CME Group Podcast

As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. We offer the widest range of global benchmark products across all major asset classes, helping businesses everywhere mitigate the myriad risks they face in today's uncertain global economy. The information provided in our podcast is for educational purposes. To view our regulatory disclaimers relating to this podcast, please visit cmegroup.com.

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Episodes

Peter Willett: An Investment Consultant’s View on Managed Futures

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

Oct 11, 2013•8 min

Paul Young: A Systematic Philosophy with a Statistical Edge

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

Oct 11, 2013•24 min

Robert Kosowski: Capacity Constraints on CTA Managers

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

Oct 10, 2013•21 min

Alex Greyesrman: Research on Managed Futures Strategies and Benchmarking

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.

Oct 03, 2013•36 min

Chris Rapcewicz: Managing Expectations & Limitations in Risk Measurement

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

Jul 11, 2013•19 min

Kathryn Kaminski: The Source of Crisis Alpha

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 T...

Jun 21, 2013•11 min

Kevin Cole: CTA Performance in a Rising Interest Rate Environment

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. K...

Jun 20, 2013•14 min

Tom O'Donnell III: A Former Institutional Investor’s Perspective on Managed Futures

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

Jun 18, 2013•13 min

Mikael Stenbom: An International Perspective on Managed Futures & Performance in Relation to AUM

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

Jun 18, 2013•19 min

Ranjan Bhaduri: Statistical Properties of CTAs

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

Jun 18, 2013•14 min

Ernest Jaffarian: Insights from an Industry Veteran

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 Man...

Jun 17, 2013•19 min

Ranjan Bhaduri: The Value of Liquidity at the Fund Manager Level

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

Jun 06, 2013•12 min

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