Managed Futures end Q3 with 0.50% gain in September


As September ends, so does the third quarter of 2011.  According to Newedge’s numbers, managed futures was up 0.50% for the month, bringing it to -1.79% year to date.

In looking back at Q3, it was a bit of a roller coaster ride for managed futures investors.  The European Debt Crisis continues to weigh heavily on the markets, including foreign currencies, which have seen significant intervention as nations scramble to protect their economy. Here in the US, the bond market continues to flex its muscles as the Fed now seems intent on rallying the long end higher. Overall, these sure feel like the most difficult market conditions since 2008, when the world was brought to its knees thanks to the financial crisis (it could easily be argued that the ’08 chapter was just the first act and we’re still in the financial crisis).

For most managed futures investors, the last 3 months have been okay (but not great).  Long volatility programs saw initial losses as the leg down in commodities and stock markets was a trend reversal, yet are now in line with the trend lower, while short volatility option sellers and discretionary traders had a very rough quarter due to the exploding volatility.   The first signs of trouble for discretionary traders came in July with Dighton Capital closing the month down -32% as they held short in the Swiss Franc while it screamed upward. Alas, that trade has become the poster child for why mean reversion strategies don’t work. Meanwhile, option sellers saw their day of reckoning in August when short volatility traders stepped in front of the proverbial volatility freight train. Thankfully, FCI and the other short volatility programs we track, including Cervino and White River, where able to stop the bleeding and bounce back with a strong month of trading in September.

On the other side of the spectrum, most multi-market traders posted strong numbers in Q3 as traders took advantage of strong trends in bonds, precious metals, grains, and foreign currencies. Top performing managers in the trend following spectrum included Clarke Capital, which saw gains in the Worldwide, Global Basic, and Global Magnum programs in all 3 months of the quarter. Unfortunately, short term multi-market traders did not do as well, with programs like Bouchard Capital Management and Dominion Sapphire struggling for most of the quarter.

The top performing sector overall was our “catch all” category called specialty, which includes mostly single market and/or sector specific traders that we don’t want to lump into the multi-market sector.  Top performing programs in this sector for the quarter included 2100 Xenon Fixed Income, which took advantage of the upward trend in bonds, as well as PE Investments Standard, which saw success shorting foreign currencies over the last two months.  Both of these programs stepped up to the plate and showed what makes them a valuable addition to a managed futures portfolio in what was otherwise a very turbulent quarter.

What will the 4th quarter bring? With no end to current market volatility in sight,  we’ll have to wait and see.

Write a Comment

The performance data displayed herein is compiled from various sources, including BarclayHedge, RCM's own estimates of performance based on account managed by advisors on its books, 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.