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Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 9

CHAPTER 9 Measuring the Long Volatility Strategies of Managed Futures. Certain hedge fund strategies create investment positions that resemble a long put option. Specifically, managed futures or commodity trading advisors have significant exposure to volatility events. | 9 Measuring the Long Volatility Strategies of Managed Futures Mark Anson and Ho Ho Certain hedge fund strategies create investment positions that resemble a long put option. Specifically managed futures or commodity trading advisors have significant exposure to volatility events. This exposure is positively related to volatility much like a long option position. We identify and measure this long volatility exposure which may not always be transparent from the trading positions of a commodity trading advisor. We also examine ways to apply these long volatility strategies to improve risk management. INTRODUCTION The managed futures industry has come full circle in its application over the last 15 years. In the early 1990s global macro funds were the predominant form of the hedge fund industry. These funds were primarily managed futures funds run by commodity trading advisors CTAs . As the 1990s progressed other types of hedge fund strategies came to the forefront such as relative value arbitrage event driven merger arbitrage and equity long short. As these strategies grew managed futures became a smaller part of the hedge fund industry. Now however managed futures have achieved a renewed interest because of their risk reducing properties relative to other hedge fund strategies. Specifically most CTA strategies employ some form of trend-following strategy. These trend-following strategies pursue both up- and down-market movements in futures markets. These strategies also may be called momentum strategies because they follow the momentum of the market and then liquidate their positions or reverse them when they detect that the momentum is changing or about to change. 183 184 RISK AND MANAGED FUTURES INVESTING Whether we call managed futures trend-following or momentum strategies they have one important characteristic They capitalize on the volatility in the futures market. Trend-following strategies tend to be long-volatility strategies that is they profit during .