As corn surges higher and higher on the back of last week’s USDA report which showed low inventory levels, the CME has raised margins 16% to ensure that participants in this rally are able to handle the rapid movements. Some people see margin raises as an attempt to curb speculation and lower prices, but that […]
Category: Managed Futures
04
Apr
2011
When to Risk a Lot for a Little
While we’re not necessarily big believers in trades through which you risk a lot to make a little ($5,000 to make $500 for example); there are many believers in such strategies (Warren Buffet is one through the puts he sold in 2008 and his insurance units, which are in essence a big premium collection program). And […]
01
Apr
2011
We estimate Managed Futures down -1.65% in March
We’re looking at managed futures having ended March down about -1.65%, using a combination of data from the Newedge CTA index and the CTAs that we track on a daily basis The losses were driven by the sharp sell off in stocks, currencies, and commodities (and rise in bonds and Jap Yen) following the […]
31
Mar
2011
Are limit moves all that scary for managed futures programs?
The USDA Crop Report out today is causing spikes higher in the grain complex, with Corn limit up (+30¢) on the news that corn stocks are at their lowest levels since the mid-1990s. The US is currently sitting on what amounts to two weeks of corn in reserves. (Yikes) We often get questions from investors […]
29
Mar
2011
Lessons Learned from 37 Years of Futures Trading
Our newsletter for the week is up, and this time around, we’re taking a break from our traditional analysis to pay tribute to Ms. Barbara Mueller- an institution in the industry who is heading into retirement. It has been an honor to work with someone as knowledgeable, talented and motivated as Barbara, and here she provides […]
22
Mar
2011
Expected v. Realized Returns in Managed Futures
Our weekly newsletter is up here, analyzing how expectations impact the investing experience and decission making paradigm. Confused? Think about it this way: for those who first set sight on the Mona Lisa or ate at the best restaurant in town and felt underwhelmed, asking yourself what the big deal is; or conversely have been […]
17
Mar
2011
Asset Class Scorecard Through Feb 2011
With Dow Jones Credit Suisse posting their hedge fund and managed futures indices this week, we’re able to update our asset class scorecard through the end of February, although with recent activity this is likely to look much different when March’s numbers are tallied. Key: estimates as of 02/28/11 Managed Futures = Dow Jones […]
17
Mar
2011
A different kind of March Madness…
After a volatile few days of trading, with commodities selling off sharply (before rallying back today), stock markets going negative on the year, and the yen rallying to the highest levels seen since World War II, we took a minute to see how the various managed futures strategies we track have done through the madness… […]
16
Mar
2011
No Reason to Abandon Ship
There was the ultra-rare mention of managed futures on CNBC yesterday when they had on Susan Roberts of R.G. Niederhoffer Capital Management to discuss market movements in the wake of the Japan quake. (click here for the video) After explaining that we are exiting a period of historically low volatility levels, and mishandling the definition […]
15
Mar
2011
About that crisis period performance for Managed Futures…
We have long trumpeted the power of managed futures to perform in a crisis (see here), but are looking at a lot of red for managed futures today… down -2% to -2.5% as an asset class by our estimate. And this is on top of monthly losses of about -1% for the Newedge CTA index […]
