Why would anyone invest in these funds?

Discussion in 'Trading' started by Maverick1, Oct 30, 2017.

  1. Maverick1

    Maverick1

    Last edited: Oct 30, 2017
    murray t turtle likes this.
  2. Robert Morse

    Robert Morse Sponsor

    Because "Managed Futures Are In their DNA".

    I would not.........
     
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  3. The founders and managers' lineage and futures involve being a member of the lucky sperm club.
    (i'm really bored right now)
     
  4. Makes it sound more trust fund than hedge fund.
     
    Xela likes this.
  5. Maverick1

    Maverick1

    Does anyone know if Cantab and Altis have been taking in new money in last 2-3 years?
     
  6. Maverick1

    Maverick1

  7. Main benefit of CTA type strategies is the diversification benefit particularly in tail events (so Sharpe Ratio is a poor measure as it's symmetric, and any kind of CAPM type analysis isn't much better as it assumes linear correlations). There are numerous studies explaining this.

    Basically you would expect to pay for an insurance policy that will protect you when the world ends and the rest of your portfolio tanks. If a CTA actually makes you money over time then that is a bonus.

    The only other quantitative strategies that made money in 2008 were short biased equity (obviously) and tail protection type strategies (Taleb style smart buying of vol essentially). [Oh and Paulson et al; but that's hardly a repeatable methodology] Both of these have much lower SR than managed futures. That doesn't mean you shouldn't have them in your portfolio, but I'd probably give them less weighting.

    100% in managed futures obviously wouldn't make sense, but a 20% allocation to a classic long only 80:20 portfolio will improve things significantly.

    GAT

    Disclosure; I used to work for AHL (another managed futures shop), I use managed futures type signals in my own trading (alongside a long only portfolio - as that is what makes sense), and I know (and respect) Ewan and many of his guys. So yes, I'm biased.
     
    Last edited: Oct 31, 2017
    tommcginnis likes this.
  8. The difference between Cantab and SP500 seems to be in the correlation. They seem uncorrelated: your first link shows a correlation of -0.01 (http://www.managedfutures.com/program_performance.aspx?fundtype=mf&productId=48059). If somebody is looking for diversification then this could be an important parameter.
     
    tommcginnis likes this.
  9. Robert Morse

    Robert Morse Sponsor

    Can you email me your tear sheet, presentation and a link to your website please?

    Bob
     
  10. Sorry Bob - I don't trade outside money (and I have no intention of doing so)

    But you are welcome to peruse https://www.systematicmoney.org/

    GAT
     
    #10     Oct 31, 2017