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Alternative Market Briefing

Investors' perception of CTAs has changed since last year

Wednesday, November 18, 2009

By the Opalesque team:

CTAs did wonderfully well last year, but not so this year, due to a non-directional market. According to Lyxor, an asset manager with Eur80bn in AuM, long-term CTAs posted -2.8% losses in October (-9.42% YTD), and Short-term CTAs were down -1% (5.88% YTD). Global equity markets trended upward strongly, and many CTAs captured these gains initially but were badly hit during the final trading days.

Regulations: CTAs are already there Ernest Jaffarian, founder of Efficient Capital Management, a Chicago firm currently allocating notional trading assets of $2bn to CTAs, commented on the fundamental, systemic change within the asset management industry towards managed futures as a result of last year's events, at the Opalesque MANAGED FUTURES Roundtable in Chicago earlier this month.

"If you look at all the proposed regulatory changes that are circulated in the press regarding controlling hedge funds and so on, you will find that in the managed futures industry this has all been done already," he said. "This means that for us, there will really be no or very little regulatory impact. When people take a close look, they will realize that this has been a highly controlled, highly disclosed and regulated industry from the beginning."

He believes there is a second, mo......................

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