Comments on: Managed Futures

By: Managed Futures

Managed Futures — Sat, 08 May 2010 00:10:32 +0000

I'm interested in your thoughts about CTAs. Hopefully I can read some posts from you about this subject soon. Not many people write on managed futures and how to find CTAs, so fingers crossed that you can provide info!

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By: Preet

Preet — Fri, 16 Oct 2009 02:31:42 +0000

@Jordan – will do. Will provide the data next week. There is indeed beta and SD, there is also sharpe, correlations and other data which I can provide too. Stay tuned.

@Xenko – ditto. Will start with the basics.

@Brian – correlation (to my knowledge which is pretty much forgotten when it comes to stats) tells you direction, but not amplification. Perfect negative correlation is actually good – as long as you re-balance, both have positive long term return expectation. Even without rebalancing, overall volatility is dampened.

By: Bernie

Bernie — Fri, 16 Oct 2009 01:05:09 +0000

Are there any ETF’s or funds that track the Altegris 40 Index?

By: Brian

Brian — Thu, 15 Oct 2009 13:56:18 +0000

I’ve always wondered how negative correlation works.
Basic math tells me that perfect negative correlation (-1) would be self defeating, for example if you had an S&P 500 fund with an inverse S&P 500 fund. But finding an asset class with a correlation between 0 and -1 would be the key.

By: Xenko

Xenko — Thu, 15 Oct 2009 13:25:49 +0000

“How about a “Futures 101″ primer?”

I agree. I have no clue what you are talking about… but I’d be interested to learn.

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By: Jordan

Jordan — Thu, 15 Oct 2009 01:37:13 +0000

Very interesting, I’d definitely like to read more about this asset class since I know nothing about it. How about a “Futures 101″ primer?

What is the long term expected return of the Altegris 40 managed futures?

Is there data like beta & standard deviation?

Where do you even look up past performance? Is it owned through an ETF?