Despite Commodity Trading Advisors’ reputation as portfolio diversifiers, a decomposition of the most prominent factor exposures in the SG CTA Index suggests that just four factors collectively explain an outsized fraction of the index’s risk. Additionally, average current long exposures to both equities and bonds are elevated, potentially compromising the amount of diversification CTAs truly offer.
CTA Market and Portfolio Diversification – (Two Sigma)
The $15.4 billion Hawaii Employees’ Retirement System, Honolulu, allocated a total of $1.6 billion to seven managers earlier this year for its new crisis risk offset portfolio, including three managed futures managers and three alternative risk capture managers. One manager runs the portfolio’s Treasury-duration capture strategy.
Investors start to prep for market disruptions – (Pensions & Investments)
“The hedge fund industry has been under pressure to offer lower fee alternatives for some time,” said Sol Waksman, founder of BarclayHedge, in the statement. “We expect that these pressures will continue and that low or no fee products will continue to grow.”
BarclayHedge Survey: 36% Of Managers Offer Low- or No-Fee Alternatives To Investors – (FIN Alternatives)
Demand for protection against large moves has jumped to the highest level since June 2016
Hedging Surges With Revival of Market Turmoil – (Bloomberg)
Boston Consulting Group estimates that as of year end 2016 there was close to $70 trillion in assets under management globally (meaning money that paid a fee for the management of assets). Here’s the breakdown showing the growth in worldwide AUM since 2002:
How to Get Rich with Alternative Investments – (A Wealth of Common Sense)
Robots, it turns out, are congregating densely in some places but are hardly found in others. Specifically, the map makes clear that while industrial robots are by no means everywhere, they are clustered heavily in a short list of Midwestern and Southern manufacturing states, especially the upper Midwest.
Where Robots Are – (Brookings)