Whenever we need a pick me up or something to brighten our day, the underperformance of commodity ETF’s usually does the trick. But the ETF’s have held in there remarkably well so far this year against a simple strategy of buy and hold the December futures contract and roll it annually (down just 26 basis points on average). The real story, however, is the underperformance of either long only strategy.
Category: Macro Commentary
29
Aug
2013
Finviz: We Love You, You’re Perfect, Now Change
Dear Finviz, Whenever we need a quick glimpse of the futures markets, we know we can count on you. But as we’ve mentioned, the futures side needs some work. For instance, you’re missing some of the most heavily traded contracts in the world, by only displaying two Bond futures markets. If we can be so bold – we’ve come up with an alternative layout which would do just the thing. What do you think about adding these new markets and adjusting the layout! This user, for one – would be an even more loyal fan!
27
Aug
2013
The $48 Million Platinum Payout
It’s not every day you see a Forbes 400 Member settle a class action suit surrounding market manipulation – but that was exactly what’s happened. Futures Industry ‘Hall of Famer’ Louis Moore Bacon’s firm Moore Capital has agreed to pay $48 Million to settle allegations of manipulating Platinum and Palladium prices. There’s no knowing what really happened, either way if you traded Platinum and Palladium why not submit your claim for part of it.
26
Aug
2013
The “Bond King” coming to Managed Futures
Look out Managed Futures! Here comes the Bond King! Bill Gross is buying the drawdown in managed futures…well sort of. Pimco has filed papers with the SEC to open a Managed Futures Mutual Fund. While we are never too found of these mutual funds, it’s a little early to pass judgment. So what’s Bill Gross’s reason to invest in Managed Futures right now?
22
Aug
2013
Goldfinger, Gold iPhone, and Gold Backwardation!
Our society hasn’t lost its obsession with that shinny medal just yet. First Apple is in talks of a gold iPhone, and a great piece on Slate’s Blog MoneyBox talking about the political and economic undertones on the James Bond Classic: Goldfinger. Was this a classic Bond film with the ejector seat car, or a movie about the Bretton-Woods system of semi-fixed exchange rates restricting British citizens from buying and storing large quantities of gold. The piece draws some eerie parallels with today, noting that Labour Party Prime Minister Harold Wilson.
21
Aug
2013
EuroDollars: the Biggest Market You’ve Never Heard of
What’s the most common futures market in nearly every managed futures portfolio we run across? The Eurodollar. While many mistake it as the official currency of the European Union, it actually refers to the US dollars deposited abroad. EuroDollar futures contracts are derivatives on the interest rate paid on those deposits. So why are million’s of these contracts being traded a day?
16
Aug
2013
Zilmax doing zilcho to Cattle futures?
Organic food lovers and animal rights activists alike are celebrating after a domino effect of large players doing away with the growth inducing drug Zilmax, partially because the cattle were so big they struggled to move. While this hasn’t effected cattle futures, one meat trader we work with put in a position due to the news. Here’s the logic behind it all.
14
Aug
2013
John Henry buying the Newspaper Drawdown?
John Henry must not be hurting too bad from his eponymous managed futures program’s closing down in 2012, as the futures industry hall of famer recently made headlines for buying the Boston Globe from the New York Times for $70 Million. And while the days of hearing John Henry’s name mentioned alongside managed futures or commodities trading are most likely done with, it was nice to see a few publications thrust managed futures into the spotlight
06
Aug
2013
The ‘Problem’ with Liquid Alternatives – in one nice Table
Adding ‘alternatives’ to your portfolio has never been as easy as today with the plethora of so called ‘liquid alternatives’, or mutual funds specializing in alternative investments such as mutual funds, which has made it even easier to separate the naive from their money. Principal Group explains all you ever need to know about managed futures in your portfolio in just a couple sentences. (heavy on the sarcasm).
06
Aug
2013
Forget the VIX – look at Global Market Volatility
Our friends at Chadwick Investment Group are out with a short research piece talking about how the VIX doesn’t really get the job done for analyzing whether the volatility environment is good or bad for managed futures:. The rest of their piece is a nice ‘back to the basics’ look at how volatility in multiple markets affects trend following returns, including some charts showing global volatility back near pre-crisis 2007 levels. Here’s to hoping that is a spring being loaded up with tension about to pop like it did in 2008…
