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Alternative Market Briefing

1900’s new WTI futures strategy revels in short term price moves

Monday, July 14, 2014

amb
Kevin Miller
Benedicte Gravrand, Opalesque Geneva for New Managers:

Light Sweet Crude Oil (WTI) futures and options are the world's most actively traded energy product, says CME Group, a derivatives marketplace. Customers around the world have sought out WTI futures for price discovery and risk management for more than 25 years. That includes hedge fund managers, and especially CTA managers. CTAs in June almost made up their YTD losses thanks to their long held positions in equity and more recently in bond, and also thanks to rising oil prices on growing concerns in Iraq, according to Lyxor Asset Management (although the lack of volatility breakout continued to keep short-term models away from the current trends). According to June’s monthly TrimTabs/BarclayHedge Survey of Hedge Fund Managers, the proportion expecting crude oil prices to rise in the next six months hit a 17-month high. Although not everybody agrees with that view.

Here is a strategy that is neck......................

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