Alternatives Links: Doubt

Asness’ big trend following fund, AQR Managed Futures Fund, is experiencing a 19.5% daily drawdown since its peak in April 2015, according to Morningstar data.

Billionaire Cliff Asness’ Big Trend Following Fund Is Down 19% Since Its 2015 Peak – (Forbes)

 

So, the more advanced question is: What’s wrong with AQR in relation to its peers?  The obvious question there is: “Is it too big?”

What’s Wrong with AQR? — (RCM’s Attain Alternatives Blog)

 

Until then, rangebound markets might continue hurting systematic trend-followers in the short run. These funds are approaching an inflection point where additional losses may trigger further investor redemptions, as has happened several times in the managed-futures industry before the strategy gained popularity in the mutual fund space.

Are Managed-Futures Funds a Thing of the Past?  — (Morningstar)

 

Having a quant on staff and building algorithms are really just the table stakes or price of admission these days.

Quants Run Wall Street Now? – (RCM’s Attain Alternatives Blog)

 

Most people don’t realize how broad the CTA space is.

Bedi | Jaffarian | Hatzopoulos #02 – (Top Traders Unplugged)

 

The third is a managed futures fund, which will use derivatives, or investments linked to the movements of other securities.

Putnam unveils three ‘alternative’ mutual funds – (Boston Globe)

 

For most investors, a 5–15% allocation to managed futures may offer a good balance of diversification and volatility. Over the long term, the volatility of most managed futures strategies will be closer to that of equities than that of core bonds, and this size of allocation generally may be enough to “move the needle” positively in most portfolio allocations.

Managed Futures Strategies: Inside the “Black Box” – (PIMCO)

Disclaimer
The performance data displayed herein is compiled from various sources, including BarclayHedge, and reports directly from the advisors. These performance figures should not be relied on independent of the individual advisor's disclosure document, which has important information regarding the method of calculation used, whether or not the performance includes proprietary results, and other important footnotes on the advisor's track record.

Benchmark index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship, self reporting, and instant history.

Managed futures accounts can subject to substantial charges for management and advisory fees. The numbers within this website include all such fees, but it may be necessary for those accounts that are subject to these charges to make substantial trading profits in the future to avoid depletion or exhaustion of their assets.

Investors interested in investing with a managed futures program (excepting those programs which are offered exclusively to qualified eligible persons as that term is defined by CFTC regulation 4.7) will be required to receive and sign off on a disclosure document in compliance with certain CFT rules The disclosure documents contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA, as well as the composite performance of accounts under the CTA's management over at least the most recent five years. Investor interested in investing in any of the programs on this website are urged to carefully read these disclosure documents, including, but not limited to the performance information, before investing in any such programs.

Those investors who are qualified eligible persons as that term is defined by CFTC regulation 4.7 and interested in investing in a program exempt from having to provide a disclosure document and considered by the regulations to be sophisticated enough to understand the risks and be able to interpret the accuracy and completeness of any performance information on their own.

RCM receives a portion of the commodity brokerage commissions you pay in connection with your futures trading and/or a portion of the interest income (if any) earned on an account's assets. The listed manager may also pay RCM a portion of the fees they receive from accounts introduced to them by RCM.

See the full terms of use and risk disclaimer here.

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