Commodity trading adviser (CTA)
Trend following struggles to return to vogue
Macro outlook for trend appears to be favourable, but 2023’s performance flop gives would-be investors pause for thought
Quant investment house of the year: Transtrend
Risk Awards 2022: Commodities long shot pays off for trend follower
How to trade like the investor who made $1bn in a day
Mark Spitznagel won’t reveal how he made a 4,144% return, but he does discard plenty of rival trades
Funds piled into WTI futures in wild week for crude
Funds long 325 million barrels on April 21
Portfolio management of Commodity Trading Advisors with volatility-targeting
This paper shows analytically that a volatility-targeted allocation methodology improves the risk-adjusted performance of portfolios under a broad set of assumptions regarding the serial correlation of returns and the dependence of the expected Sharpe…
Some trend followers are less than ‘pure’ – study
Sick of waiting for a crisis, some commodity trading advisers move from ‘pure trend’ to ‘trend-plus’
From trend follower to trailblazer
New fund targets commodities others are “scared” to trade – from asphalt to glass panels
From AI to cheese: funds seek fixes for trend following
Firms turn to machine learning, hybrid products and new markets to boost returns
ETFs may shift oil price but not stockpiles
Inelastic oil market moved easily by speculation, finds macroeconomist
Fears persist about forced unwind from ‘implicit’ short vol funds
February sell-off could presage a bigger slide if correlations change, buy-siders say
Volatility trap: how gamma roused a market monster
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
Bull run shows up differences in factor strategies
Market exposure, factor construction and risk budgeting have impact, writes Luc Dumontier of LFIS
Quant hedge fund of the year: Man AHL
Risk Awards 2018: New roles for machine learning, frontier markets and OTC data give fund an edge
Fear of CTA sell-offs could trigger wider stampede
Trend followers could not roil markets alone, but anxiety about them might, say BAML analysts
In search of an edge: CTAs launch into swaps trading
Systematic hedge funds are looking to new markets for a competitive advantage
Best managed futures/CTA FoHF: Abbey Capital Futures Strategy Fund
Chief executive Tony Gannon thinks big data and Ucits CTAs overhyped
Campbell profits from central bank divergence
Trend Following Portfolio picks up two Americas Awards
Beach Horizon soars on pattern-spotting machine
Computer replicates techniques of veteran pattern-spotter David Beach
AHL, ISAM unmoved by liquidity concerns
Quant hedge funds revamp algorithms since crisis, soothing liquidity woes
Tendance Finance sees risk in ETF liquidity
French hedge fund also fears regulators may cap leverage and curtail shorting
ISAM made a killing on porcine virus trade
CTA unflapped by Greece and unimpressed by regulatory uncertainty in Chinese futures