Fri, May 22, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Opalesque Futures Intelligence

How Do Trend / Counter Trend Volatility Managers Generate Alpha? Can Alpha Be Passed From Generation to Generation?

Wednesday, May 22, 2013

Can a managed futures trading strategy be passed from generation to generation?

In the next two articles we profile two interesting trading programs - one a well known, generally prudent trend follower who keeps a keen eye on volatility management.‚  They started as a typical trend follower but have matured the portfolio substantially, particularly after enhancing portfolio risk management, time horizon diversity and investment style diversity both in trend and non-trend space post 2007/2008 .‚  The question becomes: how will this algorithm handle debt crisis volatility?

In the second interview we look at an emerging CTA that loves volatility in every sense of the word.‚  Typically utilized as an investment only by highly knowledge fund of funds professionals, this CTA can exhibit wild triple digit swings - and is designed for crisis alpha.‚  But will his counter trend method of volatility trading stand up to the next crisis?‚  Will risk exposure to two beta market environments - volatility and convergence to a mean - enable fund of fund managers to capture stable alpha through an emerging manager?

The other question to watch is the transformation of a systematic trading program from one generation to the next.‚  Unlike a discretionary manager - heavily reliant on the trading skill of the original manager - can a systematic program transfer trading skills from generation to generation?



 
This article was published in Opalesque Futures Intelligence.
Opalesque Futures Intelligence
Opalesque Futures Intelligence
Opalesque Futures Intelligence
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. Comment - Top hedge fund managers talk about how easy their jobs have gotten, BlackRock to Schroders warn of Argentina’s $20bn bond glut, The 35-year “investment supercycle” is drawing to a close, says Bill Gross, Gundlach: When the Fed starts hiking rates, 'GET OUT' of this asset class[more]

    Top hedge fund managers talk about how easy their jobs have gotten From Businessinsider.com.au: Time was, before the financial crisis hit, corporate boards treated multi-billion dollar hedge fund managers like Jehovah’s Witnesses pounding on their doors and flashing bibles. But no more.

  2. T Rowe's challenge to Dell deal may fuel critics of 'appraisal'[more]

    From Reuters.com: An increasingly popular tactic used by hedge funds and others to extract more money from buyouts could soon face a major courtroom test when a big investor in Dell Inc may argue that it should be paid a higher price for the 2013 acquisition of the PC maker. The strategy, known as "

  3. News Briefs - Ergen says LightSquared plan unfairly favors hedge funds, Why hedge fund managers make good advisory clients, I learned a lot about dad-bros after spending 4 days in Vegas with 2,000 hedge funders[more]

    Ergen says LightSquared plan unfairly favors hedge funds LightSquared Inc.’s bankruptcy plan gives hedge funds that invested in the broadband company a leg up while blocking telecommunications firms from competing with it, a fund owned by Dish Network Corp. Chairman Charles Ergen said in

  4. Opalesque Exclusive: Ovation Partners targets opportunities where few "natural lenders" participate[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Changes in financial regulations post-2008 (Dodd-Frank and Basel III) are forcing banks to significantly alter their core lending businesses. And as mid-sized

  5. Opalesque Exclusive: A lot of hedge fund investors are beginning to recognise the need for ongoing cyber threats monitoring[more]

    Benedicte Gravrand, Opalesque Geneva: Corporate Resolutions Inc. recently formed a strategic partnership with iThreat Cyber Group. The two companies have worked together for years, assisting clients when challenging

banner