J8 CAPITAL MANAGEMENT LLP
  • About
    • Philosophy & Value Proposition
    • People
    • Awards & News
    • Join as manager
    • Career
  • J8 GARS
    • Glossary - What is....
  • J8 CTA Index
  • Videos
    • Video Series: What are CTAs? EN/DE
  • Publications
    • JII - A liquid and investible benchmark index for the CTA and MF industry
    • THFJ - Common Denominators in CTAs: Traded Markets
    • THFJ - Common Denominators in CTAs: Portfolio Construction and Index
    • JII - Common denominators in the CTA and managed futures industry: A survey report
    • THFJ - Correlation is not always what it seems
    • Quantifying Political Risks - PhD Thesis
  • Contact

Publications


J8 GARS vs. carve-outs

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Ranking of J8 GARS' performance  versus the 20 largest CTAs

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J8's liquid alternative strategy enhances traditional portfolios

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​CTAs – A continuing success story

Emerging Manager Forum, CTA Expo, May 20th, 2020.
​Tillmann Sachs
The long-term value proposition of Commodity Trading Advisors (CTAs) includes capital preservation, portfolio diversification, and capital appreciation.  ... MORE
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Commodity Indices – Enhanced Tool for Portfolio Management

Multi Commodity Exchange of India (MCX), Commodity Insights Yearbook 2018, pp. 38-45
​Tillmann Sachs, Valentin Georgescul
The objective of this paper is to show how commodity indices can enhance investment portfolio returns and reduce risk.
First, we discuss the nature and construction of commodity indices. We distinguish between traditional long only benchmark indices and alternative long/short risk premia indices.
Second, we show the portfolio benefits of adding commodity benchmark indices to traditional fixed income and equity portfolios and adding long/short commodity risk premia indices to alternative investment portfolios.
Thirdly, we discuss the implementation of commodity indices, how they are offered, typical investor profiles, and how investment constraints can be addressed. .... MORE

​A liquid and investible Benchmark Index for the Commodity Trading Advisor and Managed Futures industry

Journal of Index Investing, Institutional Investor Journals, Spring 2016, Vol. 6, No. 4, pp. 30-70.
Tillmann Sachs, Robert L.K. Tiong
​
In 2014 and 2015 we surveyed investors and managers and asked “CTAs – How do they do it?” The survey responses allow us to explain the complexity of the CTA and Managed Futures industry with a simple, survey-led index model: by trading global liquid markets with momentum indicators in a risk weighted basket, managed to a target volatility and charging 2/20 for it. The index is liquid, investible, and replicable. It may serve as benchmark for the CTA industry as it is representative of the most common methodologies used by the industry. ... MORE

Common Denominators: Markets traded by CTA and managed futures funds

The Hedge Fund Journal, September 2014, Issue 97, pp. 32-33.
TILLMANN SACHS, HUI YU CHEN, ROBERT L.K. TIONG

[...] There is clear trend in popularity of traded markets within the CTA industry. All survey participants were asked for their opinions on which markets represent the most relevant or common markets traded by CTAs, and multiple selections were possible. The survey covered a total of 82 markets, of which 27 markets were commodity markets, 10 government bond markets, six interest rate markets, 12 equity index markets, one volatility market, nine G10 currency markets, and 17 emerging market (EM) currency markets. [...] MORE

Common Denominators: Portfolio Construction and Fees - Building an Index for the CTA industry

The Hedge Fund Journal, January 2015, Issue 101, pp. 54-57.
TILLMANN SACHS, HUI YU CHEN, ROBERT L.K. TIONG

[...]This article follows on from an earlier article published in The Hedge Fund Journal (Issue 97). The first article presented the most popular markets traded by the CTA industry. This article presents the survey results on the most popular return engines, portfolio management methods and fee structures in the CTA industry, and presents an investible index based on these survey findings. The full survey report has been published in the Journal of Index Investing with the Institutional Investor Journals in the winter 2014 issue [...] MORE


Common denominators in the CTA and managed futures industry: A survey report

 Journal of Index Investing, Institutional Investor Journals, Winter 2014, Volume 5, Number 3, pp. 46-58.
Chen, H., Sachs, T., Tiong R.

 How do CTAs generate returns? Which markets do they trade? How do they allocate risk, manage money, and what fees do they charge?

We conducted an international survey to establish “Common Denominators in the CTA and Managed Futures Industry”. This paper presents the results and conclusions from the survey.

The survey finds that the CTA and managed futures industry may be generalized in trading popular key global markets in a risk weighted momentum portfolio managed to a target volatility and applying a 2/20 fee structure. ... MORE


Correlation is not always what it seems - an often overlooked aspect in time series analysis

The Hedge Fund Journal, June 2014, Issue 95, pp. 24-25.
TILLMANN SACHS, CHONG IT TAN and ROBERT TIONG

Many CTAs and other money managers use correlation in time series analysis in their daily work to derive investment decisions on asset allocation, risk and money management, tactical overlays, or selection of products or markets.

 In J8, we do not use correlation to achieve future diversification benefits or to derive investment decisions thereupon. We focus our efforts on  ... MORE

Quantifying Political Risks in Infrastructure Projects

PhD Thesis, 2007
TILLMANN SACHS
How to quantify risks in the absence of historical data or time series? This book develops a methodology to quantify expert opinion on risk factors which have significant impact on cash flow projections in life-cycle infrastructure projects. ... MORE
Terms and Conditions
Policies and Disclosures
J8 Capital Management LLP is authorised and regulated by the Financial Conduct Authority in the United Kingdom
J8 Capital Management LLP is registerred with the National Futures Association in the United States.

J8 Capital Management LLP (c) copyright 2020
  • About
    • Philosophy & Value Proposition
    • People
    • Awards & News
    • Join as manager
    • Career
  • J8 GARS
    • Glossary - What is....
  • J8 CTA Index
  • Videos
    • Video Series: What are CTAs? EN/DE
  • Publications
    • JII - A liquid and investible benchmark index for the CTA and MF industry
    • THFJ - Common Denominators in CTAs: Traded Markets
    • THFJ - Common Denominators in CTAs: Portfolio Construction and Index
    • JII - Common denominators in the CTA and managed futures industry: A survey report
    • THFJ - Correlation is not always what it seems
    • Quantifying Political Risks - PhD Thesis
  • Contact