Shopping Cart -

Your cart is currently empty.
Upgrade to today
for only an extra Cxx.xx

You get:

plus This issue of xxxxxxxxxxx.
plus Instant access to the latest issue of 340+ of our top selling titles.
plus Unlimited access to 30000+ back issues
plus No contract or commitment. If you decide that PocketmagsPlus is not for you, you can cancel your monthly subscription online at any time. Auto-renews at €10,99 per month, unless cancelled.
Upgrade for €1.09
Then just €10,99 / month. Cancel anytime.
Learn more
Pocketmags Digital Magazines
IT
Pocketmags Digital Magazines
   You are currently viewing the Italy version of the site.
Would you like to switch to your local site?
Leggi ovunque Read anywhere
Modalità di pagamento Pocketmags Payment Types
Trusted site
A Pocketmags si ottiene
Fatturazione sicura
Ultime offerte
Web & App Reader
Regali
Loyalty Points

Altiq CTA Excels in 2015

Differentiated, diversified models pay off

"CTAs are a mature and transparent industry that gives a predictable and clear view of pay-offs,” states Altiq LLP co-founder and CEO, Dr Sam (Tobin) Gover. He argues that CTAs are in many ways easier to understand than other hedge fund strategies: they generally trade exchange-traded futures, which are linear, ‘delta-one’ instruments with no strange pay-offs and rarely any liquidity issues. Gover recognises that returns for most CTAs have been underwhelming since 2008, but points out that the longevity of the managed futures industry means that we have abundant data on them. On a multi-decade view, since the birth of the strategy in the 1970s, the post-crisis, QE-era years are only a small part of the full history – and look like something of an aberration.

Target Sharpe ratios

Over a 30-year timespan, long-term trend following strategies and funds have delivered Sharpe ratios of around 0.5 to 0.7. Gover accepts the widely held view that this is probably a realistic target for that strategy on a standalone basis. But trend following is only one of many approaches pursued by the Altiq Global Program, which Gover thinks could reasonably target a higher Sharpe, somewhere in excess of 1. He thinks that certain, less scalable models could generate better risk-adjusted returns, and is determined that Altiq should remain nimble enough to exploit these. “From the outset we resolved to maintain a small asset base compared with other CTAs – and we could not run over a billion,” Gover states. The relatively low capacity target, he thinks, allows Altiq to focus on “higher-quality forecasting models, with shorter average holding periods of below five days.” This swifter style of trading most obviously distinguishes Altiq from some bigger CTAs.

READ MORE
Purchase options below
Find the complete article and many more in this issue of -
If you own the issue, Login to read the full article now.