We had three professional hedge fund managers (technically, commodity trading advisors since these are VIX futures) share how they view volatility as an investment opportunity, not just a fear gauge in a recent webinar.
Can you truly have an index if some of the most benchmarky names out there don’t want to be included? In the end, can you have a managed futures index without Winton?
So, the more advanced question is: What’s wrong with AQR in relation to its peers? The obvious question there is: “Is it too big?”
Momentum strategies like trend following and managed futures need at least something happening, seeing their best performance with multiple crisis underway and worst when there are none.
The billion dollar question is whether the volatility gets evaporated so quickly die to all the players in this trade, or if there are so many players in this space because the volatility is getting evaporated so quickly.
For now, it looks like investors are trying to cash in on the “hot market.” Just as long they can stomach the volatility that goes along with those kind of markets.
Trying to decipher the assets under management for the Managed Futures industry is enough to give anyone a headache.
Our main issues are: it doesn’t include Managed Futures and the periodic table/quilt doesn’t show the magnitude of the moves all that well
For those that are looking for the top performers of the month, ignoring risk metrics, RCM’s due diligence, and exclusively sort by returns only, these are the Top 10 programs in February.
The short history of volatility trading in the CTA space goes something like this: In the beginning, there were simple option selling strategies that sold out of the money calls or puts once a month until something bad happened.