A not so happy Columbus Day for managed futures…

In what should have been a nothing-type of day, with just minimal moves if any in those markets that are open on this US Bank holiday day in US;  today’s green across the board is not what most managed futures programs wanted to see.

The May and June sell off in stocks and commodities stopped most programs out of long trades. Then the July and August moves lower moved many programs short so called ‘risk on’ markets. Then, the early October push to new lows put programs into any short positions that hadn’t been initiated yet (like  short Platinum and Aussie Dollar).

And now we’re here staring a not insignificant trend reversal in the face, with nearly every market green below held short by managed futures programs; and those markets CTAs are holding long (bonds) the only markets in the red today.

Source: finviz.com

The good news – one day does not make a new trend.  And while up today, we remain well below the September highs for most of these markets, as well as below the 80-100d moving average of prices (a general level most CTAs use as a trigger to tell when a trend is over).

In fact, despite the Goldman Sachs Commodity Index being up about 2.25% today and up 8% from its 10/04 close, it still has about 7% to go until it hits the 100day moving average; meaning we would need about three more days like this before we start to see some exits among systematic multi-market (trend following type) managed futures programs. [disclaimer: stops can not guarantee an order is executed at the desired price]

Source: TradeStation

So, while this move is causing some pain today for systematic multi-market programs holding short the bulk of these markets,  the move is in character with we expect in managed futures – where the norm is more of three steps forward, two steps back, three steps forward, two steps back, and so on.

We simply don’t know at this point whether this is the start of a real trend reversal which would likely trigger October losses for many managed futures programs and the asset class as a whole; or just one of those two steps back. Stay tuned.

Write a Comment

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.