This is up dramatically from the 47 percent of survey respondents who expected consolidation in 2017’s survey.
Three-quarters of alternative fund administrators expecting industry consolidation –(HedgeWeek)
“Enhanced diversification” can potentially eliminate these opportunity costs. As shown, a 60/40 portfolio has an expected return of 7.6%, risk of 9.6%, and a Sharpe Ratio of 0.69. A 70/30/70 “enhanced” portfolio with about the same level of risk has an expected return of 10.7% (310 basis points higher) and a Sharpe Ratio of 1.01. Enhanced diversification truly enhances the potential free lunch that diversification provides.
Managed Futures: The Power Of Enhanced Diversification – (Alpha-Week)
There’s long time managed futures database BarclayHedge reporting a new record high of $347 Billion, but Nasdaq owned eVestment showing just $135 Billion of assets for managed futures focused funds.
Emerging Managed Futures Managers Win AUM Flows – (RCM’s Attain Alternatives Blog)
Bitcoin and other cryptocurrencies are “kind of a pure ‘greater fool theory’ type of investment,” Microsoft co-founder Bill Gates said Monday.
Bill Gates: I would short bitcoin if I could – (CNBC)
It would mean Xapo, just 4 years old, has more “deposits” than 98 percent of the roughly 5,670 banks in the U.S.
The Wealthy are Hoarding in $10 Billion Bitcoin in Bunkers — (Bloomberg)
For Commodity Trading Advisors (CTAs) going long those commodity markets in backwardation, the roll yield can be a boost for performance, adding return simply by holding the position.
Commodities are Back in Backwardation – (RCM’s Attain Alternatives Blog)
There were at least two incitements behind this letter. First, its authors, Chairman Ed Tilly and President Chris Concannon, were responding to an article posted on SSRN in May, by two scholars at the University of Texas at Austin, John M. Griffin and Amin Shams. Griffin and Shams suggested that the CBOE VIX system is vulnerable to manipulation.
THE CBOE AND VIX: THE APPEARANCE OF MANIPULATION – (All About Alpha)
Further, despite lower fees, a risk premia portfolio would have failed to improve performance. Arguably, this is two steps forward and, quite possibly, two steps back.
Trend-Following Index Managers Have So Far Failed to Replicate Managed Futures’ Performance – (Wealth Management)
Further, the frequency of data that goes into our calculations can have a dramatic effect on the result, and with that, expectations. Keep this in mind, and pay less attention to daily performance, and you may make better investment decisions.
How to Measure Returns in Volatile Times – (Think Advisor)
Digitalisation, artificial intelligence, smart grids and the increasing dominance of renewables will move trading closer to real-time, evolving the energy market from limited numbers of centralised generation units towards millions of distributed sub-systems capable of producing at zero marginal cost.
Slaves to the algorithm – (Montel News)