Not too long ago we wrote about how Chinese futures volumes had joined the BILLION contracts club, of interest to us in that we’ve been involved for a few years now on getting US and European quant models implemented on these exact Chinese markets for Chinese investors. The idea is that the nascent (but quickly […]
Category: Macro Commentary
24
Apr
2020
26
Jun
2019
Up is down, forwards is backwards, Alpha is Beta
The good folks over at Transtrend (the 12th largest managed futures program in our top 100 managers infographic) are out with a new research piece via the CME that throws the whole Alpha concept out the window. They agree with the classical definition of Alpha as the amount of return not explained by the chosen […]
03
Apr
2020
Trading Commodity Volatility: A woman’s perspective on The Derivative
Trading commodity volatility is a unique topic all on its own, but add in hedge fund manager Kimberly Rios, and you’ve got what we calculated as a 1 in 10,000 manager; how’s that for unique? Kimberly heads up the Catalyst Hedged Futures Strategy Fund and trades in and out of different volatility regimes in the […]
25
Mar
2020
S&P Down, VIX Down – what gives?
If anyone doesn’t know yet based off this month, and VIXmageddon in 2018, and the 2008 financial crisis – the VIX, or fear index as it’s known to have been called from time to time, rises quite rapidly when the stock market falls. There are all sorts of reasons for this, but the primary one […]
23
Mar
2020
Capturing the Global Sell-Off with Deep Field Capital on The Derivative
With seemingly insane bouts of market volatility making headlines for more than a month now, with this company and that strategy losing double digit percentages as markets continue to fall; our team has been fielding a ton of callings asking who’s been capturing a crazy market like this. We’ve also somehow found the time to […]
04
Mar
2020
How’s your (Alts) Portfolio Doing?
Last week was a great time to look in the (portfolio) mirror and ask yourself what you see. As Taylor Pearson of Mutiny put it succinctly on Twitter: If the stock market dropping 5% causes you to freak out, it’s probably a good time to re-evaluate either/both: 1. The effectiveness of your portfolio’s diversification 2. […]
25
Feb
2020
5th Biggest VIX spike past 20 years?
Did that feel like the 5th scariest day in the markets the past 20 years to anyone? Sure didn’t here in our shop, with groups like Breakout Funds, Deepfield, and others scoring gains on the Covid-19 fueled sell off. But the VIX saw it’s 5th largest spike on a daily basis in the past 20 […]
04
Feb
2020
Move over Bitcoin – $TSLA is here
Maybe you’re one of those passive investors who doesn’t follow individual names… Maybe you’ve been stuck on an island talking to a volleyball. Whatever your reason – if you haven’t seen the price action in Tesla $TSLA shares this year – you’re missing one heck of a show. It’s like 400 million people in China […]
22
Jan
2020
Will we ever stop talking about the VIX?
We’re honestly not totally sure if we’ll ever stop talking about the VIX. We correctly guessed (not that hard) the VIX was going to be a big part of the 2019 conversation, and we’re back 365 days later in our Managed Futures Outlook 2020 talking about it again: … did anything really change in terms […]
16
Jan
2020
Why Politics and Systematic Trading Don’t Mix
In an outtake from our Managed Futures Outlook 2020 – we can’t ignore the effect that politics have had on systematic trading programs over the past year or so. Something that could take a toll in the year to come…. Trade wars, new presidents and new economic policies or the impending Brexit vote will have […]
