Managed Futures/Trading Systems Week in Review

November 30, 2010 Attain Capital 1 Comment  Like
Trend Following and Systematic Strategies

We took the liberty of extending the Thanksgiving holiday through yesterday for our research team, resulting in no Monday newsletter this week. But we actually did do the week in review write up as if there were a newsletter, and are happy to share it with you here:

Summary:

With only two day’s remaining in November it looks like most multi-market programs will give back a portion of the gains accumulated in the previous two months. Heading into today nearly every multi-market manager we track including both short-term and long-term programs is on the verge of posting a loss for the month. However, considering the recent run up experienced by most of these programs the monthly losses are not as painful as the numbers portray. Despite the difficulties of most, there are a couple managers that are in the black this month, including Futures Truth MS4 at +1.93% and Mesirow Financial Commodities Low Volatility at +0.04%. Futures Truth has had a little more success as the program has counter-trend analysis that has given short signals in markets like cotton and bonds that are reverting to the mean.   In comparison, many trend followers have been giving back profits in these markets over the last couple of weeks.

Overview:

The holiday shortened week was very active on the news front as Euro zone worries regarding the Irish sovereign debt debacle was the highlight, but market participants also had to navigate a Korean squabble along with more Chinese governmental steps to put the brakes on economic growth. The growing saga with debt issues in Ireland and continued rumors of instability in other Europe countries made for interesting fodder with many market participants looking for a safe haven investment after several months of seeking higher risk instruments. News of military posturing on the Korean peninsula also unnerved the marketplace as a small confrontation sent some capital to the sidelines due to ideas that any escalation could damage Southeast Asian economic growth which has enjoyed rapid appreciation in the last few years. The week also had bright spots as U.S. economic data showed an improvement in the job arena with weekly jobless claims falling to their lowest level in two years and consumer spending increased for a fourth month in a row. Black Friday also garnered attention with expectations of growth year over year which was welcome news after a week of geopolitical uneasiness.

The Energy sector reacted to all of the news with a positive spin, especially the stronger consumer news, but weather also played a supporting role with forecasts calling for cold temperatures in the Northeast U.S. and Northwest Europe for an extended period. Crude Oil +2.17% led the price rally   followed by Heating Oil +1.80%, Natural Gas +1.73% and RBOB Gasoline +1.47%.

Activity in the food sector was mixed affair with better U.S. consumer news and export market expectations aiding some areas, but profit taking and reworked supply/demand situations hampered other price discovery. Sugar +8.03% led the rally for those areas that posted positive returns followed by Corn +3.44%, Soybeans +3.08%, Live Cattle +1.14% Wheat +0.47% and Lean Hogs +0.39%. Instability hampered Cotton -9.25%, Coffee -4.05%, Cocoa -2.58% and OJ -0.20%.

Metals ended in a mostly weaker state as sovereign debt issues in Europe and Chinese plans of wrangling strong growth played a key role in market activity. The slowing growth stigma hampered the industrial sector with Palladium -3.76% followed by Copper -2.08%, Silver -1.77% and Platinum -1.55%. Gold +0.73% found light support on flight to quality purchases with the new line up of geopolitical uncertainties.

Participants in Currency futures continued to adjust risk tolerance to heightened worries of sovereign debt problems in Ireland along with signs of contagion throughout Europe. The flight to protection of the U.S. Dollar +2.34% due to Korean peninsula tension also added to the rebalancing fervor in this sector. The Euro -3.13% found the most pressure from all of the new events followed by the British Pound -2.32%, Swiss Franc-0.98% and Japanese Yen -0.52%.

Stock Index futures ended mixed with the ever-changing headlines adding to investor uneasiness, although the strong consumer sector data in the U.S. sparked a rebalancing in to smaller cap and tech related issues. Russell 2000 futures +0.98% led the price rally followed by Mid-Cap 400 futures +0.85% and NASDAQ futures +0.59%. S&P 500 futures -1.25% and Dow futures -1.23% were hampered by the current unstable global outlook.

Managed Futures

With only two day’s remaining in November it looks like most multi-market programs will give back a portion of the gains accumulated in the previous two months. Heading into today nearly every multi-market manager we track including both short-term and long-term programs is on the verge of posting a loss for the month. However, considering the recent run up experienced by most of these programs the monthly losses are not as painful as the numbers portray. Despite the difficulties of most, there are a couple managers that are in the black this month, including Futures Truth MS4 at +1.93% and Mesirow Financial Commodities Low Volatility at +0.04%. Futures Truth has had a little more success as the program has counter-trend analysis that has given short signals in markets like cotton and bonds that are reverting to the mean.   In comparison, many trend followers have been giving back profits in these markets over the last couple of weeks.

Unfortunately, the remainder of multi-market traders are in the red including Mesirow Financial Commodities Absolute Return -0.06%, Dighton Capital Limited Aggressive -0.08%, Sequential Capital Management -0.09%, DMH -0.31%, Futures Truth SAM 101 -0.95%, Robinson Langley Capital -1.56%, Quantum Leap Capital -1.60%,Accela Capital Management Global Diversified -1.64%,  Integrated Managed Futures Global Concentrated -1.78%, APA Strategic Diversification -2.12%, GT Capital -2.15%, Auctos Capital Management Global Diversified -2.51%, Applied Capital Systems -3.50%, Hoffman Asset -3.75%, Covenant Capital Aggressive -4.24%, 2100 Xenon Managed Futures (2X) -5.31%, APA Modified -5.38%, Dominion Capital Management -5.42%, Clarke Worldwide -5.44%, Clarke Global Magnum -5.59%, and Clarke Global Basic -10.82%.

Short-term stock index traders are having a good month of trading with Paskewitz Asset Management Contrarian 3X St. Index up +0.59%, while Roe Capital Management is posting positive numbers in the Jefferson Index +2.05% and Monticello Spread +0.36% programs.

For option trading managers, the fight to end the recent 3 month slide is nearing an end.  With only a few days left in the month the results continue to be mixed with several managers well ahead and others just shy of break even.  Leading the way for November is White River Group with an estimated return of +2.96%, brining their YTD return to over 20%.  White River sells deep out of the money short dated options in the Bonds, Gold, Crude, and the Euro.

Others posting gains for November include: Clarity Capital +2.72%, Liberty Funds Group +2.66%, FCI OSS +2.6%, and HB Capital +2.02%.  Option traders in the red are as follows: Cervino Diversified -0.46%, Cervino Diversified 2x -0.84%, Crescent Bay BVP -0.91%, Crescent Bay PSI -1.26%, FCI CPP -1.63%, ACE SIPC -4.92%, ACE DCP -16.52%.

Specialty market managers have been lead by gold trading specialists Cervio Gold +0.40% and AFB Forty Eighter Gold Options +0.05%.

Agriculture specialists have given back some of their October gains.  Estimates include NDX Shadrach -0.01%, NDX Abednego -0.08%, Oak Investment Group -4.51% and Rosetta Capital -6.94%.

Spread trading specialist, Emil Van Essen, is currently down -2.85%.  The current drawdown is just over 3% and appears to be an attractive entry for investors tracking the program.  Following the deleveraging of their program in 2008, the maximum intramonth drawdown has been approximately -8%.

Trading Systems

Last week was a shortened week due to the Thanksgiving Holiday but there were still a few systems that were active and some systems enjoyed solid results. Day trading systems had plenty to be thankful for last week because the majority of the day trading systems finished profitable for the week. On other hand, swing systems are wishing they can perform better in the weeks to come.

On the day trading side, Upperhand ES finally got the continuation it needed to be successful.  Upperhand ES wisely stayed out of the choppy action early on in the week and made its only trade on Wednesday. The eMini S&P 500 market opened up at 1187 and went as high as 1191.50 in the first half hour of trading. Upperhand ES got long after the first half hour and enjoyed the market rally all the way upto 1196.75. For the week UpperHand ES was up $307.50. Other positive results included Waugh ERL at $410.00 and PSI! ERL at $670.00.

Unlike UppperHand ES, Clipper ERL traded on Monday and Tuesday and got hurt by the choppiness in the markets. Both days Clipper got short only to see the market reverse directions and finish near the open. For the week Clipper lost -$1,100.00.

The swing systems didn’t enjoy the Thanksgiving holiday as much as the day trading systems. Waugh CTO ERL, which trades the mini Russell 2000 contract, got hurt by the sell offs that were occurring overnight. Waugh CTO entered there week long from Friday and got hurt by the lower open on Monday. Later in the day on Monday Waugh CTO got long but then got hurt by the lower open on Tuesday. On Tuesday, Waugh CTO got long in the afternoon and this time benefited from overnight action and on Wednesday morning it took a winner of $860.00. However, it wasn’t able to overcome the losses it sustained earlier on in the week and finished down -$270.00 for the week. Other negative results included MoneyBeans S at -$14.38, TurningPoint ES at -$342.50, AG Mechwarrior ES at -$1,385.00, and TurningPoint X2 ES at -$1,960.00.

It wasn’t all bad on the swing system side, three systems did manage to finish profitable for the week. The BAM systems have been on a good run the past few weeks and it continued that trend last week. Bam 90 Single Contract ES made one trade last week, it entered the week short from the previous week. Bam 90 Single Contract ES was short from the high on Friday and reversed long on Monday. On the short trade, Bam 90 Single made $432.50. Initially, the eMini S&P 500 market seemed like it was going to go back up and that Bam 90 Single reversed  long at the right time but after finishing higher on Monday, the market was lower on Tuesday and took profit away from Bam 90 Single Contract. After holding on through Thanksgiving Day, Bam 90 Single Contract got flat Friday morning. For the week Bam 90 Single Contract made $340.00. Other positive results included Bam 90 M Squared ES at $165.00 and Jaws 60 US at $345.00.

One comment

  1. Swen
    April 15, 2013

    Excellent article. I am experiencing many of these issues as well.
    .

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Disclaimer
The performance data displayed herein is compiled from various sources, including BarclayHedge, and reports directly from the advisors. These performance figures should not be relied on independent of the individual advisor's disclosure document, which has important information regarding the method of calculation used, whether or not the performance includes proprietary results, and other important footnotes on the advisor's track record.

The programs listed here are a sub-set of the full list of programs able to be accessed by subscribing to the database and reflect programs we currently work with and/or are more familiar with.

Benchmark index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship, self reporting, and instant history. Individuals cannot invest in the index itself, and actual rates of return may be significantly different and more volatile than those of the index.

Managed futures accounts can subject to substantial charges for management and advisory fees. The numbers within this website include all such fees, but it may be necessary for those accounts that are subject to these charges to make substantial trading profits in the future to avoid depletion or exhaustion of their assets.

Investors interested in investing with a managed futures program (excepting those programs which are offered exclusively to qualified eligible persons as that term is defined by CFTC regulation 4.7) will be required to receive and sign off on a disclosure document in compliance with certain CFT rules The disclosure documents contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA, as well as the composite performance of accounts under the CTA's management over at least the most recent five years. Investor interested in investing in any of the programs on this website are urged to carefully read these disclosure documents, including, but not limited to the performance information, before investing in any such programs.

Those investors who are qualified eligible persons as that term is defined by CFTC regulation 4.7 and interested in investing in a program exempt from having to provide a disclosure document and considered by the regulations to be sophisticated enough to understand the risks and be able to interpret the accuracy and completeness of any performance information on their own.

RCM receives a portion of the commodity brokerage commissions you pay in connection with your futures trading and/or a portion of the interest income (if any) earned on an account's assets. The listed manager may also pay RCM a portion of the fees they receive from accounts introduced to them by RCM.

Limitations on RCM Quintile + Star Rankings

The Quintile Rankings and RCM Star Rankings shown here are provided for informational purposes only. RCM does not guarantee the accuracy, timeliness or completeness of this information. The ranking methodology is proprietary and the results have not been audited or verified by an independent third party. Some CTAs may employ trading programs or strategies that are riskier than others. CTAs may manage customer accounts differently than their model results shown or make different trades in actual customer accounts versus their own accounts. Different CTAs are subject to different market conditions and risks that can significantly impact actual results. RCM and its affiliates receive compensation from some of the rated CTAs. Investors should perform their own due diligence before investing with any CTA. This ranking information should not be the sole basis for any investment decision.

See the full terms of use and risk disclaimer here.

Disclaimer
The performance data displayed herein is compiled from various sources, including BarclayHedge, and reports directly from the advisors. These performance figures should not be relied on independent of the individual advisor's disclosure document, which has important information regarding the method of calculation used, whether or not the performance includes proprietary results, and other important footnotes on the advisor's track record.

The programs listed here are a sub-set of the full list of programs able to be accessed by subscribing to the database and reflect programs we currently work with and/or are more familiar with.

Benchmark index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship, self reporting, and instant history. Individuals cannot invest in the index itself, and actual rates of return may be significantly different and more volatile than those of the index.

Managed futures accounts can subject to substantial charges for management and advisory fees. The numbers within this website include all such fees, but it may be necessary for those accounts that are subject to these charges to make substantial trading profits in the future to avoid depletion or exhaustion of their assets.

Investors interested in investing with a managed futures program (excepting those programs which are offered exclusively to qualified eligible persons as that term is defined by CFTC regulation 4.7) will be required to receive and sign off on a disclosure document in compliance with certain CFT rules The disclosure documents contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA, as well as the composite performance of accounts under the CTA's management over at least the most recent five years. Investor interested in investing in any of the programs on this website are urged to carefully read these disclosure documents, including, but not limited to the performance information, before investing in any such programs.

Those investors who are qualified eligible persons as that term is defined by CFTC regulation 4.7 and interested in investing in a program exempt from having to provide a disclosure document and considered by the regulations to be sophisticated enough to understand the risks and be able to interpret the accuracy and completeness of any performance information on their own.

RCM receives a portion of the commodity brokerage commissions you pay in connection with your futures trading and/or a portion of the interest income (if any) earned on an account's assets. The listed manager may also pay RCM a portion of the fees they receive from accounts introduced to them by RCM.

Limitations on RCM Quintile + Star Rankings

The Quintile Rankings and RCM Star Rankings shown here are provided for informational purposes only. RCM does not guarantee the accuracy, timeliness or completeness of this information. The ranking methodology is proprietary and the results have not been audited or verified by an independent third party. Some CTAs may employ trading programs or strategies that are riskier than others. CTAs may manage customer accounts differently than their model results shown or make different trades in actual customer accounts versus their own accounts. Different CTAs are subject to different market conditions and risks that can significantly impact actual results. RCM and its affiliates receive compensation from some of the rated CTAs. Investors should perform their own due diligence before investing with any CTA. This ranking information should not be the sole basis for any investment decision.

See the full terms of use and risk disclaimer here.

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