Browsing: Macro and Managed Futures Funds

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Macro and Managed Futures Funds

AIMA and SGPS on Managed Futures and CTAs

Sep 28th, 2017 | Filed under: Algorithmic and high-frequency trading, Allocating to A.I., Business News, Commodities, CTA, Institutional Asset Management, Investing in Commodities, Macro and Managed Futures Funds, Newly Added, The A.I. Industry

The Alternative Investment Management Association and Societe Generale Prime Services have together put out a white paper about managed futures funds and the commodity trading advisers who manage them. A key themes of the paper is that managed futures strategies aren’t as risky as are typical investments in equity markets.Read More


Below the Black: A Review of Risk Reduction Strategies

Sep 13th, 2017 | Filed under: Commodities, Commodities, Hedge Fund Strategies, Hedge Funds, Investing in Commodities, Macro and Managed Futures Funds, Newly Added, Risk management, Risk Management & Operations, Risk Management Strategies & Processes, Risk Metrics and Measurement

Excerpted from the Alternative Investment Analyst Review, Volume 1, Issue 4 The Alternative Investment Analyst Review is the official publication of the CAIA Association. Access to the most current issue is an exclusive benefit of CAIA Membership while archived issues are available to the public in the Perspectives section atRead More


Eurekahedge on Outflows, Performance and Tail Risk

Sep 27th, 2016 | Filed under: Commodities, CTA, Equity Hedge Funds, Hedge Funds, Macro and Managed Futures Funds, Newly Added, Relative Value Hedge Funds

Eurekahedge, a provider of hedge fund industry news since 2001, has released its report about the state of the industry in August 2016. Among the key points: August was the fourth consecutive month of outflows. Although preliminary, the data for the month suggests a net asset outflow of $7.5 billion.Read More


Risk-Adjusted Time Series Momentum Strategies

Aug 21st, 2016 | Filed under: Finance & Economics, Financial Economics Theory, Hedge Funds, Macro and Managed Futures Funds, Newly Added

The name is awkwardly long, and the standard abbreviation, “RAMOM,” sounds like what one says when cheering on one’s mother as she nears a finish line. Still, risk adjusted time series momentum strategies have something to be said for them, in comparison to cross-sectional momentum (MOM without preface), or evenRead More


Eurekahedge: Performance Down, Inflows Up in 1st Half 2016

Jul 28th, 2016 | Filed under: Equity Hedge Funds, Event-Driven Hedge Funds, Finance & Economics, Hedge Funds, Macro and Managed Futures Funds, Newly Added, The Global Economy & Currencies

The latest report from Eurekahedge indicates that hedge funds’ assets under management are up by $19.9 billion in the first half of 2016 worldwide. Eurekahedge, which tracks the health of the hedge fund industry month by month, also says that total industry performance-based results were down, $5.2 billion, so moreRead More


Eurekahedge: From Latin America to Middle Earth 

Mar 20th, 2016 | Filed under: Allocating to A.I., CTA, Hedge Funds, Macro and Managed Futures Funds, Newly Added, Performance, Analytics & Metrics

The latest report from Eurekahedge tells us that hedge funds worldwide are down year-to-date through February, -1.27 percent. Dividing the industry by geographic mandates, Latin America is the only region to post YTD gains, +1.9% due to a rally in oil and commodities. Table 1, adapted from the report below,Read More


When an allocator calls: Best Practices for a CTA’s back office

Mar 9th, 2016 | Filed under: Commodities, CTA, Hedge Funds, Investing in Commodities, Macro and Managed Futures Funds, Newly Added, The A.I. Industry

By Dana Comolli, president, DMAXX LLC Every trader who has tried to raise money knows the drill from investors: yes we want to know about your performance, but also, explain in detail your back office (infrastructure, organization). Most allocators come with pages of checklists and expect the manager to beRead More


Carry Strategies: Beyond Foreign Exchange

Feb 21st, 2016 | Filed under: Commodities, CTA, Currencies, Forex, Hedge Funds, Macro and Managed Futures Funds, Newly Added, The Global Economy & Currencies

International investors borrow money in countries where interest rates are relatively low, and then lend it out in countries where the rates are higher. All they do is “carry” the money, so to speak, from one country to the other.Read More


Eurekahedge: Performance after the ECB Underwhelms

Jan 28th, 2016 | Filed under: Benchmarking & Performance Attribution, Equity Hedge Funds, Hedge Funds, Macro and Managed Futures Funds, Newly Added, Performance, Analytics & Metrics

The latest Eurekahedge report says that regional mandates for the month of December 2015 produced quite mixed results. Asia ex-Japan managers yielded the best results, gains of 1.45%. Their Japanese counterparts produced 0.27%. In annual terms, Asia ex-Japan funds delivered 8.23% in 2015. Such funds saw an annual AUM growthRead More


Eurekahedge: The Markets are Reading the Headlines

Aug 18th, 2015 | Filed under: Alpha Seekers, Alpha Strategies, Commodities, CTA, Currencies, Hedge Fund Strategies

In the three month period that ends with July, Eurekahedge’s Greater China Index (which has 85 constituents) is down 9.39%. That has come about for precisely the reasons that a reader of the pertinent headlines would guess. Read More


More Global Mandates, Fewer EM Mandates, and Other Changes

Mar 23rd, 2015 | Filed under: CTA, Institutional Investing, Performance, Analytics & Metrics, Risk management

Eurekahedge's latest report gives a number of timelines for grappling with changes in the hedge fund world: since 2007; since January 2013; YTD January 2015. In any frame, you don't have to be a meteorologist....Read More


After You Go as Low as You Can Go

Jul 2nd, 2013 | Filed under: Commodities, CTA

Welton has modeled an investment approach, specifically a multi-asset class trend following approach, and has measured how it would have performed if back-fitted into certain periods of sustained and sharp interest rate increases in the decades since the death of Bretton Woods. Read More


Rice Elucidates Views on Managed Futures, Retail Investors

Jun 24th, 2013 | Filed under: Commodities, CTA, Hedge Fund Industry Trends

To encourage further exchange and understanding, I went back to Mr. Rice, after reading a comment from our reader, and asked him to expand on managed funds and their noncorrelation with traditional (largely equity) investment strategies. Tags, Agriculture, Commodities, Derivatives Read More


The Wind and the Leaves: Causality in Commodity Prices

Jun 5th, 2013 | Filed under: Commodities, CTA, Derivatives, Hedge Fund Industry Trends

Three scholars find a very real possibility that there is a cause and effect relationship between index flows in the derivatives markets, at least the agricultural index markets, on the one hand and price moves in the underlying commodity on the other. Read More


A Plea to the Retail Investors

Jun 2nd, 2013 | Filed under: Alpha Strategies, Commodities, CTA, Hedge Fund Strategies, Retail Investing

This book, The Alternative Answer: The Nontraditional Investments that Drive the World's Best-Performing Portfolios is an appeal to the retail investor, to those author Bob Rice calls "typical investors," passing along the good news that they are no longer "stuck with the children's menu of investment options."Read More


NG Futures Traders: Who’s Your Regulator?

Mar 24th, 2013 | Filed under: Commodities, CTA, Energy, Regulatory

As a three-judge panel of the D.C. Appeals Court saw it, there were two questions in the Brian Hunter case. First, did the CEA’s language encompass manipulation of NG futures contracts as part of the exclusive jurisdiction of intervener CFTC? Second, if so, was that repealed or modified by the 2005 legislation? Read More


Survey: MF Global and Peregrine Have Left a Lasting Mark

Mar 20th, 2013 | Filed under: Commodities, CTA

Ninety-one percent of the respondents to a recent survey strongly believed there was a breakdown in audit procedures in the futures world. The comments section for that question displayed what the survey sponsor, Horizon Cash Management, calls “widespread frustration and anger.” Read More


A Look at the Dubai Mercantile Exchange with Christopher Fix

Nov 27th, 2012 | Filed under: Commodities, CTA

An interview with Christoper Fix, the CEO of Dubai Mercantile Exchange - home of the largest physically delivered crude oil futures contract in the world.Read More


Citi: Systematic Component in CTAs Dominate over Discretionary Bits

Jul 24th, 2012 | Filed under: Algorithmic and high-frequency trading, Commodities, CTA

There has been a perhaps-unexpected consequence of the disappearance of the old-fashioned floor traders. Floor trading used to serve as a training regimen, "from which many of the industry's leading discretionary traders originated." Without the floors, the talent pool has dried up.Read More


Alpha Hunters: Looking at Alternative Investments From the Inside Out

Jun 7th, 2012 | Filed under: Alpha Hunters, Alpha Strategies, CTA, Derivatives, Forex, Hedge Fund Industry Trends, Hedge Fund Strategies, Institutional Investing, Private Equity, Real Estate, Venture capital

A deeper look at alternatives with Dr. Bob Swarup, a world-renowned expert and commentator on alternatives and financial markets as well as being a visiting fellow at London School of Economics.Read More


A Paradox: Avoid Correlation by Following the Trends

Apr 2nd, 2012 | Filed under: Commodities, CTA, Institutional Investing

According to its advocates, trend following as a strategy works from the premise that price trends represent a process of consensus building. As a new idea takes hold, "the earliest adopters of this idea place their trades in accordance with it" and they get to watch in satisfaction as "a growing mass of market participants adopts the same thesis. Early adopters can surf the wave to the beach.Read More


U.S. Rejoins the Globe, Say Consultants

Mar 28th, 2012 | Filed under: Alpha Strategies, CTA, Hedge Fund Industry Trends, Institutional Investing, Private Equity, Real Estate

Consultants expect that managers' need to generate steady income in a low interest rate environment will drive a lot of portfolio turnover in 2012, inclusive of the movement of alternatives into core positions within portfolios, and it will drive one-time U.S. focused investors and managers to look abroad. Meanwhile, pensions are retreating toward passive mandates. Read More


Catastrophism Versus Darwinism: Dodd-Frank as Climate Change

Mar 14th, 2012 | Filed under: Alpha Strategies, Commodities, CTA, Hedge Fund Industry Trends, Hedge Fund Regulation, Hedge Fund Strategies, Private Equity, Retail Investing

The Grant Thornton paper maintains that the asset management industry achieved "performance and operational efficiencies" during 2011, and this sounds like the sort of marginal adaptation that play a large part in Charles Darwins' writings, to which GT's Winstoin Wilson alluded. But ... the report also treats the regulatory environment as a meteor, capable of wiping out even the best-adapted of pre-collision dinosaurs. So "the Darwinian process" is an odd label for what it describes. Read More


Final CFTC Rule Limits Registration Exemptions for Commodity Pools

Mar 6th, 2012 | Filed under: Commodities, CTA, Hedge Fund Regulation

With the enactment of the Dodd-Frank Act (more formally the Wall Street Reform and Consumer Protection Act) in 2010, Congress demanded change. It did not specifically demand changes in the rules relating to CPOs, but it did demand that the SEC change certain rules regarding hedge fund advisors, and the CFTC has decided that a reconsideration of the CPO rules is “consistent with the tenor of the provisions” of that act because the “sources of risk delineated in the Dodd-Frank Act with respect to private funds are also presented by commodity pools.”Read More


Alpha Hunter Jeremy King on Contrarian Asian Alpha Generation

Oct 17th, 2011 | Filed under: Alpha Hunters, Alpha Strategies, Commodities, CTA

Jeremy King of Knight Pacific discusses his contrarian views on investing in Asia.Read More


Alpha Hunter Chris Brodie Talks About 20 Years’ Worth of Commodities

Oct 6th, 2011 | Filed under: Alpha Hunters, Alpha Strategies, Commodities, CTA, Currencies

Chris Brodie has been trading commodities for over 20 years, and set up Krom River in 2006. Scotsman Brodie relocated to Zug in Switzerland several years ago and has no regrets about the move. The fund’s best year so far was 2008 when it rose by 37% while the GSCI fell by two thirds, and it was also up in August of this year. Krom River are running both discretionary and systematic funds, and also have a dedicated agricultural vehicle. We touched on a range of topics that CAIA candidates and charterholders will be familiar with. Krom River is a signatory of the Hedge Fund Standards Board that has been discussed on AAA.Read More