Where have we seen this neon green sight before? Oh, that’s right, the last time Fed chairman Bernanke spoke about starting the end of the QE… Managed Futures experienced a risk on day, but did that equate to a larger daily return? Why/ or why not?
Category: Managed Futures
16
Sep
2013
YTD Asset Class Scoreboard:
We’ve expanded our monthly post on asset class scoreboard for August YTD, adding the monthly change, and a nice chart. Read ‘em and rejoice/weep, depending on your asset allocation:
12
Sep
2013
What Everybody Ought to Know About Managed Futures Asset Class Growth
The managed futures industry prides itself whenever assets under management is brought into the discussion. It’s grown exponentially over the years (past performance is not necessarily indicative to future results), but as we’ve pointed out before, that total AUM number includes the largest Hedge Fund in the world — Bridgewater — which we don’t consider to part of the group. This suggests that this AUM number can be quite deceiving, so we decided to recreate total AUM without the growth from Bridgewater, and managed futures’ largest program, Winton. Plus, a look at the managed futures quarterly growth numbers and why it might be just what managed futures is looking for.
11
Sep
2013
Sortino Ratio: Are you calculating it wrong?
The group over at Red Rock sure thinks so. Red Rock states the real definition of the Sortino ratio uses not the standard deviation of negative returns, but instead the ‘target downside deviation’, which is the deviations of the realized return’s underperformance from the target return. What does that mean to the normal person who has trouble reading math equations?
07
Sep
2013
Finding the Next Tom Brady for your Portfolio
What a fantastic first week of the NFL season. Now’s the time to make all your changes to your fantasy team. What worked? What didn’t? It’s also the perfect time to draw parallels between the drafting players, fantasy football, and investing. While it only seems natural to want to pick the biggest, strongest, fastest players who come from the most successful programs in the football world, the better method of picking talent, in our books, is to judge off of risk adjusted performance, or performance over a minimum acceptable return adjusted for risk, or best worst periods, and so on.
05
Sep
2013
Commodity Futures vs. ETF Performance – August
Whenever we need a pick me up or something to brighten our day, the underperformance of commodity ETF’s usually does the trick. But the ETF’s have held in there remarkably well so far this year against a simple strategy of buy and hold the December futures contract and roll it annually (down just 26 basis points on average). The real story, however, is the underperformance of either long only strategy.
04
Sep
2013
Risk On/Off Market Snapshot: August 2013
Despite some big moves in August across energies, grains, and bonds in august, there were not no risk on/ risk off days…as we define it. This presents itself as a rather unique situation as there was a pattern of increased volatility in these markets, but they didn’t move together. Managed futures don’t just need markets moving on their own – they need them moving on their own in a consistent direction. (past performance is not necessarily indicative to future results).
03
Sep
2013
Managed Futures Down -1.32% in August
While it seemed there might be some trends of note around the middle of August; reversals in grains, energies, and bond markets in the last week of the month helped push managed futures into the red, with the Newedge CTA Index reporting managed futures down -1.32% in August. While a loss of just over 1% isn’t the end of the world, the bigger context is starting to get worrisome – with the loss marking a fourth consecutive losing month, and the year to date performance now negative (-1.30%), threatening a fourth losing year out of the past 5. Here’s to hoping some worrying and calling out the recent losses will cause a contrarian rally heading into the end of the year.
29
Aug
2013
Finviz: We Love You, You’re Perfect, Now Change
Dear Finviz, Whenever we need a quick glimpse of the futures markets, we know we can count on you. But as we’ve mentioned, the futures side needs some work. For instance, you’re missing some of the most heavily traded contracts in the world, by only displaying two Bond futures markets. If we can be so bold – we’ve come up with an alternative layout which would do just the thing. What do you think about adding these new markets and adjusting the layout! This user, for one – would be an even more loyal fan!
28
Aug
2013
Will a Negative Roll Yield Shut Down Managed Futures Bond Tailwind?
Legendary Bond trader ponders if many of the greatest investors have the 30 years of falling interest rates to thank for their success. We see similarities to this in the managed futures world, as it provided a boon to many managers. With bonds nearly 70% in the past 16 weeks (the highest change in 15 years), and managed futures didn’t so well in this dress rehearsal of rising interest rates, it’s left us wondering; Will a down trend in bonds treat managed futures as well as the 30 yr up trend has?
