Month: January 2011

03 Jan 2011

Managed Futures up +3.27% in Dec., finish 2010 up 9.20%

Managed Futures as an asset class closed out a strong second half of the year with gains of +3.27% in December to push the Newedge CTA index measuring managed futures performance to a gain of +9.20% for the year. [Past performance is not neccessarily indicative of future results] As you can see from the plot […]

05 Jan 2011

Managed Futures 2010 Performance…more detail

We mentioned in our last post that managed futures as an asset class posted gains in December to end the year up 9.20% (based on Newedge CTA Index), and now get into some of the details for varying strategy types within managed futures for both December and the year gone by. First up, a listing […]

06 Jan 2011

Managed Futures in the Economist

Managed futures look to be moving up in class, with the most recent edition of the Economist mentioning managed futures in an article talking about how momentum can work. And while it is nice to see managed futures mentioned in a magazine just slightly more respected and read than Futures magazine (sarcasm intended) – the […]

10 Jan 2011

Wisdom Tree’s “first ever” Managed Futures ETF… WTF?

We found it quite interesting that Wisdom Tree was trumpeting its release of a new ETF last week as the first ever managed futures ETF (you can find it on the middle/left/bottom of their home page, given that: It doesn’t invest in ‘Managed Futures’ at all, and instead merely follows the S&P Diversified Trends […]

11 Jan 2011

Managed Futures Outlook – 2011

A few million brain cells later… we’re done with our 2011 Managed Futures Outlook. You can view it here: We take a look at the main drivers of performance in 2010, including whether volatility was expanding or contracting, the correlation of commodities with the US Dollar, whether markets returned to trading on fundamental factors, […]

13 Jan 2011

Great Read = “More Money than God”

Just finished one of the books I received over the holidays – Sebastian Mallaby’s:  More Money Than God: Hedge Funds and the Making of a New Elite (Council on Foreign Relations Books (Penguin Press),  and I highly recommend it for anyone in or around the business of managing money, or having their money managed for them. […]

14 Jan 2011

Weekend Reads…

What we’re reading heading into the long weekend (most markets are closed on Monday thanks to MLK holiday in the US) MLK-Day market hours: (CME) Forex Brokers Draw Scrutiny (WSJ) Manager Selection: Getting it Right (Financial Advisor) FBI Arrests commodities trader for threats against NFA, CFTC, FINRA,  and SEC (CNNmoney) Food Inflation: Retail meat prices […]

18 Jan 2011

2010 Asset Class Scoreboard

We finally got the Dow Jones/Credit Suisse Hedge Index data from December, enabling us to update the asset class scoreboard for all of 2010. The results are as follows… [past performance is not necessarily indicative of future results] Key: Managed Futures = Dow Jones Credit Suisse CTA Index, Cash = 3 mo T-Bill rate, Bonds […]

20 Jan 2011

How can $1.8 Billion be so wrong on USO, the crude oil ETF

Following our last post in which we mentioned how commodities were down in 2010 based on energy being flat and the problem of cost of carry/contango – we had a client asking us to update our chart on the spot price of Crude Oil versus the performance of USO, the ETF which is supposed to […]

21 Jan 2011

Weekend Reads…

Not much work happening in Chicago today with the pending Bears vs Packers showdown on Sunday….. but a few articles catching our fancy this week you may want to check out… Gold net Longs hit lowest since July 09 (The Big Picture) MF Global Settles Lawsuit Related to 2008 Wheat Loss (Bloomberg) Managed futures strategies […]