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Opalesque Exclusive: CTAs expected to recover from their YTD slump
By Benedicte Gravrand, Opalesque London:
2008 was great for Commodity Trading Advisers (CTAs), and showed that a good level of volatility can be positive (not forgetting Madoff’s funds which had no volatility). It was said at ‘The Battle of the Quants III’ conference in London on Friday that CTAs are a numbers’ game, a process of modelling the general effects, an adaptive model for contractions and expansion in markets. “Really, it is a hunting ground,” a participant added.
CTAs are not performing as well this year as the strategy, being directional trading-driven (where long or short positions try to predict movements in price of securities), is confronting a non-directional market. Although the Newedge CTA Index was positive in May with a return of 1.27% (-2.83% YTD) and the Credit Suisse/Tremont Managed Futures index returned -0.20% (est.) in May and -6.22% YTD (18.23% in 2008).
Finaltis: CTAs have evolved, performance is less cyclical
Opalesque learned yesterday that Denis Beaudoin, CEO of French fund manager Finaltis commented that following strong performance for CTAs in 2007 and 2008, with a reversal in 2009, there were good prospects that returns for the sector would turn positive once more:
“After their 2007 and 2008 rallies, CTAs have given back some of their gains so far in 2009. We believe that the strat...................... To view our full article Click here
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