briefing/?p=11264#comments Mon, 02 Mar 2015 01:05:38 +0000 shailaja http://www.opalesque.com/Futures_Briefing/?p=11264 Where the money has been and where it is going appear to be different places. The report noted that CTA/Managed Futures strategies “grabbed more and more attention in the fourth quarter, producing some of the highest returns in the industry in December, as well as for the year.
Clear movement in oil prices and government bond yields, increasing natural gas…

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2 ETFs That Invest in Liquid Alts http://www.opalesque.com/Futures_Briefing/?p=11262 http://www.opalesque.com/Futures_Briefing/?p=11262#comments Mon, 02 Mar 2015 01:05:22 +0000 shailaja http://www.opalesque.com/Futures_Briefing/?p=11262 Liquid-alternative exchange traded funds (ETFs) comprise only a small part of the ETF universe. Estimated assets under management for the group are just about $2 billion, with roughly $1 billion of that total in the IQ Hedged Multi-Strategy Tracker ETF (QAI) from IndexIQ.
The investment options for this category are expanding, though. In October, Morningstar teamed with ProShares to launch the…

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