))
Andrew Beer & Adam Butler - Attack of the Managed Futures Clones
Manage episode 378000963 series 3500080
Content provided by Corey Hoffstein. All podcast content including episodes, graphics, and podcast descriptions are uploaded and provided directly by Corey Hoffstein or their podcast platform partner. If you believe someone is using your copyrighted work without your permission, you can follow the process outlined here https://player.fm/legal.
In this special episode of Flirting with Models, I’m joined by two guests: Andrew Beer of DBi and Adam Butler of ReSolve Asset Management.
Rather than my usual interview format, I wanted to foster a conversation about the replication of managed futures strategies. Specifically, I wanted to bring on two practitioners who both share the same high level beliefs – namely that more investors should allocate to managed futures, that managed futures are well suited for replication, and that replication can help dramatically reduce fees – but differ on the implementation details.
And it is in that disagreement that I hoped to highlight the different pros and cons as well as any embedded assumption in any of these replication approaches.
We discuss return-based replication, process-based replication, determining the number of markets to trade, expectations for tracking error, and more.
I hope you enjoy this episode with Andrew Beer and Adam Butler.
101 episodes
Share
