EU: Amplitude Klassik, Amplitude Sinfonie, CCP Quantitative Fund
US: Black River Commodity Trading, Campbell Global Assets, Crabel, Eclipse Global Monetary Program, QIM Quantitative Global Program, Crabel
These are the name I heard from talking to people: Cantab, Winton, Two Sigma, AHL (Man group), Bluecrest, Aspect. (First three are from a quant fund guy, last three are from a Emerging Market fund lady).Current situation of CTA industry, according to Newedge. .
The industry has produced an annualized compound return of 3.08% over 23 years at a volatility of 9.14%. The industry’s Sharpe ratio has been 0.34%, which is highly respectable, and every possible examina- tion of CTAs’ returns suggests that they are uncorrelated with stock and bond returns, even during times of extreme duress. So what’s not to like?
By the end of 2012, the Newedge CTA Index was down 2.84% for the year, and had fallen 9.27% from its most recent high water mark, which was hit April 2011. So the industry has been under water for 20 months
Cash plays two roles in the managed futures business. One is to serve as collateral that is posted with futures clearing houses and their clearing members to guard them against traders’ losses. The other is to serve as a plug value in the denominator of a return calculation. By themselves, futures con- tracts are not assets. They have no net liquidating value, so any gains and losses on futures cannot be translated into a return. To do this, one has to choose a dollar number to use in the denominator, and it has been the industry’s practice to choose numbers that produce return volatilities that look like the kinds of volatilities investors associate with stocks and bonds.
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