Interesting meeting with Sol Waksman of BarclayHedge this morning. We recently defended Waksman after he was baselessly attacked in a CBS article, and it was nice to have a chance to talk about the incident. With a career as long and rich as Waksman’s, it’s understandable why he doesn’t feel the need to defend himself in every instance; his track record speaks for itself. Nonetheless, it was interesting to hear him explain the various nuances that have given him so much confidence in the integrity of his indices, and after further discussion, we have decided to attempt to replicate Waksman’s 1994 study demonstrating the lack of significant survior or selection bias in his products. We’re excited to sink our teeth into the project, and look forward to continued dialogue on the subject.
Before leaving to celebrate his wife’s birthday (Have a good one, Mrs. Waksman), he shared a little bit of the backstory when it came to the development of the BarclayHedge CTA Index as it stands today. Turns out, when Waksman began, he was looking to isolate potential trends among CTAs in an effort to develop a market-timing based approach to portfolio construction and readjustment. To determine whether the methodology would deliver higher returns than an average portfolio, they needed a benchmark. The establishment of that benchmark ultimately proved more valuable than the market-timing research, and over time, has become a well-respected index for the industry.
Waksman was certainly nice to chat with, and is not without a sense of humor. When discussing his impending drive back to Iowa, he brushed away comments about the long trek.
“Ever since I had my license,” he said, “ever since before I had my license, really, I’ve loved to drive.”
With that twinkle in his eye, we believe him.
Forex trading, commodity trading, managed futures, and other alternative investments are complex and carry a risk of substantial losses. As such, they are not suitable for all investors.
The entries on this blog are intended to further subscribers understanding, education, and – at times- enjoyment of the world of alternative investments through managed futures, trading systems, and managed forex. Unless distinctly noted otherwise, the data and graphs included herein are intended to be mere examples and exhibits of the topic discussed, are for educational and illustrative purposes only, and do not represent trading in actual accounts.
The mention of asset class performance is based on the noted source index (i.e. Newedge CTA Index, S&P 500 Index, etc.) , and investors should take care to understand that any index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices: such as survivorship and self reporting biases, and instant history.
Managed Futures Disclaimer:
Past Performance is Not Necessarily Indicative of Future Results. The regulations of the CFTC require that prospective clients of a managed futures program (CTA) receive a disclosure document when they are solicited to enter into an agreement whereby the CTA will direct or guide the client’s commodity interest trading and that certain risk factors be highlighted. The disclosure document contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA.
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