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Managed Futures

  • CTA Name : First Quadrant
  • Program Name : Managed Futures
  • Start Date : 1991-02-01
  • Trading Strategy
  • Systematic : -
  • Discretionary : 2%
  • Fundamental : Yes
  • Technical : -
  • Diversified Market Strategy : -
  • Sector Specific Strategy : -
  • Trade Duration
  • Long-Term : -
  • Mid-Term : -
  • Short-Term : -
  • Multi-Term : -
  • Markets Traded
  • Stock Index : Yes
  • Interest Rates : Yes
  • Currencies : Yes
  • Metals : -
  • Energy : -
  • Grains : -
  • Meats : -
  • Softs : -

First Quadrant

Managed Futures

There is no performance data for this program

Program Description: Tactical asset allocation is a multi-disciplinary quantitative method that shifts the portfolio as changing market conditions vary the return spreads, risks, and correlations among asset classes held in the portfolio. The strategy favors markets that are least popular, and therefore most attractively priced, while avoiding markets when they are fashionable and therefore expensive. TAA does not make these judgments by making forecasts of future asset prices. They value markets on the basis of known measures, such as the yield on cash, the yield-to-maturity of long-term bonds, and equity earnings yields. They adapt all of their TAA programs to the specific needs of their clients. They begin with a normal asset mix that is held when markets are in equilibrium; this mix also serves as their benchmark. They then deviate from that normal mix as opportunities develop. The normal mix can vary from 100% in equities to less aggressive combinations of asset classes, depending upon the client's return requirements and risk tolerance.

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