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S P E C I A L R E P O R T
MANAGED FUTURES 2016
OPPORTUNITYWhere to find diversification
CYBER-SECURITY Mounting pressure to stay secure
TECHNOLOGY
Keeping pace with major developments
T he importance of innovative data and technology solutions
is crucial to operating a successful CTA today.
The task is becoming ever more challenging in a com-
petitive marketplace where firms must contend with rising
compliance demands and emerging cost pressures.
There has also been a growing focus on transparency
over the last few years which has become a key factor in passing an asset
allocator’s due diligence.
Cyber-security remains key to both investors and regulators and the ability
to manage a robust, yet versatile, infrastructure that will pass scrutiny as well as
remaining secure should not be overlooked. Additionally, the implementation
of high-level security measures and disaster recovery plans are of the utmost
importance.
In an evolving industry, new opportunities continue to present themselves.
The ability to further diversify and find additional sources of alpha through
new regions and trading instruments remains a goal for many.
Both can be discovered through the LME and its increasing participation from
mainland China.
This inaugural CTA Intelligence Managed Futures Report features a
number of leaders in the managed futures space, each contributing an
invaluable insight into the industry.
CEOs, company presidents and directors discuss the headaches faced by the
industry and propose a range of solutions.
Tom Simpson, report editor
ADAPTING TO THE NEW AGE
INSIDE
04 Quantitative Brokers: behind the benchmark Christian Hauff, CEO and co-founder
of Quantitative Brokers, discusses
the evolution of algorithmic trading
and futures market structure
07 A solid investment Paul MacGregor of the London Metal
Exchange highlights the opportunities
available for CTAs on the LME
10 The gentrification of the Far West Capital Trading Group founding partner
Nell Sloane on changing times for CTAs
13 DIY Execution Analysis Stuart Farr of Deltix discusses the
merits of firms maintaining their own
historical market data archive and using
this to improve trading performance
through advanced execution analysis
16 Investor Monogamy: It’s not you, it’s me... Andrew Gebhardt of Finex examines
the concentration of risk
19 Beyond the trade John Hynes and James Goldcamp
of HedgeFacts examine operations
and information technology
infrastructure, two areas of domain
expertise where HedgeFacts has
years of hands on experience while
working with CTAs of all sizes
London Pageant Media
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EDITORIAL Report editor Tom Simpson
T: +44 (0) 20 7832 6535 [email protected]
Head of content
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Paul McMillan +1 646 891 2118
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Chief executive Charlie Kerr
ISSN 2052-4927 © 2016
Printed by The Manson Group.
All rights reserved. No part of this publication may be
reproduced without written permission of the
publishers. No statement in this magazine is to be
construed as an invitation to invest in hedge funds.
There has also been a growing focus on transparency over the last few years which has become a key factor in passing an asset allocator’s due diligence”
CONTENTS 03
MANAGED FUTURES 2016
Quantitative Brokers: behind the benchmark
Christian Hauff, CEO and co-founder of Quantitative Brokers, discusses the evolution of algorithmic trading, futures market structure and
provides a look at the debut of the firm’s new ‘Closer’ algorithm
MANAGED FUTURES 201604
MANAGED FUTURES 2016
CTA Intelligence (CTA): What were the determining factors in you co-founding Quantitative Brokers?Christian Hauff (CH): Robert Almgren and
I were co-workers at the time and we were
repeatedly talking to quants about best execu-
tion in equity and equity derivatives products.
Although, these conversations quite often high-
lighted that no one was coming in to talk about
these same fi ntech solutions in non-equities,
specifi cally fi xed income.
Having heard and seen this market opening
multiple times, we endeavoured to try to do it
internally with our employer at the time. Given
the credit crisis and the challenges posed at that
moment in time, it turned into an opportunity
for us to do it independently.
CTA: Algos have taken off in futures and options on futures, where QB has done very well. Why are algos so important in the interest rate/treasury futures markets and what differences do you encounter when looking to introduce algos to the cash market?CH: Th e market structure is diff erent. Futures are
monopolistic, as they’re listed on one exchange,
which has superior technology, lower latency and
is generally more highly evolved. Th e cash treas-
ury landscape, which is becoming increasingly
electronic and fragmented, lends itself to the
need for smart order routing, for example.
In cash treasuries, market centres aren’t nec-
essarily exchanges. Th ey can often be streams or
they can be semi-lit pools, which are still low
latency, but don’t provide 100% transparency.
Th ere are streaming quotes, but you don’t have
time in sales or a transaction quote stream that
you would be familiar with on futures.
CTA: QB is about to launch a new algorithm, Closer. Can you tell us more about it?CH: Best execution is about understanding both
the trader and the broker, as well as the bench-
mark you’re trying to achieve. While we’ve been
servicing and educating the futures market on
the value of our engineering to meet the arrival
price benchmark through our Bolt algorithm, or
VWAP through our Strobe algorithm, we’ve also
learned from the money managers with whom
we are increasingly working, that they have a lot
of execution benchmarked to the settlement price.
Taking a deeper look at that benchmark, we’ve
identifi ed a unique methodology is needed to
achieve better execution going into and around
the calculation time of the settlement price.
Th us, we’ve done a lot of work around volume
analysis at very small, granular time intervals –
minute and sub-minute – and also volatility and
price reversion during and after the fi nishing of
the exchange calculated settlement price.
We are very excited for Closer, as it is truly
one of the fi rst of its kind, and has been engi-
neered with an advanced level of precision not
available elsewhere.
CTA: As an independent algo provider, QB has a good perspective in terms of the development of algos more gener-ally. How do you see the use of algos in the marketplace developing?CH: We’re very fortunate that we can talk to
a lot of parties, across which we’ve seen very
healthy continued adoption.
Generally, Algo adoption falls into one or two
categories. Th ere are the new adopters using
algos for the fi rst time. Others are existing users
who are expanding into more products and
instruments, including investment strategies,
which may entail multi-leg functions, relative
value executions, and application of algorithms
to improve rolls on the calendar spread.
We think there are a couple of drivers that
will continue to facilitate this trend. Regulation
is often endorsing transparency with a focus on
best execution over other potential evaluations.
Delivering transactional cost analysis (TCA),
QB is able to provide greater transparency to
not just the trader, but also to the compliance
division, other managers and PMs who are keen
to understand their quality execution.
We also see an abundance of new industry
participants coming through the ranks with a
greater appetite for electronic trading. Th ey are
actively seeking tools they know are much more
sophisticated than more traditional means of
execution from a decade or two ago.
CTA: Do you see any major shifts in the way algos are constructed and will be used in the future?CH: Algos are only going to continue to get
more intelligent. We think that predictive ana-
lytics and the ability for those that are engineer-
ing agency algorithms to have better precision
around market participation will play a huge
role to deliver passive deployment, more stra-
tegic working of the order book and aggressive
liquidity-taking behaviours.
Embedding signals into the algorithms will
also help them become smarter and perform
more intuitive actions in the marketplace,
ultimately leading to reduced execution costs,
lower slippage and certainly less information
leakage. Even the ability to solve the complex
execution problems of multi-asset execution,
multi-leg structures and user-defi ned structures
will become a reality in short order.
CTA Do you think that the fact we’re at a historical low in interest rates is a sig-nifi cant driver in the growth of algos?CH: When we started QB, it was certainly in the
low-for-long environment and people were look-
ing for better ways to reduce their slippage, which
quickly ate into any absolute gains given low vola-
tility in parts of the curve. Th at being said, I think
that irrespective of it being low-vol or high-vol, the
market as a whole is becoming more conscious to
the fact that better execution tools and the ability
to measure execution quality is a necessity.
Th ere is also a growing realisation that these
tools are adaptive. Th ey can do best execution
in low volatility windows and then, even on high
volatility days or intervals within the day, these
same algorithms can respond accordingly to
capture alpha and close out trades with the best
liquidity opportunities that are presented.
CTA: Looking to the future, what can we expect from QB over the next year or two?CH: You should expect to see us continue
to expand with some short-term initiatives,
including movement into cash treasury markets
and more futures markets - particularly those in
Asia and, with that, 24-hour trading. We would
also look over the long-term at continued evo-
lution into the options on futures marketplace,
as well as potentially that of the interest rate
swaps market, depending on how that market
structure continues to evolve.
To find out more about QB’s execution
algorithms, please visit us at www.quantita-
tivebrokers.com
Best execution is about understanding both the trader and the broker, as well as the benchmark that you’re trying to achieve”Christian Hauff, Quantitative Brokers
Quantitative Brokers is a global, fully-in-dependent, FCM-neutral, dealer-neutral, NFA and Finra-registered, broker-dealer and a world leading provider of agency algorithms in futures and US Cash Treasury
markets. QB creates a dynamic, collaborative environment that breeds financial and technological innovation.
MANAGED FUTURES 2016 05
MANAGED FUTURES 2016
AdministrationTrade AllocationsDaily Account Reconciliation Equity & Margin UpdatingReal-Time Position UpdatingCustomizable Report Formats
CTA Online Portal ©Total CTA & Individual Acct PositionsTotal CTA & Individual Acct Margin/ EquityAccount Performance – Daily, MTD, YTDAccount P&LInternet Connection Compatible
Capital Trading Group ("CTG") is an investment firm specializing in execution and account management for today's leading Commodity Trading Advisors. CTG's operations coordinate all aspects of a professionally managed fund or trading program.
At CTG, our personalized services include:
BrokerageElectronic Trading PlatformsDirect Pit Execution Access
New AccountsOversee all new account formsExceptional Customer Service to clientsRating Site Updates
Our Customized Position Reports can be configured to the CTAs preference… And in Real-Time!
To find out more about what CTG can do to assist your CTA program, as well as customized pricing options, please contact Patrick Lafferty or Nell Sloane directly:
Capital Trading Group tel 800.554.6290 [email protected] www.CTGtrading.com
Our professional services are designed to make every aspect of your CTA business as efficient as possible. Our operations will be configured to help make your life easier so you can focus on what you do best: Trade.
CTG Advisor Services
A solid investment
CTA Intelligence (CTA): How signif-icant is electronic trading for CTAs and what have been the most pivotal changes since its introduction?Paul MacGregor (PM): Electronic trading
on the LME’s trading platform, LMEselect,
is crucial for CTAs. Historically, CTAs have
not been aware of the benefits of trading on
LMEselect because the LME didn’t promote
its electronic trading platform when it was a
member-owned institution. In 2012, the LME
was purchased by Hong Kong Exchanges and
Clearing (HKEX), which, among other devel-
opments, emphasised the need to modernise
the LME’s systems.
What followed was a period of heavy
investment, with the aim of turning the LME
into a symbol of innovation with technologi-
cal advancement at its epicentre. Now, we at
the LME are promoting electronic trading.
Additionally, most CTAs have an investment
mandate that they cannot invest in OTC or
non-electronic markets. So it is critical that
the LME provides a fully functioning trading
platform to attract these types of flows. In
the past year and a half, we have been actively
promoting to the CTA community the bene-
fits of adding base metals to their portfolios.
CTA: Is electronic trading the future?PM: The LME has a very liquid and efficient
telephone market, which meets and contin-
ues to serve the needs of industrial users. It
offers the ability to hedge to an exact date
– the LME has a system that allows trading
every day out to three months, every week
out to six months and every month out to
10 years.
However, it is unlikely that we would ever
find ourselves in a situation where every
Paul MacGregor of the London Metal Exchange highlights the opportunities available for CTAs on the LME
MANAGED FUTURES 2016 07
MANAGED FUTURES 2016
single date and spread is liquid on the screen.
I certainly think that we could see more of a
concentration of liquidity on the electronic
platform around standardised monthly dates.
This is where we have been focusing a lot of
our efforts recently, and the most substantial
growth that we have witnessed has been in
our rolling three-month prompt. There tends
to be a concentration in liquidity on LMEse-
lect, and we have had a lot of new market par-
ticipants register for our proprietary trading
programmes.
CTA: How have 3rd Wednesday con-tracts developed and what does the future hold for them?
PM: Effectively monthly futures, 3rd Wednes-
day contracts are increasingly becoming the
focus of CTAs as they can put a position on
and roll or hold the position on the LME.
Roughly 12 months ago, when we first
started promoting these contracts, we had
limited liquidity in them on the screen. Ini-
tially, we relaxed the order to trade ratio for
3rd Wednesday contracts, which generated
some liquidity. Our next development was
our market making program, in November
2015, to support the active placing and filling
of orders.
As a direct result of the program, there
was rapid growth in liquidity. What had been
a rather non-existent area quickly became a
focal point. The rate of growth was unprec-
edented, from very little up to a record of
around 5000 contracts in February. In the
months since, some days have even seen trad-
ing of up to 1000 contracts in a single metal.
The focus of our 3rd Wednesday efforts is
on aluminium, copper and zinc, and we have
active market makers in the front three 3rd
Wednesdays who are continuously quoting.
We are about to augment this program with
further market makers as of June 2016.
Another recent LME incentive that applies to
CTAs is our 3rd Wednesday electronic trader
program. Th e program allows clients of LME
members to achieve a two-thirds rebate when
they trade a 3rd Wednesday or a three month
to 3rd Wednesday carry. We have had a lot of
interest from a number of CTAs in registering
for the program, which started on 1 June.
As far as growth in 3rd Wednesdays is
concerned, I believe that it will be sustained.
Many money managers, CTAs and funds
are increasingly looking at base metals as an
important part of their portfolio, and want to
use the LME as a way of holding and rolling a
position. The most efficient way of doing that,
electronically, is by trading the 3rd Wednes-
day contracts.
CTA: IT and technological advancement are essential in any infrastructure and platform, how does the LMEselect evolve and update its features? What makes LMEselect unique?
PM: Following the acquisition by HKEX, tech-
nology was at the forefront of everyone’s minds.
Th e fi rst major investment that was conducted
was the development of our clearing house. We
moved away from our previous clearer LCH.
Clearnet and we now have our own state-of-
the-art, Emir-approved clearing house, LME
Clear. LME Clear provides enhanced end-to-
end processing, and real-time risk management,
which is a fi rst for the industry.
We continue to invest in LMEselect, pro-
viding regular upgrades to the system and
the next version of the platform, LMEselect
9 .0, will be delivered by the end of 2016. The
upgraded Select will provide key Mifid II
functionality, including dynamic price limits,
which is vital due to the range of dates that
can be traded on the electronic platform.
Critically, the LME introduced a pre-trade
risk management tool on LMEselect last year
that monitors all orders entered into the elec-
tronic platform. The tool enables LME clear-
ing members to set risk limits for their own
traders and for any of their clients submitting
orders directly onto LMEselect. It gives risk
managers robust and efficient control over
trading limits. We are increasingly seeing
people actively using that in the market and
believe that the development of the platform
will be pivotal in going forward.
CTA: What key industry trends will be of the most importance over the next 18 months?PM: Many CTAs are trying to diversify as
they seek assets that are negatively correlated
with inflation. They have big allocations in
energy and precious metals, but we see an
opportunity for them to diversify further into
base metals.
Another development we have observed is
that Ucits structures are becoming increas-
ingly popular, particularly with the CTAs
in Europe. CTAs operating under Ucits can
invest in LME warrants, which are receipts
to prove ownership of metal stored in an
LME warehouse, and which are delivered by
an electronic platform we call LMEsword.
Investment in warrants can take place via
a member of the LME, providing another
opportunity for diversification.
Lastly, we are beginning to see the long-only
fund returning to the market and will keep a
close eye on this area as it develops. They are
returning to the marketplace as commodity
prices fall and this will be an important devel-
opment for us in the near future.
Finally, the physical industry’s dominance
in our market creates unrivalled trading
opportunities and different types of strategies
that CTAs can look to deploy. For CTAs, the
price validity that physical flow provides,
alongside the growing participation we are
starting to witness from mainland China,
provides quite the opportunity.
Paul MacGregorPaul MacGregor is managing director, head of sales at the London Metal Exchange. Paul is responsible for engaging with current and prospective customers of the
LME’s market and ensuring that new product initiatives are made available to the widest possible audiences. Paul joined the LME from ION Trading, where he was head of European Agency Sales and responsible for business development across agency trading and trade processing. MacGregor previously held the position of managing director of Product Strategy at FFastFill Limited, and prior to this he gained substantial exchange experience during his 18 years at NYSE Euronext.
The physical industry’s dominance in our market creates unrivalled trading opportunities and different types of strategies that CTAs can look to deploy"
MANAGED FUTURES 201608
MANAGED FUTURES 2016
ALGOS
WHAT ARE YOUR CURRENT ALGOS HIDING?
Not all algos are created equal. Execution quality separates the world’s leading CTAs, hedge funds and asset managers from the average. Which are you?
the way the CTA business operates – and this
evolution seems to have especially impacted
emerging managers in a disproportionate fash-
ion.
New managers, in terms of their growth and
success expectations, cannot rely anymore on
nostalgic memories of how the space behaved
in the past.
The Far West has since gentrified and a new
set of skills and pro-active planning is needed
to succeed in building a durable and profitable
business.
Once upon a time there was a
wild frontier made of men and
women armed with goodwill
and love for risk; men and
women ready to build, out of
nothing, wealth and respect.
There was a time when the managed futures
business was the single purest representation of
alpha generation, not only in terms of perfor-
mance but business development as well.
While traditional financial advisers were busy
building backward-looking portfolios based on
Modern Portfolio Theory, the pioneers of the
CTA business were starting small investment
concerns with low barriers of entry and rapid
rates of growth.
The original model was simple – get a com-
puter, exploit some technical market anomaly,
rely on the never-ending appetite of introducing
brokers to new algorithmic manipulations and
ride gloriously into the sunset.
But as US writer Susan Eloise Hinton
famously wrote: “That was then, this is now.”
The past five years have significantly changed
The gentrification of the Far West
Capital Trading Group founding partner Nell Sloane on changing times for CTAs
MANAGED FUTURES 201610
MANAGED FUTURES 2016
As a consequence of the 2008 crisis and
other mishaps that followed, specifi cally in the
future’s universe, the regulatory landscape has
changed and forced a behavioural modifi cation
as much as practical reforms.
One upshot of such changes is the rising pre-
dominance of career risk.
From an allocator perspective, the business
risk associated with an emerging outfi t signif-
icantly out-weights the potential positives of
superior performance.
Additionally, the decreasing operating mar-
gins and the increased costs of more stringent
regulations have forced many FCMs and intro-
ducing brokers to either leave the space, sell to
larger outfi ts or re-invent themselves.
Th is trend has materially reduced the aggres-
sive sales force that had been a distinctive ally of
emerging managers for decades.
Th is is truly a material change in the way
CTA businesses can develop. Emerging man-
agers now need to structure a solid business
framework. Th is means having a blueprint of
sustainability and growth, which will have to be
inherently more sophisticated than in the past.
New CTAs must also confront challenges
coming from an evolving investment landscape
which is producing a plethora of new products,
each one of them competing for similar pro-
spective investors and the same management
fees.
Th e current spectrum of generally low
returns, makes fee compression an even more
pressing issue, which again turns out to be a
heavier burden for the emerging manager.
Fee compression can be especially painful
when dealing with institutional parties if one is
not prepared for the negotiations and the true
costs of running the business are not completely
understood.
In the case of such blissful ignorance, an
emerging manager may not realise that the
terms incurred may end up off setting any
advantage of the new allocation.
In light of this new competitive background,
how must an emerging CTA manage his/her
expectations and how should the “fl ight plan”
be altered?
In the absence of an already established “ped-
igree”, an emerging manager must realise that a
framework of credibility based on investment
and operational performance must be built and
that such a process will require time.
But signifi cantly, the timeframe required to
establish a successful CTA operation today, is
undoubtedly longer than it has been in the past.
Th e best approach is to view trading as a
business; an emerging manager must prepare
a complete business plan with realistic expec-
tations and enough working capital to last for at
least two years.
Time and attention should be dedicated not
only to the trading strategy but also to opera-
tional strength.
Partnerships or strategic alliances are gener-
ally preferable ways to launch a trading outfi t.
Naturally, the trade-off is between giving up
equity and securing solid foundations for a long
and successful future.
Strategic alliances reduce the amount of
equity one must give up and can provide top
notch infrastructures since inception of the
plan. However they do require immediate and
regular outgoing cash fl ows which need to be
budgeted for.
As far as the construction of the trading
strategy, besides the obvious eff ort of building a
successful track record, one must not forget the
other primary elements of strength.
For example, the uniqueness of a strategy, is a
key point of distinction.
An additional paramount factor is how the
strategy’s risk-adjusted profi le fi ts within the
context of the global allocation of the targeted
audience.
More often than not, performance is discussed
and analysed in a vacuum, while its role relative
to other asset classes is just as important.
Furthermore, analysing the timing of poten-
tial losses rather than merely relying on Sharpe
and Sortino ratios would help signifi cantly.
Focusing on returns and draw-downs is a nec-
essary step but also being able to articulate with
common sense why a constant risk premium is
expected to be generated would go a long way
toward bridging that trust gap between inves-
tors and developing managers.
Managed expectationsIn light of all the variables discussed, expecta-
tions in terms of size and timing for potential
AuM can vary dramatically.
In the absence of institutional sponsorship,
the fi rst three years yield very slow growth, with
a reasonable range being between $1m and $5m
in AuM.
Th e quality of the performance will undoubt-
edly help quicken the process but only if com-
bined with a strengthening of the operational
framework and an ability to quickly raise the
value of a contact network.
If these two pillars in the process of business
institutionalisation are not fortifi ed, even good
risk adjusted performance will not suffi ce to
guarantee signifi cant growth in AuM.
Interestingly, reaching the next level may
prove easier than surviving the fi rst three years.
Assuming, one was indeed able to produce
good risk adjusted performance, institutionalise
the operational structure and develop a sound
rolodex, in year four and fi ve one can reasonably
expect to hit $10m and eventually $20m after
the fi ve year mark.
Naturally, all these assumptions are not only
the result of the CTA’s good work but also of
externalities that may be outside one’s control.
In fact, risk appetite may change across the
board as a function of monetary policy, reg-
ulatory changes and just plain old behavioral
biases.
Unexpected swings in these macro elements
may help speed up or dramatically slow down
the emerging CTA’s journey.
While managed futures continue to off er
traders an opportunity to launch investment
outfi ts with considerably lower barriers of
entry than other areas in the fi nancial services
industry, like hedge funds for instance, emerg-
ing managers must realise that the space has
changed.
Such changes do not mean the end of oppor-
tunities but merely a need from the interested
parties to approach the business in a more
sophisticated fashion.
Talent and courage, while necessary, are not
suffi cient anymore.
Working capital, detailed planning, net-
working and signifi cant patience are just as
important.
The current spectrum of generally low returns, makes fee compression an even more pressing issue, which again turns out to be a heavier burden for the emerging manager”Nell Sloane, Capital Trading Group
Nell Sloane is a founding partner and principal at Capital Trading Group, a CFTC registered introducing broker and a member of the NFA. She began her career over 29 years ago at the Chicago Futures Exchanges.
In addition to being principal and an associated person of CTG, she is a managing member of a multi-advisory commodity fund.
MANAGED FUTURES 2016 11
MANAGED FUTURES 2016
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Stuart Farr of Deltix discusses the merits of firms maintaining their own historical market data archive and using this to improve trading performance through advanced execution analysis
DIY EXECUTIONANALYSIS
Historical Market Data In discussions with new clients, we are usually
asked recommendations for providers of histor-
ical market data. Having worked with several
such providers, we make suggestions based on
the requirements of the client, the most impor-
tant of which is the granularity of data required:
daily bars, minute bars, tick (best bid/off er and
trades) or market depth. Unsurprisingly, cost
increases as the granularity of data increases.
However, the best answer is not to buy his-
torical market data at all: rather, to record the
real-time market data currently used for trading
(assuming not a start-up fi rm). Th e surprising
observation we have made is that many trad-
ing fi rms today do not record the market data
fl owing through their pipes. Given the costs
(data vendor, infrastructure and exchange fees)
already incurred in provisioning market data, it
is curious why this valuable resource is, in many
cases, allowed to fl are off like unwanted natural
gas.
Other than the cost of purchasing historical
market data, it is highly advantageous to record
the market data fl owing through your own
production trading system for other reasons.
For example, in doing so, you are capturing all
of the latencies and idiosyncrasies inherent in
your own infrastructure. With trading strate-
gies and analysis which requires daily data only,
this matters less. Where trading strategies or
analysis require tick data or market depth data
(as in execution analysis), capturing all of the
latencies and idiosyncrasies baked in your own
environment is very valuable. Particularly in FX,
with the diversity of sources and client-specifi c
MANAGED FUTURES 2016 13
MANAGED FUTURES 2016
nature of much liquidity, using the source of
data used in production trading is even more
essential than for futures.
But let’s remind ourselves why we need
historical market data at all. Th e fi rst reason is
execution analysis (sometimes known as Trans-
action Cost Analysis – TCA), which is relevant
for both system and discretionary trading fi rms.
Th e second reason, for systematic fi rms, is as a
resource for back-testing candidate alpha gen-
erating strategies.
Execution Analysis The importance of recording market data on
your own production trading environment
was discussed earlier. In the case of doing
forensic execution analysis, it is doubly
necessary as the time-stamping of orders,
executions and market data needs to be fully
sequenced. TCA has traditionally been used
to demonstrate best execution for fiduciary
or compliance reasons. This has been, and
remains, a useful and valuable capability. But
intertwining orders, executions with market
trades and the states of the order book at the
time of each execution is a different order
of analysis. Such forensic execution analysis
may not be required on a continuous basis,
but is essential when there is an unexpected
or unexplained change in execution quality.
This is particularly important for intraday
trading strategies in which profit per trade is
usually low and so achieving 'good' execution
via limit orders is simply essential. 'Good' is
defined by minimising the loss of potential
profit on each trade and will vary with each
strategy. In essence, if the potential profit of
a trade at signal-generation time is on average
$10, then losing on average more than $5 in
between then and actual execution requires
improvement. Clearly, good execution is not
going to turn a poor alpha generating strategy
into a good one, but it is vital to maximise the
realised profit from a good alpha generating
strategy.
For orders executed algorithmically, ongo-
ing execution analysis is essential. Outside
of keeping track of the performance of any
broker execution algo a fi rm might be using, a
trader needs to know how they are performing
in respect of the chosen benchmark (usually
arrival price or the VWAP of market trades
over the life of the order). Th is ongoing analysis
will provide comfort or alert to unacceptable
changes in execution quality in respect over/
underperformance measured in both ticks and
Dollar value. Secondly, a trader can use execu-
tion analysis to look for patterns of over/under
performance. For example, for a given period,
do all orders achieve similar out performance
relative to the chosen benchmark: on each day
of the week, for all order sizes, for all markets?
Th e answer is likely to be ‘no’ to at least one of
these and so provide opportunities for improve-
ment in either algo selection, algo parameteri-
sation or both. Drilling deeper by capturing the
underlying market data, we can look for pat-
terns of algo performance versus participation
rate: are we sacrifi cing performance by trying
to get executed too quickly? Is loss of execution
performance a price worth paying because of
improved alpha performance and so better P&L
overall?
Th e above examples imply signifi cant eff ort
expended in experimental analysis and study.
Our view is that such time is demonstrably very
worthwhile. However, we often observe man-
agers struggling with their data infrastructure.
Such managers are not recording market data
in their production trading system and much
energy and expense is expended in procuring
the market data and merging it with orders and
executions.
Improving Trading Performance Another key to success is to demonstrably
and frequently improve trading performance
by such fine-tuning of execution. The dis-
tinction here is doing execution research in
a vacuum caused by using market data not
recorded by the firm and/or not being able to
change algo selection and parameterisation
in production such that the trader can imple-
ment the research findings and immediately
see the results. There is nothing like showing
real dollar improvement to keep researchers,
technologists and traders focused. Incorpo-
rating such feedback on a next day basis is
laudable. The holy grail of course is having
fully adaptive algos: that is, those that change
their behaviour in real-time in response to
real-time market data. Ironically, such real-
time feedback loops are part and parcel of sys-
tematic trading but it is still a relatively new
concept in execution algos used in discretion-
ary trading. It is unclear whether this is due to
less sophisticated technological capabilities at
discretionary trading firms or whether human
traders at such firms are reluctant to hand
over control to a machine. One way to insti-
tute real-time modification of execution algos
is to provide the (human) trader the ability to
dynamically change attributes. In that way,
ideas for improving execution generated by
the research team can be implemented, man-
ually. As comfort and acceptance is achieved,
these real-time adjustments to the running
algo can be implemented automatically.
In the case of doing forensic execution analysis, it is doubly necessary as the time-stamping of orders, executions and market data needs to be fully sequenced”Stuart Farr, Deltix
Stuart Farr is is president of Deltix, the provider of technology for quantitative research and trading. Stuart has over 20 years of experience in financial technology. Pre-
viously, he was CEO and co-founder of hedge fund software provider Beauchamp Financial Technology and head of Credit Risk Technology at Credit Suisse First Boston.
MANAGED FUTURES 201614
MANAGED FUTURES 2016
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be reflected in the very different performances
between the top funds.
Concentration of risk and the fund structureAllocators have been using the managed
account route to further mitigate exposure to
the manager’s structure, to increase their sen-
sation of liquidity and to be in control of their
cash management.
In terms of liquidity, this doesn’t work. Ulti-
mately, if a position take three days to unravel
due to its size it will do so in a managed account,
Ucits, AIF, mutual or any other kind of format,
it makes absolutely no difference what legal
structure is used.
I struggle to find a fund failure that was insti-
gated by the structure of the fund rather than
There has always existed a
dilemma between the special-
ist and the generalist, from
nature all the way to business.
Basically, the stronger your
“edge”, the more vulnerable
you are to disruption, which in many cases can
cause catastrophic failure or extinction. The
business world is littered with such failures and
the fund industry is not immune either.
Peleton, Highland Capital, Tiger, Satellite,
Amaranth, Long Term, Atticus and Marin are
a few of the big names that got caught being
over concentrated. Too much risk in one place
or strategy was the primary driver for these fail-
ures. More often than not, these failures were
down the principal human fragility; the inability
to admit defeat. People tend to be optimists,
and when you mix that with an irrationally high
level of self-belief, you end up holding on to
losses much longer than necessary. In essence,
allegedly Keynes said: “markets can remain irra-
tional longer than you can remain solvent”.
The traditional hedge to discretionary funds
is the CTA space and nowadays that means sys-
tematic. The sector has noticeably evolved since
the days of black box models with many claim-
ing a high degree of transparency, however, the
benefit of diversification and strict control of
risk has unintended consequences: an irrational
belief that these strategies are infinitely scalable.
Systematic funds solved the principal weak-
ness of the discretionary fund by removing
positional emotion. Although, this same foible
has now been transferred from the strategy to
the firm’s management; as assets under manage-
ment grow, the number of strategies that can be
run declines and large fund performance begins
to look very similar.
Correlation of large CTA systematic fundsAll strategies have a limit at which you either
move the market every time to change your
position or are simply too large a participant.
Why do firms continue to take more and more
assets from allocators? This either forces traders
to continuously come up with more strategies or
more often restricts them to strategies with the
largest capacity. This comes back to the same
basic human fragility that pushes people away
from discretionary into systematic; an irrational
belief by management that performance will be
retained despite increasing size.
The counter argument from the manager is
that the fund uses a very wide number of mar-
kets and systems so the issue of concentration
doesn’t exist. If this concept held then it would
Investor monogamy: It’s not you, it’s me...
Andrew Gebhardt of Finex examines the concentration of risk
Volatility Adjusted Returns
50
100
150
200
2011 20162015201420132012
6bn Quantitative Systematic30bn Statistical Mathematical19bn Systematic Alternative5bn Multi Strategy Multi-Asset4bn Systematic Quantitative
MANAGED FUTURES 201616
MANAGED FUTURES 2016
market exposure. In fact, in stressed markets
asking your prime broker to forcibly exit posi-
tions entered by the manager will invariably add
to the losses. Th e PB is unlikely to understand
the nuances of the position and underlying mar-
ket in less time that it would take the original
manager to unravel.
In the past, all three managers at Finex have
been involved in the dismantling of other fi rms’
substantial position in both listed futures and
options. In one case involving short-term inter-
est rate options, the prime broking side and the
underlying bank had both thrown in the towel
and had to call in the dealing desk to manage the
vast positions left by the client’s failure. While
the size of the position was overwhelming, the
market was still liquid and it took about three
weeks to unravel and recover €25m out of the
original estimated €40m loss.
Firm assets under managementPossibly the most frustrating element of the
allocation process is that top down parameters
are applied to all strategy types, more specifi -
cally the percentage ownership. In liquid space
this makes no sense as the aim of investing into
a liquid fund is so that redemption costs and
exit times are limited. In essence, if the allo-
cator is interested in liquid space but applies a
percentage ownership, what is inevitably being
inferred is that they are not confi dent that they
have a truly liquid product.
Yet, when the investor allocates in a managed
account, these concerns appear to evaporate.
Why? Th e strategy remains the same, why
would the investment format change an allo-
cator’s view so dramatically? Th e only logical
concern would be over cash management, there
is no other variable, but I struggle to locate a
fund that has been brought down by poor cash
management.
Ultimately, if 40% of AuM is allocated to
market exposure via a Ucits or equivalent in a
managed account, the allocator has exactly the
same liquidity constraints.
As a small systematic fund, we are often
given AuM targets for allocations, although,
managed account customers have never pro-
posed such constraints.
Our returns are very diff erent from the
crowd, 90% of positions are automatically liq-
uidated before the end of the day, we only use
exchange listed futures, and we have declared
a maximum €500m for the strategy. Further-
more, AuM levels should not be a factor for
allocators.
Volatility adjusted returns including Finex NavigatorStrangely, our biggest selling point could be
the fact that we have declared, and will stick to
a maximum strategy AuM thereby protecting
the investor from over concentration at the
portfolio level. Apart from market exposure,
many fund failures are still down to the simplest
and most enduring problem, basic fraud. Here
is where a managed account comes to its own;
the PB is given the additional duty of valuation
of assets. However, in liquid space, as the term
implies, there should be no issue of valuation.
Where managed futures are concerned,
there is no need for a prime broker as they
provide no additional function. Futures have no
counterparty risk; they are continuously priced
and settled by the exchange. Th is extends to
custodians in fund structures where their only
role is cash management, and we accept that
this role carries little risk; in fact the regulator
deems these to be risk free.
All the heavy lifting is done by the clearing
broker.
I cannot stress enough how important it is
that allocators look at the clearing broker when
selecting a managed futures fund. In fact, they
are the most important service provider in the
entire chain by quite a substantial margin.
In conclusion, an allocator that wishes to
have a diversifi ed portfolio must look at the
balance between true value of the fund to the
diversifi cation process and its absolute perfor-
mance. Additionally, if the desire is to be truly
liquid then managed futures is the only way
forward and here the allocator must be sure
that only exchange listed futures are used, and
no structure is used to hide non-permissible
investments as in the case of Ucits and com-
modities.
Ultimately, the only way to do this is to invest
in more funds, not allocate to fewer larger
ones. After all, concentration of risk is nobody’s
friend.
Andrew Gebhardt left the comfort of Civil and Nautical Engineering to trade on the LIFFE floor (Open Outcry) in 1995. By 2001, he joined Lehman Brothers and stated the implementation of futures
trading systems based on technical analysis. From then on until the creation of Finex LLP in 2010 the models were traded by a number of tier one institutions and today form a key constituent of the Ucits fund portfolio.
Volatility Adjusted Returns with Finex
75
100
125
150
175 Finex Fund6bn Quantitative Systematic30bn Statistical Mathematical19bn Systematic Alternative5bn Multi Strategy Multi-Asset4bn Systematic Quantitative
2013 2014 2015 2016
Correlation between large Systematic funds
Systematic Alternative
Systematic Quantitative
Multi Strategy Multi Asset
Statistical Math-ematical
Quantitative Systematic
Systematic Alternative
0.72 0.79 0.73 0.74
Systematic Quantitative
0.72 0.75 0.67 0.76
Multi Strategy Multi Asset
0.79 0.75 0.88 0.78
Statistical Mathematical
0.73 0.67 0.88 0.75
Quantitative Systemati
0.74 0.76 0.78 0.75
MANAGED FUTURES 2016 17
MANAGED FUTURES 2016
Our multiple award-winning products, QuantServer and QuantOffice provide
industry-leading analytics, performance, precision and scalability.
They are deployed at buy-side and sell-side clients globally in multiple
use-cases across Equities, Futures, Forex & Options:
Quantitative Research & Automated Systematic Trading
Execution algos
Advanced eXecution Analytics
Market Making
Trade Surveillance
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DELTIXAGGREGATE | ANALYZE | ACT
Investors favour minimal staff intervention
at the trading company in the booking and
processing of trades, preferring the use of auto-
mated trade and account data capture methods.
Another observation made in working with
many dozens of CTAs over the last decade is
that CTAs who adopt STP methods are able
to grow the number of managed accounts and
funds quite significantly without large increases
in back and middle office staff. This provides
them with a competitive advantage over more
mature firms that carry the bloat and costs of
legacy systems and large headcount.
However, it’s not sufficient to be highly
automated on trade capture and processing if
the systems and reporting tools on which you
rely are not adequately integrated. As a devel-
oper of middle and back office systems, one
notable challenge HedgeFacts has addressed
is tracking trading data through the execution
layers through to the actual clearing accounts
and investment products (funds and managed
In recent years, the task of operating a
successful CTA has become increas-
ingly difficult. Apart from navigating
markets, which is sufficiently challeng-
ing, asset managers are held to ever-in-
creasing operational and infrastructure
standards by investors, regulators, auditors,
and counterparties across areas separate from
investment research and trading.
These areas include operational transparency
and capabilities, cyber-security and information
technology infrastructure, risk management
and compliance.
Over the years we have participated in
numerous investor due diligence inquiries and
supported many of our clients’ audits. This
experience informs our views regarding CTA
operations and IT infrastructure.
OperationsRemaining competitive in managed futures
operations depends on successful process
automation, since most challenges in operations
are not amenable to manpower-based solutions
alone. Traditionally, infrastructure solutions are
a lattice of third-party solutions, legacy software
systems, in-house experts and ad hoc tools, such
as spreadsheets that have accumulated over
time. Such systems are complex, fragile, error
prone and are no longer acceptable to investors.
Robust API solutions from exchanges and coun-
terparties coupled with the emergence of cloud-
based third-party solutions and data serving
capabilities have made it possible automate post
trade processing within a robust and integrated
control environment.
Processes that require substantial manual
entry by traders or middle office personnel will
routinely spawn errors and require significant
effort and time to rectify. Adopting exchange
based straight through processing (STP) API
trade capture methods accrue the dual bene-
fits of providing for exceptional accuracy and
reducing human intervention for many CTAs.
Beyond the tradeOvercoming challenges in operations and infrastructure for CTAs
John Hynes and James Goldcamp of HedgeFacts examine operations and information technology infrastructure, two areas of domain expertise where HedgeFacts has years of
hands on experience while working with CTAs of all sizes
MANAGED FUTURES 2016 19
MANAGED FUTURES 2016
accounts), so that information can be served
to all business functions. Th is is where proper
handling of pre and post-allocation trade data
is critical and integration between trade capture
and back offi ce systems becomes vital.
Other investor demands require that CTAs
adopt at a minimum two-way reconciliations
between top day trade capture input and cleared
statement information. Extensions to this
include three-way reconciliation between the
manager’s internal shadow books, the clearing
fi rm’s statement at the account level and the
third-party administrator of funds vehicles.
Accurate allocation of bunched orders to
minimise tracking error between accounts using
demonstrably transparent and sound methods
is a vital part of passing an asset allocator’s due
diligence process. Th is requires the construc-
tion and maintenance of an audit trail detailing
how each contract was allocated based on the
accounts’ relative weightings and the price allo-
cation method used. Additional risks to watch
for include the handling of other factors such as
residual contracts, partial fi lls, and maintaining
continuity in multi-leg spread and option strate-
gies where the risk of “orphaning” a leg of a strat-
egy is distinct. CTAs should monitor tracking
error by examining both daily returns and pro-
rata end of day position exposure. Th ese types
of monitoring tools and processes will provide
an early warning of divergences in performance
between accounts. Certainly, no manager wants
to get the call from an investor of “why did my
account underperform your reported perfor-
mance in the Barclay hedge database?”
Technology infrastructure and cyber-securityManaging a robust technology infrastructure
that will pass scrutiny by both investors and reg-
ulators is a real challenge faced by many CTAs.
Investors have strong interest in understanding
plans of how daily performance reporting and
risk monitoring is maintained in the event of
a crisis as well as trading continuity, including
connections to counter-parties and exchanges.
Detailed disaster recovery and business conti-
nuity plans should document and demonstrate
how middle and back offi ce processes will
continue to operate in the event of a disaster.
Investor due diligence queries routinely include
the frequency of data backups, availability of
redundant standby systems and data sources.
Security measures, such as fi rewalls and phys-
ical restrictions on access to data and offi ces,
must also be disclosed. Investors will probe the
frequency of system and data recovery simu-
lations and whether systems are periodically
tested for vulnerabilities to intrusion.
Clear rights and access controls supporting
processes of staff and trusted third parties with
respect to making entries into the trade blotter
or accounting records are often a topic of inter-
est by investors and auditors. Demonstrating
audit trail report capabilities for any adjusting
entries of accounting books, trade uploads,
investor records and user access to internal sys-
tems are a vital component of a robust control
environment.
SolutionsHaving presented numerous requirements and
challenges for the modern CTA, the natural
response is to ask “what should be done?”
First, a CTA must choose the degree to which
solutions for all of the aforementioned require-
ments will be sourced in-house via hiring and
development, or alternatively by outsourcing
to third-party solution providers. Th e in-house
option of development and staffi ng has advan-
tages which include control, specifi city and
independence. However, the principal and
signifi cant downside is the scale of eff ort and
cost required to build redundant infrastructure
and expertise which meets the due diligence
demands of institutional investors. Addition-
ally, the need for redundant personnel to mit-
igate key person risk is a recipe for signifi cant
salary costs with the in-house approach. CTAs,
even when managing signifi cant amounts of
capital can create a business risk from staffi ng
too aggressively, thus, a sensible outsourcing
programme is often advisable. A robust out-
sourcing approach supports an objective of fi rm
principals to focus on performance and raising
assets, rather than human resources and IT.
When scoping operational and technologi-
cal infrastructure needs, CTAs should “future
proof” their operations and technology by
anticipating prospective investment vehicles
(i.e. funds versus managed accounts), asset
classes (e.g. deploying CTA strategies to the
hedge fund space) and outright scale with
respect to the number of number of accounts
managed or trades executed. Th is consideration
applies equally whether building capabilities
in-house or selecting a vendor with adequate
scalability and scope for future business. Th e
expense of building new systems in-house or
perhaps equally daunting, switching vendors
in anticipation of a new strategy typically
requires a long-term horizon, often measuring
more than a year. In many cases this can be the
deciding factor between initially adopting an
in-house approach or a third-party solution.
Challenging market dynamics have created
many performance headaches for CTAs in
recent years, and the increasing demands of
investors, regulators, and counterparties have
only added to these pressures. Addressing the
many issues raised in this article will help you
establish a proper platform for growth.
It’s not sufficient to be highly automated on trade capture and processing if the systems and reporting tools on which you rely are not adequately integrated”John Hynes and James Goldcamp, HedgeFacts
James Goldcamp is director of Busi-ness Development at HedgeFacts. James has worked in the alternative investment industry for nearly 20 years and is a founding member of the HedgeFacts
team. Building on his trading experience, James co-created numerous successful software tools used by hedge funds and asset allocators today for back testing, risk manage-ment and accounting.
John Hynes is CEO at HedgeFacts. Formerly HedgeFacts CFO, John is a qualified chartered accountant with a career in international finance. Bringing a wealth of experience to the HedgeFacts
team, Hynes has been instrumental in the expansion of the company and the development of their industry leading technologies for the CTA community.
MANAGED FUTURES 201620
MANAGED FUTURES 2016
SERVICE DIRECTORY
To promote your company, contact: Antonio Rua +44 (0)20 7832 6581 [email protected]
DeltixStuart Farr, President // [email protected] // www.deltixlab.com
Deltix QuantServer and QuantOffi ce encompass all stages of creating, testing, optimizing and deploying trading strategies across global equi-
ties, futures, options and FX. Deltix buy-side clients are asset management fi rms using algo execution, quantitative hedge funds, systematic
proprietary trading fi rms and commodity trading advisers. Deltix sell-side clients use our products for providing customer algo execution,
execution analytics, market making and quantitative surveillance.
Societe Generale Prime ServicesDuncan Crawford - Managing Director - Global Head of Hedge Fund Sales - Prime Services // [email protected]
Societe Generale Prime Services part of the Global Markets’ division of Societe Generale Corporate & Investment Banking is the bank’s Prime Brokerage
business, off ering a unique combination of execution, clearing, custody and fi nancing services. It is truly multi-asset and multi-instrument across Listed
Derivatives, Equities (Cash/synthetic), FX, Fixed Income and OTC Cleared. As the world's leading derivatives broker, the Prime Services business off ers
unrivalled access to 125+ markets and exchange venues; off ering both agency or principal execution, and extensive value added services. Th e full service
platform off ers access to signifi cant securities fi nancing capabilities, extensive capital introduction and best-in-class cross-margin capabilities as well as
straight-through-processing with an industry leading post-trade platform aligned with Societe Generale extensive research product.
Finex LLP Andrew Gebhardt, Managing Partner // T +442030082530 // [email protected]
Delivering true Alpha in both Systematic Futures and Cleantech via its Navigator UCITS and Odyssey L/S Equity SRI fund. UCITS fund has
always been free from Commodities and despite a zero interest rate environment delivers top decile performance with a balanced Equity
and Fixed Income portfolio. Socially Responsible theme is growing exponentially and Odyssey is currently the only quantitative Cleantech
fund with an active short book, good for the spirit and the wallet.
NAVAmbuj Garg, Vice-President // T +1 630 954 1919 extn 101 // [email protected] // or Chris Rakers, Assistant Vice-President // T +1 630
954 1919 extn 133 // [email protected] //1 Trans Am Plaza Drive, Suite 400 Oakbrook Terrace, IL 60181 // www.navconsulting.net
NAV, a globally recognized fund administrator founded 1991, provides fund administration, back office support, registrar/transfer agen-
cy, tax preparation, compliance and regulatory support, investor services and performance/risk reporting. Clients include hedge funds,
CTAs, private equity, fund of funds and managed accounts, trading every alternative strategy. NAV’s reputation for exceptional client
service is reflected by 99% client retention over our 25 year history. Operating across every time zone, NAV’s 460 staff globally, 75% of
whom are CPA, CA, or MBA qualified, service 700+ clients and $56bn AUA.
HedgeFacts James Goldcamp – Director of Business Development // [email protected] // +1 513 806 2954
John Hynes – CEO // [email protected] // +1 513 806 2961 or +353 1 676 6390 // www.hedgefacts.com
HedgeFacts is a leading provider of award winning software for the alternative investment industry. Our technologies include risk analytics,
reconciliation, back office accounting, and performance reporting products. Our clients include hedge funds, commodity trading advisors,
and asset allocators with transparent managed accounts and fund structures that invest across a wide range of asset classes. With global
coverage delivered from operations in the US and Ireland HedgeFacts' software is offered as an automated, secure, and managed application
service provided with a reliable and responsive support team.
CME GroupNeil Somma, +1 212 299 23 48, [email protected] // Peter Barenthein, +44 20 3379 37 36, [email protected],
www.cmegroup.com
As the world’s leading and most diverse derivatives marketplace, CME Group (www.cmegroup.com) is where the world comes to manage
risk, offering the widest range of global benchmark products across all major asset classes. We bring buyers and sellers together through our
CME Globex® electronic trading platform and our trading facilities in New York and Chicago. CME Clearing, an industry-leading central
counterparty clearing provider, offers clearing and settlement services for exchange-traded and over-the-counter derivatives.
The London Metal Exchange Elena Patimova, Head of Commodity Buy Side Sales // +44 (0)20 7113 8556 // [email protected] // www.lme.com/roadmap
The London Metal Exchange is the world centre for industrial metals trading, providing global reference prices for financial and physical
market participants. Futures contracts in twelve different metals are available including aluminium, copper, nickel, tin, zinc, lead and new
ferrous contracts. LME Clear provides robust clearing and settlement services for all LME trades.Our Liquidity Roadmap makes electronic
trading on LMEselect simpler, more liquid and more transparent – in the past year we’ve seen a 200% increase in monthly futures trading
and delivered greater opportunities for financial participants to trade on our markets.
Quantitative Brokers Christian Hauff - CEO // [email protected], +1.646.293.1801 or Jonty Field - Head of EMEA // jfield@quantitative-
brokers.com, +44 20 3714 5831
Quantitative Brokers (“QB”) is a global, fully-independent, FCM-neutral, dealer-neutral, NFA and FINRA-registered, broker-dealer and a world
leading provider of agency algorithms in Futures and US Cash Treasury markets. QB creates a dynamic, collaborative environment that breeds
financial and technological innovation. Clients span the range of asset managers, hedge funds, CTAs and banks. QB is headquartered in midtown
Manhattan, New York.
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MANAGED FUTURES 2016
LME.CO
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The Information does not, and is not intended to, constitute investment advice, commentary or a recommendation to make any investment decision. Persons receiving the Information are not clients of the LME and accordingly the LME is not responsible for providing any such persons with regulatory or other protections. All persons in receipt of the Information should obtain independent investment, legal, tax and other relevant advice before making any decisions based on the Information. LME contracts may only be off ered or sold to United States foreign futures and options customers by fi rms registered with the Commodity Futures Trading Commission (CFTC), or fi rms who are permitted to solicit and accept money from US futures and options customers for trading on the LME pursuant to CFTC rule 30.10.
© The London Metal Exchange (the “LME”), 2016. The London Metal Exchange logo is a registered trademark of The London Metal Exchange.
In the past year we’ve seen electronic trading of monthly futures increase by nearly 200% as a result of our Liquidity Roadmap, designed to increase trading on LMEselect at the London Metal Exchange.
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CONGRATULATIONS TO ALL 2016 NOMINEES
PINNAACACLE ACHIEVEMEMMENTPINNAAACLE ACHIEVEMMMENTAWARARD D RECIPIENTSTS
WWilliam Em Eckharddt, Chairrman & CCEO, Eckhardt Tt Tradiding
Richard Dennnnis Founder CC&C&DRichard Dennnnis, Founder, CC&C&DCommodititiess
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5-YYear Besest Diversrsifi ed CCTA($50000 mmillion+ AUMM)
M AHL (AHL E l ti )Manan An AHL (AHL Evololuution)
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WWarrington An Asseset Managemment t LLC(StStrategic)c)
3-YEAR R BBEST SYSTEMMAATIC CTA
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JUNE 20 | CHICAGO
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