Note Are markets becoming more unstable?
Readers of financial news may believe that ‘market corrections’, or ‘shocks’, or ‘five-sigma events’ are more common than they used to be. Winton Capital Management look at the historical data for a number of financial markets and find that there is no evidence for increasing (...)
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Interview Alain Albizzati: "It is necessary to bring more transparency to the process of quantitative fund management"
According to Alain Albizzati, Head of Alternative Investments and Structured Products at Lazard Frères Gestion, private investors and institutional investors do not have the means to perform very advanced "due diligence,", and focus on local and recognized management (...)
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Pedagogy Performance fee impact
These fees are far from being insignificant for investor returns. According to Duncan Wilkinson, CEO of Alpha Simplex, more and more hedge fund managers, especially in the United States, have decided to offer products without any performance fees; a trend that should (...)
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Innovation GAM launches GAM Systematic Global Equity Market Neutral
The GAM Systematic Global Equity Market Neutral fund uses systematic strategies and proprietary trading systems to invest in global single-name equities. Designed to deliver returns uncorrelated with a long-only equity (...)
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Opinion Brexit illustrates the diversification benefits of trend-following strategies
During the Brexit, the average CTA did very well: the SG Trend Index, a performance indicator for trend-following strategies, jumped 2.9% on 24 June. Trend-following strategies outperformed both equities, with the MSCI World Index dropping 4.9%, and hedge funds in general, (...)
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Opinion Has the selloff left scars on stock pickers and trend-followers?
Hedge funds strongly recovered from the selloff, with only two exceptions: i) the fixed income funds, flat this week, still isolated from the epicenter, and ii) neutral equity funds, still suffering from sector and factor rotations. This week, we checked if the selloff (...)
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Interview Arnaud Chrétien and Serge Darolles : «The objective of QuantValley is to become the calling card for French Quantitive management»
Challenges, positioning and quantative management outlook in France. Arnaud Chrétien and Serge Darolles, respectively Chairman and deputy chairman of QuantValley, answer our questions and introduce us to their project aimed at promoting Paris’ image as a city of (...)
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Innovation Solactive launches European Quality Market Neutral Index
Solactive is announcing the launch of the Solactive European Quality Market Neutral Index licensed to Natixis. The index is to be used as an underlying for structured products issued by Natixis.
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Note Hedge funds: The CTAs drift
Since mid-2011, CTAs cumulative loss is between -10.6% (HFRI macro systematic index) and -16.8% (Credit Suisse Managed Futures Index). For the first quarter of this year, CTAs show a drawdown of about 3% which is expected to increase in April (-0.66% for HFRX CTA index) (...)
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Strategy Does a liquidity factor premium exist in the stock market?
Academic studies present ample evidence in support of the existence of four factor premiums in stock markets: Low Risk, Value, Momentum, and Quality. Factor investing puts these concepts into practice by enabling investors to allocate their capital explicitly to these (...)
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Strategy A Rising Tide Lifts Most Boats
The broad-based market upswing in the first half of July has benefitted risk assets globally. That follows the release of better than expected economic data in the US and China, suggesting that fears over the strength of the global recovery have been (...)
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Interview Nicolas Duban & Jérôme Coirier : « This year, among the 70 reviewed projects, a significant number is related to quantitative asset management companies »
According to Nicolas Duban and Jérôme Coirier, Chairman and CEO of NEXT-AM, subsidiary of La Française AM, managing minority interests of the Group, associated with investment partners, some projects could be in the pipeline, in the near (...)
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Strategy Managed futures strategies
This type of strategy is based on a simple idea: try to take advantage of an exposure on futures contracts («Futures») with the underlying being a financial instruments or a commodity ...
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Interview Donald A. Steinbrugge : « A new CTA fund must have a strong differential advantage to have any chance of competing in the institutional market place. »
Donald A. Steinbrugge, managing partner at Agecroft Partners – US third party marketing firm specialized in hedge funds - gave us information regarding demand from institutional investors for CTAs
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News CTAs robust in moderately challenging environment
The first quarter of 2016 has seen the conjuncture of a significant rise in the Epsilon Correlation Index with a drop of the Epsilon Trend Index, confirming a moderately challenging environment for trend following strategies over the last 12 months. Those CTAs with the right (...)
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