Debt Crisis Watch And Managed Futures Strategy

Below is from the recent Opalesque Futures Intelligence


I recently had an opportunity to ask Chicago Federal Reserve President Charlie Evans to define the risks in quantitative easing and related stimulus policies he has so aggressively pursued. In his speech to a friendly group at the Union League Club in Chicago on April 16, the Chicago Fed President didn’t discuss risk much in his prepared remarks outside of the potential to create inflation. When directly asked to list the headline risks of quantitative easing, he relented at two points: interfering with the price discovery mechanisms of markets and creating froth. As solving the sequester battle

has been generally avoided by political leaders, a note Mr. Evans hit on several occasions, academics, hedge fund managers and government policy leaders have questioned risks in quantitative easing, particularly catastrophic risk. It is for this reason that Dr. Bob Swarup’s warnings on the topic might be ahead of his time. Have a look in the article Fed President Evans Talks Quantitative Easing While Crisis Risks Questioned by Dr. Bob Swarup.

This month a professional asset manager wondered aloud if there would come a point when managed futures strategies would no longer work. But is the real question: will trends no longer persist in markets? Will volatility vanish? To make the point in the article Is Trend Following Broken? we call on a 2010 study produced by managed future fund operator AQR and their look at trend following dating back to 1903, the longest known study period in existence. We further look at trend following in the article CTA Evaluation and Portfolio Considerations.

In the article Kevin McDonald Discusses Single Manager, Multi-Strategy Funds the mechanics of a single manager trading multiple strategies relative to that of a multi-manager fund of funds approach is considered. This article dove tails into Discretionary Strategies in the Spotlight¸ which looks at the first mutual fund product to primarily employ discretionary traders. In industry events, managed futures evangelist Tom O’Donnell, a former pension fund manager, discusses his experiences allocating towards managed futures in the article A Former Institutional Investors Perspective on Managed Futures.

Download the current Opalesque Futures Intelligence (April) is available by clicking here.

I hope you find this issue useful. If you have any comments or questions, feel free to reach out.

Best Regards,

Mark H. Melin

DISCLOSURE: These are the opinions of the author and may not have considered all risk factors. Nothing on this web site should be construed as an individual recommendation, talk to your independent advisor. The author and Opalesque may have relationships with those people they cover in the publication. Mr. Melin provides a full disclosure of his business relationships to regulators and certain eligible participants who engage him in consulting projects. Managed futures investing involves risk and there are no guarantees of safety or future performance being implied. Managed futures can be a risky investment. This web site and its content is subject to the terms of the web site. Risk Disclosure and terms of web site are available here: Performance information received on this site is provided by third parties and deemed reliable but there is no guarantee relative to same. Performance reporting sources and quality assurance techniques may include, but are not limited to: disclosure document, CTA self reporting, brokerage firm reporting, consultant reporting, spot checking other reporting databases; nonetheless no guarantee of accuracy or implication performance verification or auditing is being made by the publishers. The CTA Database is a project separately managed from

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