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CTA Roundtable 2018 – Where´s the Crisis Alpha?

Report: Systematic Strategies

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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

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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.

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