14.11.2012 - Volatility is key driver in managed futures funds
CTAs are defined by their volatility and speakers at the Opalesque Managed Futures Roundtable, sponsored by Efficient Capital Management, and Eurex, discussed how they cope with the phenomenon. Sam Gover of Altiq Asset Management said that volatility could be looked at from a number of perspectives: "In the extreme case you are worried about shocks in markets which are by definition unexpectedly large. It is more significant in the CTA industry where you are holding a relatively small portfolio of instruments. Even if you have 50 plus markets which are fairly liquid, many of them are correlated, so you are actually holding a fairly small portfolio of global risks" he said...............................................Full Article: Source
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