While we are in the office today working during the Columbus Day Holiday (sorry Columbus), there will not be a Monday night newsletter this week due to a few members of our team at an Alternative Investment Conference today. In its place, we’ll give you a hodgepodge of items: 1. Link to Futures Magazine article […]
Category: Managed Futures
05
Oct
2010
Newsletter: Analyzing MF Drawdown, Recovery, & Run-Up Cycles
Our Monday night newsletter is up at: https://bit.ly/cvOBAf. Of particular interest given the current environment of systematic multi-market managers making new highs while option selling managers struggle with drawdowns for the first time since 2008 is the following paragraph: It is interesting to note the contrast between the long volatility programs with their long drawdown/short […]
01
Oct
2010
Managed Futures finish Q3 on up note
We are estimating the various managed futures indices finished September up between 1.25% and 3%. [The NewEdge CTA Index was sitting at +1.56% through 9/29 (and likely gave some profits back on grain, gold, and currency reversals on 9/30). This would put the Q3 gains for managed futures at about 4.3%, marking the best performance […]
24
Sep
2010
The trend is your friend….except when it isn’t
Several multi-market trend following strategies are enjoying a strong month in September thanks to extended moves in grains, metals, foreign currencies, and stock index futures. And while these trends have been great for managers like Covenant Capital & Robinson – Langley (both up approximately 8% for the month), these markets have been nasty for short […]
22
Sep
2010
Managed Futures end Q2-10 as hedge fund strategy with most assets under management
Managed Futures and their measly $223 Billion in total assets under management are often swept under the rug as insignificant by industry experts in comparison to the massive $1.7 Trillion Hedge Fund industry. But there is one little quirk in those statistics…. the hedge fund number actually includes the managed futures amount, as managed futures […]
21
Sep
2010
Newsletter: Managed Futures shine on Rolling 3yr ROR
This week’s newsletter is up: https://bit.ly/buDxLD We look at the various asset classes YTD, plus crunch data on rolling 3 year returns across the various asset classes to see who has the best ‘worst’ 3 yr rolling returns. Past Performance is Not Necessarily Indicative of Future Results
14
Sep
2010
How should Managed Futures do… if a) there is a Bond Bubble, and b) it bursts?
With US 30yr bonds down about 4.5%, US 10yrs down about -3%, and Euro Bunds down -2.8% since their end of August high, the possibility exists that the top may be in for bonds. If that turns out to be the case, and the bond rally does end up being a bubble – there looks […]
08
Sep
2010
Oil Contango Continues To Hurt Index Funds; Helps Calendar Spread Traders
The contango conditions in Crude Oil futures that have been a real hindrance to commodity ETF’s (USO for example) continued to widen in August according to a recent Bloomberg article. Contango is little more than a fancy word for explaining a futures contract curve where the further out contract months are more expensive than the […]
31
Aug
2010
The Emerging Manager Conundrum:
Finding up and coming talent (investments) is a tough task in any asset class, and not unique to just emerging managed futures programs. But as we alluded to in our newsletter comparing large and emerging managed futures programs, there is a need to find such up and comers due to larger managers returns tending to […]
27
Aug
2010
Are commodities decoupling from stocks – Managed Futures hope so
With Wheat and Corn making new highs recently while stocks remain in a soft period, at best – it seems that the high correlation between commodities and the stock market may be coming undone a bit… which should help managed futures programs. We decided to take a closer look – and ended up doing the […]
