SI311: BREAKING: New CTA Index being revealed ft. Andrew Beer

Sep 1, 2024

Andrew Beer, an expert on replication strategies, reveals intriguing insights into the trend-following community's challenges amidst August's market volatility. He discusses the complexities of achieving optimal correlation levels in replication and addresses the struggles faced by Commodity Trading Advisors (CTAs). The conversation delves into the due diligence process and explains why managed futures are worth allocating to. Lastly, Beer unveils a groundbreaking new CTA index, shedding light on the evolving landscape of managed futures strategies.

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Intro

00:00 • 4min

Market Trends and CTA Performance in August

03:39 • 5min

Understanding Market Dynamics: A Reflection on August's Volatility

08:19 • 4min

Navigating Managed Futures Challenges

12:34 • 13min

Navigating Investment Replication Challenges

25:14 • 13min

The Paradox of Managed Futures in Hedge Fund Allocations

38:00 • 5min

Navigating Investment Indices: Challenges and Innovations

43:10 • 15min

Industry Growth and Future Trends in CTA Space

58:15 • 3min

As August comes to an end, we discuss this month of extremes for the trend-following community, marked by significant dispersion in performance and unusual price activity across multiple asset classes as well as the economy in general. We address the strengths and limitations of replication strategies and Andrew shares insights into how he thinks about appropriate correlations levels between the benchmark and the replication strategy. We discuss the challenges of the due diligence process in replication strategies including team size, why you should start allocating to managed futures and finally Andrew reveals an exciting world premiere that he and his team has been part of.

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Episode TimeStamps:

00:49 - What has been on our radar recently?

04:17 - Industry performance update

08:07 - Just another August?

12:35 - Q1, Martin: How to reduce drawdowns in the managed futures ETF space?

14:54 - Has replication become obsolete?

25:14 - Andrew's guidelines for correlation

31:56 - Staying in sync

35:47 - How to deal with the simplicity of replication strategies

43:42 - A world premiere!

51:05 - An index madness

53:05 - Beware of the shiny new things

56:02 - How the new index works

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