- Advertisement -

Related

CTA Roundtable 2018 – Where´s the Crisis Alpha?

Powering Hedge Funds

Stockholm (HedgeNordic) – On November 27th 2018, HedgeNordic hosted its annual CTA roundtable in Stockholm. This was already the sixth year running we had the privilege of hosting this event, which has become a fixed point in our agenda.

We were, again, extremely pleased with the lineup of managers we were able to gather around the lunch table overlooking Stockholm’s harbor to discuss the status of the CTA space. We welcomed Gernot Heitzinger (SMN), Douglas Greenig (Florin Court), Kathryn Kaminski (AlphaSimplex), Martin Källström (Lynx), Matthew Sargaison (MAN AHL), Martin Alm (OPM) – Hans-Olov Bornemann (SEB Asset Selection), Razvan Remsing (Aspect Capital), Alexander Mende (RPM), Jeremy Taylor (ISAM) and Harold de Boer (Transtrend)to the discussion, which was moderated by Jonathan Furelid.

2018 was yet another difficult year for CTAs to master. A look back at the year and how most CTAs handled the markets offered an abundance of topics to talk about.

2018 saw three crisis months with falling equity prices along with, partially historic, surges and spikes in volatility. As a whole, CTAs were only able to provide downside protection and generate returns in December – too late, of course, for our gathering in late November to be considered.

In the other two months, we saw broad and vicious sell-offs in equity markets (in February and October), CTAs at large could not position themselves to deliver the famed crisis alpha – which is well explained in this paper.

Analyzing these two occurrences, which was an important anchor point in our discussion, it was evident the events that led to CTAs being wrong-footed in February and October of 2018 had very different triggers.

Other topics included performance and markets, the dynamics of models, new contracts such as Bitcoin, artificial intelligence and machine learning, client communication, replication of “cheap trend,” how AuM may affect performance and the research agenda.

You can read the full write up of this discussion here: Managed Futures / CTA Round Table 2018

Subscribe to HedgeBrev, HedgeNordic’s weekly newsletter, and never miss the latest news!

Our newsletter is sent once a week, every Friday.

Kamran Ghalitschi
Kamran Ghalitschi
Kamran has been working in the financial industry since 1994 and has specialized on client relations and marketing. Having worked with retail clients in asset management and brokerage the first ten years of his career for major European banks, he joined a CTA / Managed Futures fund with 1,5 Billion USD under management where he was responsible for sales, client relations and operations in the BeNeLux and Nordic countries. Kamran joined a multi-family office managing their own fund of hedgefunds with 400 million USD AuM in 2009. Kamran has worked and lived in Vienna, Frankfurt, Amsterdam and Stockholm. Born in 1974, Kamran today again lives in Vienna, Austria.

Latest Articles

Core, Satellite, and Structural Premiums: PensionDanmark’s Approach to Emerging Market Debt

Many institutional investors have gradually internalized mandates once awarded to external managers, seeking tighter cost control, greater transparency, and improved alignment. Emerging market debt...

PIMCO: Similar Yields, Better Risk Profile in European High Yield

The U.S. high yield market has long been regarded as the global benchmark: deeper, more liquid, and broader in sector composition. For many allocators,...

Avoiding the Echo Chamber: Kraft’s Playbook in Tighter High-Yield Market

Delivering strong returns during a market rebound is one thing. Preserving performance momentum once spreads tighten and dispersion fades is another. That was the...

Tidan Deepens Volatility Arbitrage Expertise

Tidan Capital has strengthened its volatility and options arbitrage platform with the appointment of Laurent Keller as Senior Portfolio Manager. The Stockholm-based hedge fund...

Two Brothers, One Model, Ten Years: The Evolution of Othania

Exactly ten years ago, two brothers on the outskirts of Copenhagen set out to build their own asset management firm. Their idea was straightforward...

Rare Valuation Gap Between Small and Large Caps

Over the past five years, Swedish small caps have oscillated between a 10 percent premium and a 10 percent discount relative to large caps,...

Allocator Interviews

In-Depth: Diversification

- Advertisement -

Voices

Request for Proposal

- Advertisement -