FTC | FUTURES
Futures, the FTC newsletter for systematic trading, was first published in 1997. Since 2007 we also provide an English translation of selected issues.
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07/2011
Richard Davoud Donchian is one of the giants in the history of quantitative finance. In the literature you find him mentioned as "the father of trend following", "the inventor of managed futures", and the man who gave the name to the "Donchian channel" technical indicator. Even so, the facts known about the life and work of the twentieth century's most influential futures trader can be summarised on one page. The result is a jigsaw puzzle, with a lot of gaps. ...more
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06/2009
The need for diversification of risk across different individual investments is unquestionable. Achieving sensible and appropriate diversification is accordingly a basic subject area in asset management. However, after the exceptional events of 2008, a whole range of assumptions previously regarded as standard now have to be reconsidered. ...more
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03/2009
The models which millions of investors have used in the past to construct their portfolios are, it seems, not nearly as robust as they ought to be. 2008 was an exceptional year, and as such clearly proves the point. FUTURES looks at the key paradigms of "traditional" models and explains their limits. Part 1 focuses on the basics and examines the theory that the "buy & hold" investment strategy gives a good rate of return. ...more
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09/2008
Hedge funds are often purchased with the intention of hedging an existing investment portfolio against systematic risk. The financial crisis which first hit in 2007 has given such investors an opportunity to find out whether this strategy really works. It appears that many have been disappointed. ...more
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06/2008
Do Managed Futures constitute an asset class? Or are we merely talking about a non uniform group of indvidual managers who cannot be lumped together? The answer is not only of theoretical interest if there is the possibility of including Managed Futures as part of an investment portfolio. ...more
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03/2008
The right level of diversification based on several assets of different asset classes, as portfolio theory tells us, is the basis for an efficient and successful investment portfolio. But what are "asset classes" and do they also encompass managed futures? ...more
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12/2007
Crude oil prices, against all rationality, are skyrocketing and the phenomenon is being widely attributed to the decline in the oil currency, namely the US dollar. Can such a correlation be explained so easily when it might not even exist in the first place? Futures examines the case of "strong oil versus weak dollar". ...more
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10/2007
Whether you're a borrower, lessee, building society saver or professional investor, virtually all of us are directly affected in some way by fluctuations in interest rates. Generally, however, this is something which attracts much less attention than, say, events on the stock markets. Over the last few weeks, the situation has changed somewhat owing to the US mortgage crisis. As an instrument, interest rates have long been among the most important and most liquid for futures traders. ...more
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07/2007
Have you ever wondered why you can speculate in orange juice futures, but not lemon juice futures? Or why we're always hearing about weather derivatives, yet you've never met anybody who's ever bought them? In our Futures summer special, we'll be answering these and other infrequently asked questions. ...more
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05/2007
Investments which reflect increases in the price of energy, gold and other commodities are currently as fashionable among investors as powerful all-wheel-drive SUVs in big, cash-rich cities. Does the cost-benefit calculation for commodity investments at least add up? ...more
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04/2007
Professional short sellers are constantly causing a stir and prompting controversial discussion. And they occasionally step into the political and judicial limelight as well. We take a look behind the scenes of the small but highly elite bear market investment scene. ...more
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12/2006
How much of a risk do you consider an investment in oil stocks? And how would you compare that with, say, an investment in bank stocks? Financial statisticians will answer questions like these at great length, explaining, for example, that the risk-return ratios have to be compared in order to determine which of the two alternatives is the better option. In part 2 of our series on financial statistics, we highlight the three most popular "ratios" and the risks involved in their day-to-day application. ...more
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FTC|update and other FTC Publications
Facts for Professionals
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10/2011
Prof. Bernd Scherer, FTC's CIO, spoke at the Annual Investment Seminar of the London Quant Group (11 September to 14 September 2011, Oxford). ...more
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08/2011
When it comes to system development, one needs to be as quick as possible just to remain on about the same level. That's what William Eckhardt, one of the most renowned systematic traders in the early managed futures era, predicted at the beginning of the 1990s. Not because of the rapid changes of the markets but the increased competition in the systematic trader niche. ...more
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01/2010
The main feature of December was a strong correction in the foreign exchange markets, which ultimately also contributed to the biggest loss to date for a single calendar year in our diversified futures funds. In light of this, and also because I feel it is more suitable at the end of the year, I will review the results for 2009 in detail. ...more
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09/2009
As promised, FTC's trend-following fund-of-funds strategy has survived the crisis months on the world markets since 2008 much better in comparison with conventional equity funds. Since February 2009, FTC has been applying an additional long-short overlay in Gideon I. ...more
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10/2008
The financial crisis has railroaded virtually all of the key markets this summer, causing extreme anxiety on the stock exchanges. It isn‘t just the traditional investment instruments that have been hit, but many hedge funds as well. FTC‘s managed futures funds, however, have managed to come through unscathed. Eduard Pomeranz, CEO of FTC Capital, explains why. ...more
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