July 28, 2011
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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.
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.
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November 22, 2011
Very nicely said!!! Thanks for your insite.