| |Why is managed futures or more precisely trend-following an effective investment strategy? Many managed futures programs have been successful by keeping it simple and using heuristics like following the price trend and not always using all the information that is available about a market. Disciplined and systematic decision-making seems to be a robust means of dealing with a complex world. Managed futures programs do not work all of the time, but there has been consistently strong performance during times of stress, crisis, and uncertainty … Read more Managed Futures – The Intersection between Kahneman and Klein
| |The Funded Status Volatility index (PSRX) from NISA is a useful tool for understanding pension risk exposures. It is an aggregate of the risks for pension based on the combination of assets and liabilities associated average allocations for the 100 largest pension funds as measured through public information and 10-k filings. The index, which represents $1 trillion in AUM, will move up and down with the volatility of all asset classes. Hence, falling equity and bond volatility as well as changes in the discount rates will translate into a falling PSRX index … Read more Pension Surplus Risk at all Time Lows
| |Many believe that managed futures is a long volatility strategy because the strategy is like being long a look-back straddle. We believe there is a more nuanced story associated with long gamma exposure, but let’s use the prevailing wisdom of long volatility as a starting point for a discussion … Read more Volatility and Managed Futures – Is There a Relationship with the VIX?
| |Choices, choices, choices. There are just so many managers to choose for a portfolio. Look at the major database, and you will find hundreds of managers of all sizes, styles and skill. Using some simple criteria, the list can be reduced significantly. Minimum size, minimum track record, max drawdown, and max volatility could be just a few ways of reducing the pool of managers, yet there could still be a sizable number of managers. So how many managers do you have to look at before you find the right one? … Read more How Many Managers Should You Review Before You Pick One?
| |Managed futures research is hard. This is especially the case in the quantitative area. There always are new models being tested by almost all managers, but finding a truly new model or process that adds value is truly difficult. Data mining is an issue … Read more Quant Research and Managed Futures – Key Areas of Focus
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