Fri, May 6, 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.‚  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 - Unmasking the men behind Zero Hedge, Wall Street's renegade blog[more]

    From Bloomberg.com: Colin Lokey, also known as "Tyler Durden," is breaking the first rule of Fight Club: You do not talk about Fight Club. He’s also breaking the second rule of Fight Club. (See the first rule.) After more than a year writing for the financial website Zero Hedge under the n

  2. Opalesque Exclusive: Hedge fund talent, fees take a hit at the Milken Global Conference[more]

    Bailey McCann, Opalesque New York: It's been a rough year for hedge funds and now, even other managers are panning them. "Frankly, I’m blown away by the lack of talent," was Point 72 CEO Steven Cohen's assessment of trying to find candidates to hire in the investment business at a panel o

  3. Hedge funds fell in April as alternative UCITS surge in Europe[more]

    Komfie Manalo, Opalesque Asia: Hedge funds shed more in April with the Lyxor Hedge Fund Index down 0.9% during the month (-2.8% YTD), but there was some good news with alternative UCITS showing strong inflows in Europe. In its Weekly Briefing, Lyxo

  4. Global hedge funds recover in April on resurging energy commodities[more]

    Komfie Manalo, Opalesque Asia: Global hedge funds recovered in April with the HFRX Global Hedge Fund Index gaining +0.41% last month (-1.47% YTD), while the HFRX Market Directional Index gained +5.31% during the same

  5. AIG lost $349m in hedge fund portfolio in Q1[more]

    Komfie Manalo, Opalesque Asia: Large US insurance group AIG lost a net $183m for the first quarter 2016, year-on-year. The group blames the loss on the impact of market volatility on investments, as well as net realised capital losses and restructuring costs. Its hedge fund portfolio made a n