CTAs & Managed Futures

CTAs & Managed Futures

First Understand Managed Futures From the Standpoint of Macro Market Environments and Beta Performance Drivers

Although it has not been written about nor formally discussed in public forums, understanding a managed futures investment from the standpoint of market environments and macro performance drivers first solves many problems for asset managers. · It enables a quick description of the investment to provide the [...]

CTA Analysis Starting With Beta Performance Drivers

When analysis of a CTA begins, where is the appropriate place to start? This article makes the point that beta performance drivers are the logical starting point.  This is important from a number of perspectives, including correlation and determination of [...]

Can Market Volatility Be Predicted? I say no; Scott Reamer, CIO at volatility trading program Rotella Chora, disagrees

Unfamiliar to even many sophisticated asset managers, volatility investing provides unique opportunities for risk management and market understanding. Volatility investing involves trading programs based on market price volatility.  The primary volatility market is based on the stock market, but variations [...]

HTF Regulatory Challenge: Define High Frequency Trading

How does one define a previously un-definable topic such as High Frequency Trading (HFT)? Sources close to the Commodity Futures Trading Commission (CFTC) indicate new thinking may be underway regarding the topic of High Frequency Trading (HFT). Speculation is this [...]

Can The Next Flash Crash Be Better Managed With a Volatility Interruption Algorithm? Does Eurex Exchange have the answer?

A significant issue with High Frequency Trading (HFT) has always been defining the activity and related behavior during times of crisis. “The issue is HFT impact on market stability,” noted Dr. Randolf Roth, Head of Market Structure for the Eurex [...]