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Top Traders Unplugged

SI305: Building A Hedge Fund Allocation ft. Alan Dunne

Jul 19, 2024
Hedge fund expert Alan Dunne discusses the U.S. election's impact on the economy and markets, advice for starting a trend following fund, and the increasing performance fees in the CTA space. They delve into building a robust hedge fund portfolio, dual mandates of managed futures strategies, and the use of 'delay' by trend managers to smooth returns.
01:02:33

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Podcast summary created with Snipd AI

Quick takeaways

  • Managed futures show low correlation to equities, offering loss mitigation and diversification benefits.
  • Hedge fund portfolio construction emphasizes diversifying strategies, optimal manager allocation, and recognizing risk-mitigating potential.

Deep dives

Hedge Fund Attributes and Return Characteristics

Analyzing over a 13-year period of about 1,000 hedge funds, the paper examines correlation to equities, resilience in market drawdowns, and alpha generation. Managed futures show low correlation to equities, particularly loss mitigation, equity diversification, and equity substitute strategies. Commodity managers also play a role in loss mitigation.

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