R.G. Niederhoffer Capital Management is noting the markets have been so quiet that the 1.18 percent drop in the S&P 500 (INDEXSP:.INX) on July 17th was the first time in 63 consecutive days the market moved more than 1 percent in either direction – the longest such streak in almost 20 years. This unusual lack of volatility has been questioned by a number of quantitative traders as they gear their algorithmic investing approaches to deliver uncorrelated returns. The problem with such approaches, however, is that performance when the market is sailing to new heights can be less than hoped. Niederhoffer up 3.2%…
Niederhoffer Up 3.2% In Q2; Sees a Return To Volatillity
Mark Melin
Mark Melin is an alternative investment practitioner whose specialty is recognizing the impact of beta market environment on a technical trading strategy. A portfolio and industry consultant, wrote or edited three books including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008) and taught a course at Northwestern University's executive education program.