Sun, Dec 11, 2016
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.あ 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 .あ 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.あ 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.あ But will his counter trend method of volatility trading stand up to the next crisis?あ 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.あ 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. Institutions - Texas County & District culls 5 hedge funds, reallocates to existing managers, Kentucky board gives final approval to halve hedge fund portfolio, $38bn Finnish fund moves assets to U.S. as Europe flounders, South Korea痴 National Pension Fund holds 5% stake in 62 listed companies[more]

    Texas County & District culls 5 hedge funds, reallocates to existing managers Texas County & District Retirement System, Austin, continues to reduce the number of hedge funds, but not the size of its $6.2 billion hedge fund portfolio. It will redeem a total of $760 million from five hedg

  2. Opalesque Roundtable: Australian family offices search for good risk adjusted returns, happy to pay for skill[more]

    Komfie Manalo, Opalesque Asia: Australian family offices want foremost good risk adjusted returns, and they are happy to pay for the skill, and in some cases, the limited capacity of an active manager. Jonas Daly, Head of Distribution at B

  3. StepStone announces close of Swiss Capital acquisition[more]

    StepStone Group LP announced it has successfully closed the acquisition of Swiss Capital Alternative Investments AG, one of the leading private debt and hedge fund solutions providers in Europe. The transaction was originally announced in May 2016, and has been in the process of receiving regulatory

  4. Investing - Stephen Cohen investing $275m in free clinics treating veterans' mental health issues, California Resources loses favor with hedge funds[more]

    Stephen Cohen investing $275m in free clinics treating veterans' mental health issues From Healthcarefinancenews.com: Now, a new chain of free mental health clinics for vets has opened in five cities across the United States to fill the gap. The much-needed new treatment is underwritten

  5. Hedge funds flat in last week of November 'in sympathy with markets[more]

    Komfie Manalo, Opalesque Asia: Hedge funds were close to flat in the last week of November in sympathy with markets, which took a pause ahead of the OPEC meeting and Italian referendum. The Lyxor Hedge Fund Index was -0.1% as of end November 29 (-1.7% YTD), according to the latest