It’s strange to think that it’s been a year since the devastating earthquake first hit Japan, sending the markets roiling as a catastrophic tsunami followed up the initial destruction in Mother Nature’s 1-2 punch (with a little manmade flavor added by the nuclear reactor meltdown). At the time, the silver lining to the disaster was that it seemed like the perfect set-up to let managed futures shine via their historic crisis performance. Unfortunately for managed futures investors (but fortunately for the rest of the world), the tsunami and nuclear meltdown never turned into the full blown global economic crisis many at the time predicted it would.
Category: Macro Commentary
09
Mar
2012
The Bull Turns Three
As you have no doubt seen in any number of places online and off already today – March 9th marks the three year anniversary of the global asset rally which began on March 9th, 2009 – as ugly a day for investors as you will find, with US stock markets closing at a 12 year low after having lost over 50% of their value in just over a year and a half. It really seemed like the end of the (financial) world.
Today the rally off of the 2009 low turns three, and talk about this birthday has been popular among the main financial news networks. Not one to skip out on the trend, we decided look at how the markets typically tracked by managed futures programs have done since the so called “market” hit its financial crisis lows.
08
Mar
2012
Will Some Good Come out of MF Madness?
A piece snuck up on Reuters last week outlining some of the points being held at the CFTC roundtable on how to better protect customer funds in light of the MF Global bankruptcy. There are some good points here, several of which echo what we’ve been saying for months: the industry as a whole needs to step up and restore MF clients funds in the name of saving the industry.
08
Mar
2012
The Volatility of Non-Farm Payroll Days
Tomorrow the US employment report (non-farm payrolls) for February will be released. Every month (usually on the first Friday of the month) the Bureau of Labor Statistics publishes these numbers, and they’re generally watched very closely. As traders, we’ve been told to fear the volatility of NFP days. We run the numbers to see if there’s reason to be nervous.
06
Mar
2012
The boom falling on the Nasdaq?
While Kid Dynamite likened the S&P 500 chart action to “Hulkamania” recently, we’ve been calling the Nasdaq action here in the office a ‘Boom Crane formation’ – and waiting for the point when the boom starts falling. Or more correctly for those in the crane business – waiting to see just how low the main hook block on the end falls once the crane operators decide to lower the hoist line and try and pick some stuff up down below.
02
Mar
2012
Asset Class Scoreboard- February 2012
All the numbers are finally in, so it’s time to update our asset class scoreboard for February. The new year jubilation does not appear to have worn off, as our scoreboard is showing higher year-to-date gains than in January for every category except for US Real Estate. (Disclaimer: Past performance is not necessarily indicative of future results.) The impressive 2012 rally in stocks has carried commodity prices higher, while hedge funds and managed futures have only managed to capture of portion of those gains. How long until this 2012 rally ends is anyone’s guess, but some sectors are definitely enjoying it more than others until then.
02
Mar
2012
Rydex and Wisdom Tree Managed Futures Products- February 2012
The first Friday of every month is when the US employment report (non-farm payrolls) is released. As traders, we’ve all been told to fear the volatility of NFP days. Why? The idea is that this announcement moves markets when unemployment is high because there is a desire for more employment to spur the economy – with more people working there will be more consumption, higher GDP, higher taxes, etc…
On the flip side, when unemployment low, there is a desire for less employment so that demand-pull inflation doesn’t set in ala the Phillips curve (if everyone is making good money, they’ll bid up the prices for goods and services). So, 7:00 AM CST on these Fridays is usually expected to be a volatile time for bond markets (as well as Crude and other risk on/off assets at times) – the theory being that if employment is a canary in the coal mine for problems, Fed actions will follow shortly thereafter to correct imbalances. We wanted to see how this bears out in practice…
01
Mar
2012
Say Hello to Sunrise Capital
It’s always nice to sit down and meet with CTAs face-to-face. It goes back to that qualitative element of due diligence in managed futures that Attain emphasizes. We’re not going to recommend a program that we can’t express faith in, and nothing can solidify (or decimate) faith in a program the way looking a manager in the eye does.
Such was the case in yesterday’s meeting with the folks from Sunrise Capital. A larger ($10 million minimum) program based in San Diego, Sunrise is no stranger to the managed futures space, with an extensive track record and attractive pedigree of staff. For us, though, the appeal is in the way they distinguish themselves from their peers. Their flagship program is, in some ways, a traditional trend following program that stems from manager Gary Davis’ and Rick Slaughter’s self-taught stylistics; in the case of Rick, since his college days. When it comes to industry reputation and reverence, they are in the Bill Eckhardt and Richard Dennis category, and were on the ground level as managed futures blossomed in the 1970’s. But that may be where the comparisons to industry stalwarts end, only because their risk management approach is so sophisticated and nuanced that it seems to put them in a category all their own.
13
Feb
2012
What a Falling BDI Indicates (Hint: Maybe not much)
We’ve been keeping an eye on the Baltic Dry Index (BDI). By keeping an eye on it, we mean watching it plummet faster than Kim Kardashian’s heart after getting turned down by Tebow. The theory is that as goes the BDI, so go commodity prices. But is this always they case? We ran the numbers to find out.
08
Feb
2012
MF Global Madness Catches Fire All Over Again
Riddle us this…
Let’s say you’re an insurance claims investigator. You’re looking into a case where a man’s home burnt down. Not only do you smell accelerant at the site of the fire, but you find out that the man took out a massive insurance policy on the residence just a few days before it burnt down. What’s your gut going to tell you?
On our side of it, we tend to believe that where there’s smoke, there’s fire, and since the futures industry watched Corzine torch the confidence of investors everywhere amidst scandalous claims of illegal-tasting (if not actually against the law) rehypothecation, we’ve been smelling gasoline. Turns out, it may have been with good reason.
