Managed futures has a history of strong 2nd half performance, and it returned to form a little with a positive October performance of +1.28% according to the BarclayHedge BTOP 50 Index. Now all we need is a couple more months like that in November and December to push the asset class positive for the year. Here’s the performance for the main managed futures indices YTD.
Category: Managed Futures
01
Nov
2013
John Henry and Red Sox: From Zero to Hero
For obvious reasons, it brings us much joy to watch Managed Futures Legend John Henry hoist up the World Series Championship trophy earlier this week in Boston. This is a team that finished last in the AL East last year to champions. This got us to thinking – can Managed Futures do the same thing? Can they go from zero to hero, worst to first, and all those other clichés? They sure can.
31
Oct
2013
Chart of the Week: Hedge Fund Asset Growth
Last month, we spent time discussing the “real” growth of Managed Futures AUM (here). That left us wondering what the growth of Hedge Funds looks like dating back to 1995… Luckily, Dow Jones Credit Suisse has just the chart.
29
Oct
2013
NYSE Margin Debt: Spooky Scary or just another number?
The financial world is abuzz lately, attempting to decipher what exactly record levels of NYSE margin debt means for the future of the stock market rally. The numbers are a little scary at first glance, but is this a premonition for a surge in the market before a flop, or a repeat of one of the best bull markets in existence?
28
Oct
2013
Why Commodities Give you an Ulcer (Index)?
Next up on our quest to analyze measurement of risk is the Ulcer Index. Given its name, the index measures the downside volatility, frequency of losses, magnitude of drawdown, and length of drawdown together into one number, measuring the overall pain an investor would have felt. We then apply this index to all the asset classes to see how they compare.
25
Oct
2013
The picture from Space that shows why Commodities are non-correlated to the Stock Market:
Right about now, you’re sitting there thinking: How on earth does this weather picture of the Wyoming & South Dakota have anything to do with stocks not being correlated to commodities? Well, the storm ended up killing tens of thousands of cattle in South Dakota because they hadn’t grown their winter coats yet. That came out to be 15 to 20% of cattle in South Dakota. But how does this prove stocks are non correlated to the stock market?
23
Oct
2013
Managed Futures Linkfest
In this week’s edition of Managed Futures Linkfest, the rebuttals/responses to Bloomberg bashing of Managed Futures are still flowing, David Harding on Winton talks Market Momentum with his lovely British accent, and an update on AlphaMetrix. Futures under Fire – (The Dan Collins Report) Cliff Asness: Leverage. Derivatives. Shorting. – (WealthTrack) AlphaMetrix ordered to repay […]
23
Oct
2013
The US Dollar/Euro Currency Bat Signal
We don’t know what this “Bat Pattern” in the US Dollar and Euro Currency means so close to Halloween, but it’s got us a little scared/happy (depending on if long or short the Euro). It’s probably a reminder to talk about the Euro’s negative correlation to the U.S Dollar index, and the history of the two.
22
Oct
2013
Devil of a Dilemma: Add the Carry Trade to Trend Following?
We not all that into “foreign exchange portfolio’s” seeing people get too carried away trying to get foreign exchange exposure without really understanding what that is or does. However, Eclipse’s recent paper does a sufficient job highlighting managed futures, and suggests combining FX Trend Following with FX Carry Trade looks better than by themselves. But it comes with the caveat of a higher correlation to the FX Carry Trade during crisis periods.
15
Oct
2013
YTD Asset Scoreboard
How are asset classes looking Year To Date? Both U.S. Stocks and World Stocks surged in September to remain at the top of the scoreboard. Meanwhile, Managed Futures continues to slip lower in the rankings, Elsewhere, buying and holding Commodities isn’t fairing well; with September’s numbers bringing it back into the red, while real estate (at least by our measure) remains down for the year.
