Browsing: commodities

Posts Tagged ‘ commodities ’

Of Falling Risks and Indexes

May 1st, 2012 | Filed under: Commodities, Indexes, Risk management

Any quantitative strategy is susceptible to being reduced to an index, and along with this, to transparency and routine. Once this happens, that "alpha" becomes "beta," and the 2 + 20 fees are no longer available. A manager in search of alpha will have to move beyond that strategy, peeling away that layer of the onion and going to a deeper, not-yet-indexable, strategy. 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


The Great Gasoline Trade Behind Pump Prices

Mar 27th, 2012 | Filed under: Commodities, Alpha Strategies

Futures tell the future, at least as it relates to gas pump prices. Read More


Algo Trading: Life in the Cross-Hairs

Mar 8th, 2012 | Filed under: Hedge Fund Regulation, Algorithmic and high-frequency trading

Three lawyers with Covington & Burlington write about the new intensified scrutiny to which regulators are subjecting algorihtmic and high frequency trading. They place it in the context of an old dispute over what constitutes market manipulation. According to the broadest view, if a trader's 'sole intent' in making even a quite ordinary buy or sell order is to move the price, then the resulting trade is market manipulation.Read More


Final CFTC Rule Limits Registration Exemptions for Commodity Pools

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

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


Alix Capital: Market Neutral Up, Fixed Income Down

Feb 29th, 2012 | Filed under:

After a survey of recipients of the UCITS Alternative Index, the UAI Industry Survey Q1 2012, Alix Capital reports that majorities expressed satisfaction with the current level of allocation for certain strategies: commodities, emerging markets, forex, and macro global strategies. But there was a lot of interest in increasing allocations to CTAs, equity market neutral, and volatility-based strategies. The strategy that receives the largest negative response (largest intended reduction in portfolio allocation) is fixed income. Read More


Looking at an Ink Blot, Seeing a Green Light

Sep 26th, 2011 | Filed under: Commodities

International Monetary Fund research shows that speculation does not influence the commodities markets.Read More


Elephant in the Room: Washington’s giant hedge fund.

Feb 24th, 2010 | Filed under: Hedge Fund Industry Trends

Strain really hard and the IMF's recent announcements on commodities and gold almost appear as if they're talking up the markets ahead of deploying some sort of massive carry trade. Read More


Global macro trend is your friend, alternative investors say

Feb 22nd, 2010 | Filed under: Hedge Fund Industry Trends

The latest quarterly survey of alternatives investors from Brighton House Associates is chock full of good news. So what's the bad news?Read More