CME Group Podcast

Kapil Rostagi, Managing Partner at PlusPlus Capital Management, provides insights into short-term systematic trading including key attributes, biggest misconceptions & challenges, benefits of having short-term traders in a portfolio, diversification that short-term traders add, and why we haven't seen more short-term traders in the CTA universe.

The Managed futures/CTA allocation journey continues for Teachers' Retirement System of the State of Illinois. Now that TRS of Illinois has been allocating to managed futures for several months, Brennan Basnicki (Investment Officer) provides an update on how the team and board feel about their allocation decision last year, the performance they’ve seen thus far, and outlook for the future.

Sol Waksman, Founder & President, BarclayHedge provides an overview of the Managed Futures Pinnacle Awards and the process BarclayHedge uses to select managers within their database for nomination – leveraging an approach based on institutional investor feedback.

Pimco was one of the pioneers in the strategy known as Portable Alpha.  Since they have been executing the strategy for decades, first with Treasury Bonds and then with other products like equities, we thought it might be beneficial to revisit the strategy that has garnered so much attention (and assets) over the years.  This podcast reviews the basics of portable alpha and explores the prerequisites necessary for successfully implementing a portable alpha strategy. And who better to discuss the strategy than with the individual that is responsible for a large amount of assets deployed in the strategy—PIMCO’s Sabrina Callin.

Brennan Basnicki, CFA, CMT Senior Analyst - Absolute Return with the Teachers Retirement System of the State of Illinois, takes the listener through the step by step process they used when deciding to allocate to managed futures through CTAs.  This podcast includes dealing with the board, the educational element and due dilignence matters.

Cliff Asness, Managing Principal and CIO at AQR Capital Management, joins the CME Group hedge fund podcast series with his heartfelt commentary on the past, present and future of managed futures and the unique 40 Act Fund. Hear firsthand from Cliff the keys to success and longevity in this space.

Vineer Bhansali, Managing Director and Portfolio Manager PIMCO’s Quantitative Investment Group, discusses two fundamental principles of investing: : (1) Don’t fight the trend, (2) Don’t pay too much to hold an investment. In this podcast we exam carry and trend to determine if they can produce good returns.

Ranjan Bhaduri, PhD, CFA, CAIA, Chief Research Officer, Sigma Analysis and Management, talks about the mathematics of liquidity, model risk, and the subtlety of liquidity’s value in constructing a portfolio of hedge funds.

Ranjan Bhaduri, PhD, CFA, CAIA, Chief Research Officer, Sigma Analysis and Management, discusses the evolution of the managed futures industry into a rich mix of styles and strategies, diversified across time frames and asset classes.

Ranjan Bhaduri, PhD, CFA, CAIA, Chief Research Officer, Sigma Analysis and Management, discusses structuring access to hedge fund investments, and structural due diligence as an important complement to traditional investment and operational due diligence.

Todd J.Gross, CIO of QERI LLC -- Quantitative Energy and Research Investments -- discusses global energy markets and the application of meteorology to natural gas trading.

Anthony Kaiser - Kaiser Trading Group, talks about research, building models, market conditions, and looking forward.

Ela Karahasanoglu, Senior Pension Consultant & Alternative Asset Class Specialist at Mercer, discusses common features and  differences between macro and managed futures strategies.

Ela Karahasanoglu, Senior Pension Consultant & Alternative Asset Class Specialist at Mercer, highlights ways of diversifying and hedging tail risk.

Jeffrey Eizenberg discusses the wide range of trading approaches employed in the industry.

Ranjan Bhaduri, Sigma Analysis and Management, offers a structural approach to accessing hedge funds and adding incremental alpha.

Pioneering work in index construction and the performance challenges of recent years:  An industry veteran reflects on the industry and its history.

Kathryn Kaminski (Ph.D.), a researcher and author, with the Institute for Financial Research in Stockholm and affiliated faculty at the Stockholm School of Economics answers questions about the managed futures space in a series of short conversations.

Kathryn Kaminski (Ph.D.), a researcher and author, with the Institute for Financial Research in Stockholm and affiliated faculty at the Stockholm School of Economics answers questions about the managed futures space in a series of short conversations.

Kathryn Kaminski (Ph.D.), a researcher and author, with the Institute for Financial Research in Stockholm and affiliated faculty at the Stockholm School of Economics answers questions about the managed futures space in a series of short conversations.

Robert Kosowski (Ph.D.) a researcher in finance and risk management at Imperial College, London, discusses the relationship between hedge fund size and performance.

Antoine Haddad, Bainbridge Partners, discusses the evolution of asset allocation and enhanced diversification opportunities in cross-asset class risk premia.

Kathryn Kaminski (Ph.D.), a researcher and author, with the Institute for Financial Research in Stockholm and affiliated faculty at the Stockholm School of Economics answers questions about the managed futures space in a series of short conversations.

Chris holds multiple World Records for endurance events, including his most recent accomplishment of running for 77 miles in 12 hours on a treadmill.

Chris Solarz, Managing Director at Cliffwater LLC, offers an institutional investor perspective on the performance of CTAs, discusses tail risk, and provides some insight into the current interest rate environment.

The heads of risk at a major foundation and at the largest derivatives exchange in the world discuss the risk ecosystem and risk management at multiple levels. Chris Rapcewicz, Ph.D., Head of Risk and Operations, Helmsley Charitable Trust, and Sasha Rozenberg, Ph.D., Head of Risk Management, CME Group, moderated by Samantha Azzarello, CME Group

Audio recording of our live webcast hosted on January 9, 2014. Grain analysts discuss their expectations for the January 10 USDA Grain Stocks & Crop Production Reports from the CBOT trading floor.  The panel includes: • Dr. Bill Tierney, AgResource Company • Terry Roggensack, The Hightower Report  • Greg Wagner, GWX Ag Advisors

Tim Pickering of Auspice Capital discusses the CTA Value Added Index and makes a case that it is evident, historically, not only in times of financial crisis.

Ryan Abrams, Assistant Portfolio Manager at the Wisconsin Alumni Research Foundation (WARF) provides a framework for manager performance and what exactly hedge fund managers provide.

Brian, Managing Director of Alternative Investment Solutions, and Galen, Director of Research, from Newedge discuss findings in their new book titled Managed Futures for Institutional Investors.

Peter Willett from Mercer Investment Consulting discusses the firm’s experience in educating institutional investors and reasons for the recent difficult environment.

Paul Young, Research Manager with Altis Partners, discusses their 100% systematic approach  and how it provides a statistical edge.

Professor Rob Kosowski from the Imperial College London discusses his research on capacity constraints in futures and the role of correlation and volatility.

Alex Greyersman, Chief Scientist at ISAM, discusses the findings in two of his research papers, The State of Trend Following and The Multi Sentinel View of Trend Following.

Chris Rapcewicz, head of Risk and Operations at Helmsley Charitable Trust, talks about managing risk and expectations.

Kathryn Kaminski discusses the main conclusions reached in her popular research paper, In Search of Crisis Alpha: A Short Guide to Investing in Managed Futures. She explains the source of this particularly valuable type of alpha and its origins in specific environments where any kind of alpha is hard to extract from markets. This understanding sheds light on why the value of these strategies is sustainable over the long-term. Kathryn Kaminski, Assistant Professor at Swedish Royal Institute of Technology and Senior Lecturer at MIT

There is a common perception that managed futures and trend-following in particular has profited from steadily declining interest rates. Kevin Cole explains that while declining rates benefit trend-following strategies in different ways, there is no statistically significant difference in these strategies' performance between rising and falling rate environments. He discusses the empirical evidence for not being fearful of a change in the interest rate regime as it pertains to CTA performance. Kevin Cole, Director of Investment Strategies at Campbell & Company

As CEO of a Swedish firm that specializes in allocating to CTAs and the liquid macro space, Mikael Stenbom offers his perspective on the differences in trading styles and programs offered between European and North American managers and why growth has lagged in European countries. He also explains RPM's research findings on performance as it relates to size and age of trading programs. Mikael Stenbom, Chief Executive Officer at RPM

There are many misconceptions about managed futures strategies and CTAs. Ranjan Bhaduri discusses some of the statistical properties of CTAs and the long-term benefits these strategies can bring to a portfolio. He also provides opinions on recent difficulties within the space and how the environment may shift going forward. Ranjan Bhaduri, PhD, CFA, CAIA

Building on the foundation of his recent webinar for CME Groups Managed Futures Resource Center, Tom O'Donnell expands on the value of managed futures strategies to investors.  Tom discusses the factors that distinguish CTAs from other investments and why allocations to this space have increased over the decades, even during the last several challenging years for CTAs. Tom O'Donnell, Principle Director of Global Business Development at the Bornhoft Group

Ernest Jaffarian has a vast experience educating investors about the portfolio properties of managed futures strategies.  In this interview, he shares key findings from many years in the futures and managed futures industry.  He explains why managed futures strategies are particularly valuable long-term additions to portfolios.  Topics include types of risk, risk management, the trading environment post 2008, and insights into the future. Ernest Jaffarian, President and CEO of Efficient Capital Management

Many investors underestimate the value of liquidity at the hedge fund level and therefore make potentially costly errors by comparing CTA average annual returns with those of much less liquid hedge fund strategies.  Ranjan Bhaduri explains the mathematics behind liquidity as it applies to hedge funds. Ranjan Bhaduri, PhD, CFA, CAIA