Why Past Performance of a Conventional (60-40) Portfolio Is NOT Indicative of Future Performance
By Mike Dever / Brandywine Asset Management For the past 31 years[i], a conventionally-diversified portfolio consisting of 60% stocks and 40% bonds has provided investors with satisfying returns of +10.80% annually. This was the result of both stocks and bonds [...]
Managed Futures Account Type Categorization
There is much discussion regarding account type options. The first place to begin understanding is categorizing the account type. While many categorization opinions exist, I organize account type in three categories based on their regulation, distribution channel and primary investor [...]
What questions should you ask a volatility CTA? I like to start here…
When speaking with CTAs its productive to have at the ready a number of interesting questions to get an interview process rolling. Here are some conversation starters that break the ice: Can volatility be predicted? Past study of volatility has [...]
Efficient Capital June Market Analysis
iSTOXX® Efficient Capital® Managed Futures 20 Index 07/02/2013 The iSTOXX® Efficient Capital® Managed Futures 20 Index, developed in collaboration with Efficient Capital® Management, a leading investor in the Managed Futures space, represents the 20 largest Managed Futures Traders. Strict rules [...]
Recommendation: Invest in Short Volatility CTAs
I’m making a recommendation for aggressive asset managers to invest in short volatility options programs with a separate trend following hedge exposure. Below is the first such recommendation. Other recommendations will follow tomorrow. Global Sigma $66 million AUM Duration [...]
June OFI Released: Market Environmental Reactions / Investment Manager Due Diligence
The most recent version of Opalesque Futures Intelligence is out. Members can view the June issue here: OFIJune2013 Some of what I find interesting is how various managed futures programs handled the current market environments, how a firm like Wilshire goes [...]
I’m Recommending Investing in These Specific Managed Futures Fund Products on a Drawdown
This recommendation is intended for Qualified Eligible Participants, sophisticated enough to understand the risks in managed futures and derivative investments. I am issuing a recommendation to invest in certain trend following models, particularly those who have experienced a drawdown over [...]
Short Volatility Strategies Risk Management Programs Are Tested
This is the market environment where a short volatility trading manager proves their worth. Two recent Pinnacle Award winners in this regard are of note. Short volatility players LJM Partners and Global Sigma, both a run with obsessive mathematical backgrounds, [...]
Last Six Trading Days of Month Hit CTA Performance in May
The Newedge CTA index ended the month Friday down -1.51%, taking significant losses in the final six trading days of the month. During these final days, the index was down -2.88% in six days of trading alone but is still [...]