Our weekly newsletter is up and this time we’re talking about some of the smartest people in the industry: the folks at Sunrise Capital. They have long been leaders in the space, with a fierce and admirable dedication to systematic trading and the vigorous research it requires. We’ve got a thing for strong argumentation and debate, and if you’ve ever heard their advocates speak at a conference or event, you know they make a strong case for the systematic approach.

But it’s their most recent work that has our office talking. Revisiting Kat’s Managed Futures and Hedge Funds: A Match Made in Heaven, penned by Sunrise’s Director of New Strategies Development Thomas Rollinger, updates the 2001 work of Professor Harry M. Kat of the Cass Business School – one of the more thorough explanations of the benefits of managed futures in a traditional portfolio allocation. But it also goes beyond Kat’s initial work, providing an in-depth look at how kurtosis and skew can be altered in such a way that make the risk profile of the overall investment portfolio far more attractive.

So, this week, our newsletter will take a look at both Kat’s previous work and the new Sunrise paper, explaining the differences and the major takeaways from the research, explaining how this can apply to your own investment strategy. In a time of heightened economic uncertainty, it’s only fitting to emphasize how, exactly, managed futures is what you truly need in your portfolio. Read on to see what we mean.

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To read more Managed Futures research pieces, visit Attain’s Managed Futures Newsletter archive and our Managed Futures Blog.

DISCLAIMER

Forex trading, commodity trading, managed futures, and other alternative investments are complex and carry a risk of substantial losses. As such, they are not suitable for all investors.

The entries on this blog are intended to further subscribers understanding, education, and – at times- enjoyment of the world of alternative investments through managed futures, trading systems, and managed forex. Unless distinctly noted otherwise, the data and graphs included herein are intended to be mere examples and exhibits of the topic discussed, are for educational and illustrative purposes only, and do not represent trading in actual accounts.

The mention of asset class performance is based on the noted source index (i.e. Newedge CTA Index, S&P 500 Index, etc.) , and investors should take care to understand that any index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices: such as survivorship and self reporting biases, and instant history.

Managed Futures Disclaimer:

Past Performance is Not Necessarily Indicative of Future Results. The regulations of the CFTC require that prospective clients of a managed futures program (CTA) receive a disclosure document when they are solicited to enter into an agreement whereby the CTA will direct or guide the client’s commodity interest trading and that certain risk factors be highlighted. The disclosure document contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA.

Copyright © 2011 Attain Capital Management, licensed Managed Futures, Trading System & Commodity Brokers. All Rights Reserved. Reprinted with permission.

This entry was posted on Tuesday, October 2nd, 2012 at 12:43 pm and is filed under Managed Futures, Research. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.