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Tag Archives: Sortino Ratio

JLN Managed Futures: It’s Time To Let 401(k) Holders Invest Like the Pros; Macro and Managed Futures Strategies Lose Appeal; NFA floats new rules for futures firms Managed Futures,Newsletter

Observations / Statistics / Commentary Let’s not beat around the bush here – the managed futures sector is coming off its worst 3-year run in perhaps forever. If performance were not bad enough, heightened regulatory scrutiny is on the way. This in response to some (dubious?) research about fees, but also in response to another industry failure, this time at AlphaMetrix. While trend followers are seeing opportunities of late, and the one-way train in the equity market has backed off recently, new regulations could seriously alter the capital structure in the CTA space. Quote of the Day: “Too often, investment…

Thomas Rollinger of Red Rock Capital Explains the Trouble with Trend Following and Why He Likes Sortino Ratios Interview,Managed Futures,Tech / HFT,Video

Tom Rollinger

Thomas Rollinger has a unique perspective on the markets. As the managing partner and chief investment officer of Red Rock Capital, Rollinger joined the managed futures firm in March after being a long-time customer of the firm. But Rollinger also has an interesting background, as a student and colleague of Edward O. Thorp, who is also known as the “godfather of quants.” Rollinger co-developed and co-managed the systematic futures strategy which Thorp called “System X,” which was featured in Scott Patterson’s “The Quants” and well as in Jack Schwager’s book “Hedge Fund Market Wizards.” Rollinger now works alongside Red Rock’s…