Don’t look now, but commodities continue to lead the asset class scoreboard in 2018, as rising crude prices and a bounce in the US Dollar Index lead the charge. This comes as Goldman Sachs is announcing to investors there’s no reason to fear commodities anymore as rising interest rates could make the rally in commodities […]
Category: Managed Futures
30
Apr
2018
The Silver Lining in Rising Interest Rates
While a classic trend follower may look at the chart below and see a good trade, sophisticated investors understand that there’s actually TWO trades going on for managed futures in a rising interest rate environment.
24
Apr
2018
Top 10 Managed Futures Programs in March
If you ignore risk metrics, RCM’s due diligence, and exclusively sort by returns only, these are the Top 10 Managed Futures programs in March.
17
Apr
2018
Three Alternative Funds Walk into a Bar
The concept here is easy to understand – that a cheaper price tag doesn’t mean you’re getting the cheaper price. Turns out, when buying milk or just about anything else – you can pay less (per unit) by paying more for a larger quantity.
11
Apr
2018
What funds remain Highly Ranked after February’s Stress Test?
Hindsight is 20/20 and performance is not necessarily indicative of future results, but one of the worst months in Managed Futures history is an opportunity to see who continues to walk the walk.
03
Apr
2018
Q1 Asset Class Scoreboard
The market went through a major move (in February) but the recovery wasn’t enough.
02
Apr
2018
Launching a Futures Contract is Hard
How are all these newcomers to the futures markets faring?
22
Mar
2018
What’s wrong with AQR – Part II
Which brings us back to needing to judge performance in relative terms, not just in a vacuum. It’s more than fair to say that AQR’s been in a pretty bad environment for a long volatility type strategy – you know, with all that record low volatility and 105 straight days without a sell-off of more than -1% in the S&P and the like.
13
Mar
2018
Why Large Losses (& Gains) come out of Low Vol periods
The rub is… when volatility is so low, across nearly every asset class – systematic trading models tend to put on larger and larger position sizes to normalize the risk and profit potential in relation to other markets and other time periods
12
Mar
2018
Is the CTA Sky Falling (Again)?
Are CTAs forever skewed towards short volatility strategies, negative skew, and positive S&P correlation? There’s no denying the huge correlation at the end of January and early February.
