Author: IASG

  • Sortino: A ‘Sharper’ Ratio – What are the Differences?

    | | Managed Futures, Statistics

    Earlier this week we discussed the Red Rock Capital research paper discussing different metrics used to evaluate CTA risk adjusted performance. Sharpe has long been considered the go to statistic commonly referred to by brokers and CTAs in Managed Futures. Today we intend to cover the differences and make some conclusions on the Sortino vs. Sharpe ratio debate and give a different perspective on analyzing a CTA … Read more Sortino: A ‘Sharper’ Ratio – What are the Differences?
  • High vs. low volatility strategies: A different view of risk

    | | Strategy, Volatility

    When investors think of risk, they usually associate it with volatility. This probably stems from Nobel Prize winning economist Harry Markowitz’s use of volatility in the 1950s and fellow Nobel Prize winner William Sharpe’s use of volatility in creating his self-named method of risk adjusting returns. The lower the volatility of a given investment theoretically indicates that investment carries less risk. Risk, however, could be viewed from a different angle. The impact of a high volatility investment on a portfolio can be mitigated by the allocation size given to that product. By normalizing for volatility, theoretically, high and low volatility investments can have equal impact on a portfolio’s total return. This leads us to a different way to view risk. Risk is the difference between the anticipated worst loss and the realized worst loss. … Read more High vs. low volatility strategies: A different view of risk
  • NFA ‘deluged’ with responses to capital adequacy rules

    | | Commodity Pool Operator, Commodity Trading Advisor, CTA

    The NFA has received more than 100 comment letters over a request for comment on contentious capital adequacy rules for CPOs and CTAs. NFA members and the wider public were invited in January to comment on the concepts of imposing a capital requirement on CPOs and CTAs as well as other customer protection measures. NFA spokesman confirmed it received 115 comment letters, with the “overwhelming majority” coming from the CPO/CTA community. The measures have provoked strong reaction from the industry and representatives for CTAs and CPOs to the NFA board of directors hosted a virtual town hall meeting to discuss them. Typically, opinion is collated and submitted by trade bodies, who have also made their concerns clear. … Read more NFA ‘deluged’ with responses to capital adequacy rules
  • Federal Reserve Beige Book –‘Modest to Moderate’

    | | Federal Reserve

    The Federal Reserve gave the markets a double dose of talk and economic data Wednesday but the market was already on a bullish tear and didn’t react much. The Fed released at 2 p.m. EDT the Beige Book Business Survey, which was based on data collected before April 7 and since the previous report on March 5. The report indicated economic activity increased in most of the 12 Federal Districts around the county … Read more Federal Reserve Beige Book –‘Modest to Moderate’
  • Grain Outlook from CTA: Kottke Commodities

    | | Agriculture, Commodity Trading Advisor, CTA, Grains

    Simultaneous, intense logistical snarls in both ocean-going shipments and North American rail transportation made for divergence between cash grain values and underlying futures contracts during the month. Part of what we do is forecasting how futures will act to realign regional imbalances, but this proved largely impossible as “uneconomic” dislocations abounded as never before: Cancellation of excess soybean purchases by China occurred at such an awkward time that U.S. was simultaneously loading soybeans and soymeal for export, and offloading imports of the same commodities from South America. This left the managers with insufficient understanding of whether U.S. supplies were growing … Read more Grain Outlook from CTA: Kottke Commodities