special report€¦ · special report managed futures 2016 opportunity where to find...

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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10003 T+1 646 891 2110

EDITORIAL Report editor Tom Simpson

T: +44 (0) 20 7832 6535 [email protected]

Head of content

(CTA Intelligence) Matt Smith

+44 (0) 20 7832 6627 [email protected]

Head of content (HFM Week)

Paul McMillan +1 646 891 2118

[email protected]

PRODUCTION Head of production Claudia Honerjager

[email protected]

Sub-editors Luke Tuchscherer,

Alice Burton, Charlotte Romeyer

Designer Jack Dougherty

COMMERCIAL Associate publisher

Lucy Churchill T: +44 (0) 20 7832 6615

[email protected]

Publishing account manager

Antonio Rua +44 (0) 20 7832 6581

[email protected]

CONTENT SALES Group head, content sales

Gavin Clink +44 (0) 20 7832 6592

[email protected]

Group head of content Gwyn Roberts

+1 646 891 2115 [email protected]

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


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



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


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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:

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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.

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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



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"



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



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.



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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



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.



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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



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



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They are deployed at buy-side and sell-side clients globally in multiple

use-cases across Equities, Futures, Forex & Options:

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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



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.



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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All rights reserved. All information contained within this document (the “Information”) is provided for reference purposes only. While the LME endeavours to ensure the accuracy, reliability and completeness of the Information, neither the LME, nor any of its affiliates makes any warranty or representation, express or implied, or accepts any responsibility or liability for, the accuracy, completeness, reliability or suitability of the Information for any particular purpose. The LME accepts no liability whatsoever to any person for any loss or damage arising from any inaccuracy or omission in the Information or from any consequence, decision, action or non-action based on or in reliance upon the Information. Where mentioned, $ = USD.

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.

Continuous on-screen market making in aluminium, copper and zinc has signifi cantly reduced average bid-off er spreads. We’ve also reduced electronic trading fees to $0.90 for all clients.

The new electronic trading opportunities are here – why aren’t you?

Talk to our team today.

[email protected]

Greater than your average futures contracts

NEW ELECTRONICTRADING OPPORTUNITIES

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

BESST DIVVERSIFIEDD CTAA

2015 BBeBest Diversifi eded d CTA($50000 mmillion+ AUMM)

HH20 AM M LLP (Foorce 10))

PIMCO LLCLC (CCommodity Ay Alphpha Fund)

Q tit ti I t t M tQuantitativeve e Investment MaMaanagement (Global ProPrograram)

201515 Bestst Diversifi fi ed CTCTA(Less s ththan $500 milillioion AUM)

Altitiq L LLP (Global PProgogram)

SSplendodor Capitalal Managagement LLtd. (Credencece Globobal)

White Havenenn FundsWhite Havennn Funds(Whitehaveven Cn Correlation FFunnd SP)

5-YYear Besest Diversrsifi ed CCTA($50000 mmillion+ AUMM)

M AHL (AHL E l ti )Manan An AHL (AHL Evololuution)

QuQuantMMetrics Caapital M Managemement((QM MS FS Fund)

Two Sigma a Innvestments LLLLCC(Compass UUSUS Fund)

5-Y-Year Besst Diverersifi ed CTCTA(Lessss thahan $500 mmillionon AUM)

Monndndiale Asset Manannagement Ltd ((T(Trading)Monnndiale Asset Mannnagement Ltd. (((Trading)

Poolar SStar Managegemenent (Polar StStar FuFund)

RRevolutioion Capipital Mananagemenent (Alpha)a)

BBEST SINGLE SE SSECTOR CTABEST SINGLE SSSECTOR CTA

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5-5-Year Best SiSingngle Sector CTCTAA

DDominice e & Co. AAsset Maanagemment(CaCassiopopeia Fund BB USDSD)

Esuleepep LLC (Permo FFuFund)Esuleeep LLC (Permo FFFund)

Kotottke (e (Commodityty Caapital)

BEEST MULTITI-ADVVISOR FUTTURESES FUND

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AC Investmment t Managemeent(A(AGR Masaster LP))

Equuinoxox (MuttuualHedge Futurrees Strategy Funnnd)(MuttuualHedge Futurrees Strategy Funndnd)

HSSBC (T(Trading AdvdvantEtEdge USD))

5-YYear Best Mt Multi ti Advisor FFutureres Fund

Abbey Capitataal (ACL Global FFuFund)Abbey Capitaaal (ACL Global FFuFund)

AC Investmment t Managemeent(A(AGR Powwer LLC)C)

Equuinoxox (Frontier DDiverersifi ed Seriees 2)2)

BEST OT OPPTIONS STRARATETEGY

201515 Best OOptions s Strategegy

Catalyst Caapitatal Advisors LLLCC (Hedged Fututuures Strategy)(Hedged Fututuures Strategy)

LJM Partneners LtLtd (LJM Funund LPLP)

Tiaianyou Au Asset Maanagemment LLCC(Tiaanyoyou Fund)

5-Year BBeBest Options StStrtrategy5 Year BBBest Options Stttrategy

Cataalyst st Capital Advdvisorors LLC (HeHedged FFutures SStrategygy)

DDoherty Advvisorors (Relative Valuuee Moderate)(Relative Valuuee Moderate)

WWarrington An Asseset Managemment t LLC(StStrategic)c)

3-YEAR R BBEST SYSTEMMAATIC CTA

Premmiumm Capital Addvisosors AG (PrPrecious s Metals))

TTwo Sigma InInvesestments LLCLC(Compass USS FFund)(Compass USS Fund)

WWhite Havenen Fununds (WhitehehavenenCoorrelationon Fund SSP)

3-YEAR R BBEST DISCRETETITIONARY CTA

H20 A0 AM M LP (Force 1010)

Paan Capitatal Managagement t LP ((Energy Funnd)

Trigon Investmmment AdvisorsTrigon Investmmment Advisors((Discretionaary MMacro)

3-YEAAR BESEST HYBRIRID CTATA

Esulepepp LLC (Permo FuFuund)Esuleppp LLC (Permo Fuuund)

Polarar Statar Managemment nt (Polar Star ar Funnd)

SpSplendor CCapital Ml Managemement LtLtd. ((Credence GGlobabal)

20015 BEST EMMERRGING CTA

Deegraves Cs Capital Ml Managemement (Globobal DDiversifi ed))

John SSStreet Capital (SSSystematic Straatategy)John SSStreet Capital (SSSystematic Straatategy)

Tiannyou Au Asset Mananagemment LLC(TiTianyou FFund)

JUNE 20 | CHICAGO

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