Which brings us back to needing to judge performance in relative terms, not just in a vacuum. It’s more than fair to say that AQR’s been in a pretty bad environment for a long volatility type strategy – you know, with all that record low volatility and 105 straight days without a sell-off of more than -1% in the S&P and the like.
Think of Kodak’s KodaKCoin, which will use blockchain technology to create an “encrypted, digital ledger of rights ownership” where photographers can simply and securely register their new and old work, and get paid automatically in KODAKCoin for any usage of their work.
The rub is… when volatility is so low, across nearly every asset class – systematic trading models tend to put on larger and larger position sizes to normalize the risk and profit potential in relation to other markets and other time periods
Are CTAs forever skewed towards short volatility strategies, negative skew, and positive S&P correlation? There’s no denying the huge correlation at the end of January and early February.
As Bitcoin, Litecoin, and all the other cryptocurrencies find their footing in volatile moves, RCM Alternatives sat down with three crypto experts to talk the fundamentals of the space as well as what could be the dangers and investment solutions for investors in the future.
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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.