It’s hard to concentrate too hard in Chicago today, you know – with the Bears and Packers facing off for the 195th time at Soldier Field tonight and the NFL taking over half the city in the hours-long buildup. If you want to talk a good long term investment, Halas bought the Bears for about $100 per a CBS video hyping the rivalry a few years ago:
The Bears/Packers rivalry goes back almost 100 years. Our #TNF tease, narrated by @MichaelKeaton, reenacts how it all began. pic.twitter.com/OoN8TMNgwk
— CBS Sports (@CBSSports) September 28, 2017
But as excited as we are for the Bears to be back, what we’re really more excited about is systematic programs like managed futures and global macro staging their best run in years. How good? Well, this is the best YTD return the SocGen CTA index has posted through August since 2000 (your basic 20 years).
August 2019 | 12.28% |
August 2002 | 11.94% |
August 2003 | 10.44% |
August 2010 | 4.65% |
August 2014 | 4.08% |
August 2008 | 3.45% |
August 2001 | 2.68% |
August 2016 | 2.17% |
August 2012 | 1.04% |
August 2007 | 0.06% |
That’s impressive in and of itself, but more so when you consider that the average YTD performance as of August over the past 4 years has been a dismal -0.64%. It’s hard to put in a great year when you’re not even above water after eight months, even if the asset class is known to out perform in the second half of the year. Now, we’re as hesitant as any to say this is the start of something real, and that all the too big, too automated, too whipsaw’y, too everything theories on why trend following type strategies won’t work anymore has been permanently debunked. Mostly, we don’t want to jinx it. But as we’ve said many times before. Multi-market systematic trading that relies on directional momentum isn’t magic. The big star hedge fund managers in this space didn’t suddenly get their groove back a la Stella. The simple truth is that trends have emerged. Especially in fixed income, as global interest rates have been decimated through the first eight months of the year in a global rush to go negative. Here’s the SocGen trend indicator with the breakdown, showing Bonds a huge YTD contributor, offsetting losses in commodities and equities.
And all of this happening while stocks have been a little shaky, well – again that’s confusing non correlation with negative correlation, but we’ll take it.
P.S. Check out our Football Fan’s Guide to Investing. Nothing more fitting for a day like today..