More Global Mandates, Fewer EM Mandates, and Other Changes

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

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....

Improving the Odds with Managed Futures

Mar 19th, 2014 | Filed under: Alpha Hunters, Commodities, CTA, Today's Post

Guest columnist Diane Harrison looks at the basics of managed futures.

Two Troubled Strategies by the Numbers

Feb 9th, 2014 | Filed under: Alpha Strategies, Commodities, CTA, Hedge Fund Industry Trends, Hedge Fund Strategies, Today's Post

Managed futures are performing quite poorly. They also have a higher standard deviation than the HF industry aggregate, so it seems that if you're invested there your losses are at least buying you greater risk. [Wait. That can't be right.]

AlphaMetrix: We did nothing wrong!

Jan 22nd, 2014 | Filed under: Commodities, CTA, Insolvency, Institutional Investing, Legislation/Court rulings, Retail Investing, Today's Post

In 2010 AlphaMetrix held a conference in Miami with Harry Markopolos as the keynote speaker. Markopolos' claim to fame is that he told the regulators about Madoff''s Ponzi Scheme, but his words fell on deaf ears. In 2013 AlphaMetrix, which claimed to the be the transparent antidote to Madoff stood accused by the CFTC of moving money in ways it ought not and in 2014, the principals of the firm are asking for a jury trial. It is indeed a tangled web and it is unlikely to be un-weaved any time soon.

CTAs: Diamonds during the rough

Aug 27th, 2013 | Filed under: Commodities, CTA, Today's Post

CAIA Curriculum Director Keith Black looks at CTAs.

Time to Put Away the Trashy Novel

Aug 25th, 2013 | Filed under: Alpha Seekers, CTA, Hedge Fund Industry Trends, Hedge Fund Strategies, Today's Post

Print 'em out and head to the beach for one last hurrah of summer!

Building a Successful Fund Firm From the Start

Aug 21st, 2013 | Filed under: Best Practices, Commodities, CTA, Hedge Fund Industry Trends, Hedge Fund Operations and Risk Management, Performance, Analytics & Metrics

Grant Jaffarian, AlphaTerra LLC, discussed the importance of messaging

Are CTAs Simply Broken? A Short Critique

Aug 19th, 2013 | Filed under: Commodities, CTA, Performance, Analytics & Metrics, Today's Post

Guest columnist Andrew Beer looks at CTA performance.

After You Go as Low as You Can Go

Jul 2nd, 2013 | Filed under: Commodities, CTA, Today's Post

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.

Rice Elucidates Views on Managed Futures, Retail Investors

Jun 24th, 2013 | Filed under: Commodities, CTA, Hedge Fund Industry Trends, Today's Post

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

The Wind and the Leaves: Causality in Commodity Prices

Jun 5th, 2013 | Filed under: Asset pricing, Commodities, CTA, Derivatives, Hedge Fund Industry Trends, Today's Post

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.

A Plea to the Retail Investors

Jun 2nd, 2013 | Filed under: Alpha Strategies, Book review, Commodities, CTA, Hedge Fund Strategies, Retail Investing, Today's Post

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."

NG Futures Traders: Who’s Your Regulator?

Mar 24th, 2013 | Filed under: Commodities, CTA, Energy, Regulatory, Today's Post

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?

Survey: MF Global and Peregrine Have Left a Lasting Mark

Mar 20th, 2013 | Filed under: Commodities, CTA, Today's Post

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.”

A Look at the Dubai Mercantile Exchange with Christopher Fix

Nov 27th, 2012 | Filed under: Commodities, CTA, Today's Post

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

Citi: Systematic Component in CTAs Dominate over Discretionary Bits

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

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.

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, Today's Post, 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.

A Paradox: Avoid Correlation by Following the Trends

Apr 2nd, 2012 | Filed under: Commodities, CTA, Institutional Investing, Today's Post

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.

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, Timely Research, Today's Post

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.

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, Today's Post

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.

Final CFTC Rule Limits Registration Exemptions for Commodity Pools

Mar 6th, 2012 | Filed under: Commodities, CTA, Hedge Fund Regulation, Today's Post

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.”

Not Just Another MF Global Hearing

Dec 20th, 2011 | Filed under: Commodities, CTA, Today's Post

On Oct. 30, a Sunday, the Commodity Futures Trading Commission received a draft report from MF Global that for the first time showed a shortfall in the segregated funds, a deficit of $900 million. At this time, both MF Global and the CFTC were referring to this in anodyne terms as an “accounting error.”

From Refco to MF Global: Trust Unravels Quickly

Dec 8th, 2011 | Filed under: Alpha Strategies, Commodities, CTA, Currencies, Derivatives, Today's Post

The Commodity Customer Coalition has now issued a white paper presenting its own view of the “background, impacts, and solutions to MF Global’s Demise.”

What Hedge Fund Investors Want, Hedge Fund Investors Get

Nov 6th, 2011 | Filed under: Alpha Strategies, CTA, Hedge Fund Industry Trends, Hedge Fund Operations and Risk Management, Hedge Fund Strategies, Institutional Investing, Timely Research, Today's Post

In spite of sketchy performance from some top managers, institutional investors remain committed to hedge funds and a large number are shopping for new relationships in 2012.

Commodities: Position Limits and Arbitrage Possibilities

Oct 30th, 2011 | Filed under: Commodities, CTA, Hedge Fund Regulation, Today's Post

There is an old story often attributed to economist Burton Malkiel. A professor of finance and an undergraduate are walking together. They see what looks like a $100 bill lying on the sidewalk. The naïve student bends down to pick it up, but the professor says, “Don’t bother. If it were a real bill, it […]

Commodities: Not That 1970s Show

Oct 27th, 2011 | Filed under: Alpha Strategies, Commodities, CTA, Today's Post

Commodities have been the big story of the past decade – almost a repeat of the inflation-burdened 1970s. If hems reflect stock market sentiment, we should be seeing an outbreak of bell-bottom trousers and platform shoes. Certainly, a new cohort of investors, institutional and retail alike, see price rises in the elements core inflation strips out – namely food and energy – as a secular shift. Still, appearances can be deceiving. A recent study argues a long-only bet on commodities is likely to result in a return that is statistically 0: not the 1970s at all.

Alpha Hunter Jeremy King on Contrarian Asian Alpha Generation

Oct 17th, 2011 | Filed under: Alpha Hunters, Alpha Strategies, Commodities, CTA, Today's Post

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

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

Oct 6th, 2011 | Filed under: Alpha Hunters, Alpha Strategies, Commodities, CTA, Currencies, Today's Post

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.