The Best and Worst of Futures Markets in 2015

You don’t need to be an expert in roll yields, cost of production, and South American Wheat supply to know that commodity markets plummeted in 2015. Most of the flak from financial media came from the energy markets (Crude down another 37.05% this year, Natural Gas Near all Time Lows), but there was more to the sell off than just energies  as you can see in the graphic below. Coffee, Wheat, and metals were particularly hard hit, to name a few.

[Please note – Finviz does some weird things around contract rolls, which can make their percentage gains over longer periods different than what would be found using a continuous contract or the cash/spot market, nonetheless, we feel it is representative of each market’s 2015 movements]:

Finviz TYD performance(Disclaimer: Past performance is not necessarily indicative of future results)
Chart Courtesy: Finviz 

Observations on the 41 futures markets tracked by FinViz:

  • 64% of futures markets ended in the red for 2015
  • More than half of the markets ended either up or down in the double digits, suggesting the markets were as volatile as we thought they were.
  • There were only 5 non financial markets up on the year (the majority that ended positive were either Stock or bond futures).
  • Whoever had Canola Oil as the top market in 2015 deserves a prize – it had the biggest upward move at +12%.
  • The metal sector took a beating in 2015, with the average move at -21.64% (Gold, Silver, Copper, Platinum, and Palladium), and most of the metals at 5-6 year lows.
  • The energy markets dominate the biggest moves down on the year (not a shocker) representing bottom 4 markets (Natural Gas, WTI, Heating Oil, and Brent).

The biggest question we face going into 2016 is how much longer can this downtrend in the commodity markets last? Not many people would have told you that Crude would have continued to lose an additional 30% in 2015 after losing 45% in 2014. Will metals continue to hit new multi-year lows? Is El Nino going to hurt or help the grain markets?

It will be fun to watch it all unfold in the New Year, but our little secret in the systematic world is we’re not even looking for the answers to those questions.  Prices will move up and move down, and systematic models will capture what movement they can, without an opinion on the drought in California or what OPEC is doing.

All the best for a Happy (and prosperous) New Year!

 

One comment

  1. […] Long canola oil, short crude oil was a great trade in 2015. (managed-futures-blog.attaincapital) […]

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Disclaimer
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.

Disclaimer
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.