The financial world is abuzz lately, attempting to decipher what exactly record levels of NYSE margin debt means for the future of the stock market rally. The numbers are a little scary at first glance, but is this a premonition for a surge in the market before a flop, or a repeat of one of the best bull markets in existence?
Category: Macro Commentary
28
Oct
2013
Why Commodities Give you an Ulcer (Index)?
Next up on our quest to analyze measurement of risk is the Ulcer Index. Given its name, the index measures the downside volatility, frequency of losses, magnitude of drawdown, and length of drawdown together into one number, measuring the overall pain an investor would have felt. We then apply this index to all the asset classes to see how they compare.
21
Oct
2013
No, Bloomberg, the managed futures industry is not a scam
Is the managed futures industry a scam? Bloomberg would surely have you think so with the headline “How Investors Lose 89% of Gains from Futures Funds.” Now we couldn’t agree more that the 63 funds (sold by Wall Street) they reviewed are bad for investors. But that’s not the overwhelming majority of the managed futures industry. Check out our complete rebuttal of Bloomberg’s article
18
Oct
2013
Made up Trading Aphorisms
If there’s one space where the finance world can let loose and have some fun, it’s twitter… especially on Friday with a catchy hashtag. What better way to poke a little fun at all the “sayings” that are questionable then to create a hashtag “#completelymadeuptradingaphorism.” Here are some of our favorites:
15
Oct
2013
YTD Asset Scoreboard
How are asset classes looking Year To Date? Both U.S. Stocks and World Stocks surged in September to remain at the top of the scoreboard. Meanwhile, Managed Futures continues to slip lower in the rankings, Elsewhere, buying and holding Commodities isn’t fairing well; with September’s numbers bringing it back into the red, while real estate (at least by our measure) remains down for the year.
14
Oct
2013
Question: “What percentage of the futures industry is represented by CTA’s?”
We received this question from one of our readers the other day, and it’s a deceivingly simple little question that’s a lot more difficult to answer than you might think. For starters, do you mean how much AUM does managed futures hold? Is that after applying notional funding? What about Managed futures compared to the rest of the futures industry when it comes to trading volume? We break down the numbers.
10
Oct
2013
2 Charts of the Day: The 1790’s Credit Default and Crude Oil Self Correlation
It’s a great day for our weekly chart of the week. Business Insider features the most important charts in the world, one comparing the correlation of three separate WTI Crude Oil contracts, and a chart comparing the alleged debt ceiling “crisis” with our nation’s situation in the 1790’s. Enjoy.
08
Oct
2013
The 2 Important Drawdown Measurements: How Deep, How Long?
We’ve been frequently discussing drawdowns in the managed futures space… and that got us thinking, even though the finance world commonly tosses around the word drawdown, does everyone know the difference between the Drawdown figures commonly tossed around (-25%, -12%, etc) and the Drawdown Duration – which is measured in months, not percentages? And even then, are they using the Max Drawdown Duration in the right context?
07
Oct
2013
Active vs Passive Commodity Exposure — September
Our monthly chart tracking various commodity futures and their ETF’s counterparts is out. We compare them side by side as if you were buying and holding each one since the beginning of the year. But the key for us is looking at how long/short commodities (or tactical commodities, or active commodities – as they are sometimes called) fared against this buy and hold strategy . Take a look.
04
Oct
2013
3 Reasons XLE isn’t the Inflation Hedge you’re looking for
We’re not regular readers of the Seattle times, but when a client saw managed futures mentioned in a recent Q&A in the investing section – they pointed us to the piece… The reader says they were considering investing in managed futures, but wanted the columnists’ advice first. The columnist responds by stating that managed accounts are only good for managers and not for anyone else, instead suggesting investing in the XLE energy based ETF. Let’s take a look at a side by side comparison to see which one is better, shall we?
