Alt Beta Newsletter 1 August 2019 ALTERNATIVE BETA MATTERS Quarterly Newsletter - Q3 2019 Introduction Welcome to CFM’s Alternative Beta Matters Quarterly Newsletter. Within this report we recap major developments in the Alternative Industry, together with a brief overview of Equity, Fixed Income/Credit, FX and Commodity markets as well as Trading Regulations and Data Science and Machine Learning news. All discussion is agnostic to particular approaches or techniques, and where alternative benchmark strategy results are presented, the exact methodology used is given. It also features our ‘CFM Talks To’ segment, an interview series in which we discuss topical issues with thought leaders from academia, the finance industry, and beyond. We have included an extended academic abstract from a paper published during the quarter, and one whitepaper. Our hope is that these publications, which convey our views on topics related to Alternative Beta that have arisen in our many discussions with clients, can be used as a reference for our readers, and can stimulate conversations on these topical issues. Contact details Call us +33 1 49 49 59 49 Email us
[email protected] www.cfm.fr CFM Alternative Beta Matters CONTENTS 3 Quarterly review 10 Extended abstract Portfolio selection with active strategies: how long only constraints shape convictions 10 Other news 11 CFM Talks To Emanuel Derman, Columbia University 15 Whitepaper On Business Cycles… and when Trend Following works www.cfm.fr 02 CFM Alternative Beta Matters Index3 (2.8% over the quarter) registered similar Quarterly review performance. The one year rolling average absolute correlation between Quantitative overview of all futures contracts, often taken as an indicator of CTAs’ ability to diversify, fell during Q2, and reached close to 16% key developments in Q2 at the end of June.