The Managed Futures Landscape

Although we’re a few weeks past the end of the 2nd quarter and midpoint of the year (and embroiled in the debt ceiling drama), we managed to sneak in a little time to update the charts and graphs measuring the various components which drive managed futures performance found in our 2011 Managed Futures Outlook.

First up, how many markets have seen their volatility increase versus decrease year over year – which has been a very good lagging indicator for whether managed futures were in a good or bad environment (2008 and 2009 being the prime examples)?  Surprisingly, with managed futures down for the year, it has been a very good environment for managed futures in this regard – with the majority of markets seeing volatility expansion as compared to 2010 (as measured by the change in the Average True Range).

Next, the average percentage of trending days across a proxy portfolio comprised of markets in 5 different sectors (Crude, Soybeans, S&P 500, Dollar Index, 30yr Bonds, and Copper).  This too, appears to be showing a beneficial environment for managed futures – with our proxy portfolio trending nearly 50% of the time, yet managed futures aren’t responding??  The red arrow below shows the disconnect.

And finally, a look at whether we appear to be in a giant risk on/risk off trade, or whether commodity markets are moving separately from the US Dollar.  This, again, is shaping up to the good for managed futures – with us well off the extreme levels seen in 2009 and early 2010, at a more normal average of about 0.20.

What gives?  These three indicators are moving in the right direction and at beneficial levels, yet managed futures as a whole is down slightly for the year.  Is it because the trendiness has occurred in the same direction (a sort of carryover from 2010)? Or because, despite the trendiness, there were two sharp reversals (one in March, one in May) which hit programs?  Or simply because 6 months does not tell the story for the whole year?  We’ve got more questions than answers.

One comment

  1. Very nicely said!!! Thanks for your insite.

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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.

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.

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.

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.

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.

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.

See the full terms of use and risk disclaimer here.