At the risk of being one of those people who throws a bunch of lines, arrows, and squares on a chart and says… look at this…we have re-created a chart of Crude Oil over the past 20 months to highlight how a classic trend following trade looks. While there are hundreds of different ways to […]
Category: Managed Futures
28
Feb
2011
Managed Futures up +0.85% to +1.25% in February
With the digital ink barely dry on the last trades of the month, we’re scanning the managers we follow on a daily basis – then extrapolating that onto the Newedge CTA index month to date return of +0.77% as of last Friday – to estimate that managed futures as an asset class finished February on […]
24
Feb
2011
What contango unwinding looks like…
While there has been much written about Crude Oil’s spike above $100 on the back of the news out of Libya, we haven’t seen much on what the spike has meant for the entire Crude “curve”, meaning the further out contract months (Crude has open interest all the way out to the December 2019 contract) […]
23
Feb
2011
Is $100 Crude Oil Good for Managed Futures?
Historically, a rapid increase in oil prices is a leading indicator of a pending world crisis. From the oil embargo of 1973, the 1982 Iraq/Iran war, Desert Storm, as well as the Economic Recession of 2008; all of these periods featured a significant increase in crude oil prices. Now with April Crude Oil futures rapidly […]
22
Feb
2011
Managed Futures Week in Review for the week of February 14th
In lieu of our newsletter which did not run yesterday due to President’s day we are posting our normal week in review on the blog. Also – we are thinking of making this a permanent feature of the blog, so please feel free to give us your feedback and let us know what you think. […]
17
Feb
2011
2011 Asset Class Scorecard – Round 1
The data has been compiled (finally!) and it is time to see how the various asset classes stack up performance wise so far in 2011. With stocks on a tear, it does not surprise us to see that US Real Estate, US Stocks, and World Stocks at the top of the list. For real estate, […]
16
Feb
2011
Data just in – Managed Futures End 2010 as hedge fund strategy with most assets under management
Last September, we were the first to report that Managed Futures had skyrocketed to the #1 hedge fund strategy in terms of assets under management (blog post), according to data collected by Barclay Hedge, with $223 Billion in total assets vs the massive $1.7 Trillion Hedge Fund industry. As we fast forward to the end […]
15
Feb
2011
Newsletter: Why your diversification strategy probably won’t work
Heavyweight Welton Investment Corp. (1/2 a billion under mgmt., 13% comp. ROR, -12% Max DD) was nice enough to let us post their excellent research piece on the error prone current asset allocation method of diversifying, in our newsletter last night. You can read the full piece here: Diversification, Often Discussed, but Frequently Misunderstood – by […]
10
Feb
2011
Softs say..what about me?
After highlighting the grain markets posting fresh 2.5 year highs yesterday (and then seeing them promptly sell off), the Softs staged a rally of their own today to push them to 13 to near 30 year highs (and Bernanke is still claiming no inflation?) One odd thing concerning managed futures… While nearly every systematic multi-market […]
09
Feb
2011
Corn, Wheat, Soybeans at fresh 1 to 2.5 year highs benefiting Managed Futures
We mentioned in our 2011 Managed Futures Outlook how it may be tough for managed futures to see gains this year from further upside moves, but the entire grain complex is proving us wrong over the past several weeks, and again today – with the grain complex making fresh 1 to 2.5 year highs today […]
