This great question was brought to us by a prospective client the other day, and while it seems simple on the face of it, the question is actually a bit more complex. This got us thinking of the question a different way that our database can understand: what is the average monthly performance, gain, loss, drawdown amount, and so forth across all CTAs. Here’s the stats on over 48,698 monthly returns for 2,603 CTA programs going back to 1977:
Category: Managed Futures
25
Jul
2013
Absolute Returns… Are you doing it Wrong?
How do you know if you’re getting the best Absolute Return? That’s the question MA Capital tackles in their latest piece. They look at it not as creating a portfolio which is good for all periods (the usual absolute return pitch), but rather creating a portfolio which changes and adds diversification based on the period it is in.
22
Jul
2013
It Takes Two to Contango…
Our apologies for the cheesy headline, but we have this wonderful word in the futures industry – Contango – and we just so happened to come across a nice piece on McClellan Financial covering Crude Oil’s move away from Contango into Backwardation, a 15 year high. We examine the possible factors behind this anomaly.
22
Jul
2013
Treating “Financial PTSD”
We’re always interested in reading and sharing interesting articles regarding managed futures. We happen to come across Advocate Asset Management’s article on how investors’ reaction from the 1987 Black Monday is still visible after the 2008 Financial Crisis (hence the PTSD title.) In the most recent situation, they focus on the VIX Futures average pre and post the 2008 crisis. Enjoy.
19
Jul
2013
ETF’s: A Fly or a Bull?
The goal of trading models is to be a fly on the bull’s back, but not be the bull. ETF’s have long sold themselves as that fly – now giving investors a way to follow along with almost anything you can think of. Some are wondering if it’s possible for the fly to move the bull. However, we found ETF’s simply might not be big enough to move the bull all on their own.
18
Jul
2013
Managed Futures, Matt Damon, & and the Extra Mortgage Payment
Managed Futures, in Esquire Magazine… We checked out the window to see if pigs were flying, but it’s real. Esquire rolled out their August 2013 edition, with a “Your Financial Milestones”article, and put Managed Futures right up alongside such sound financial advice as ‘Erase Credit Card Debt’ and ‘Make an Extra Mortgage Payment each Year’.
18
Jul
2013
Hedge Fund Advertising – Managed Futures Style
It’s been one week since the SEC made an unprecedented decision to strip the multi-decade old ban on general solicitation by hedge funds, and the potential implications are endless. While we often stand up and tell anyone who will listen that managed futures are not hedge funds… in this case – the privately offered funds of managed futures programs are surely part of ”hedge fund advertising’. So what does this landmark ruling by the Securities folks mean for the commodity pools/managed futures funds sort of caught in between securities and futures regulations:
17
Jul
2013
Futures Industry Sausage Making
It’s been a hell of a day on Twitter for managed futures followers, as the Senate held hearings the CFTC re-authorization. CME Executive Chairman Terry Duffy came out against proposed customer protection rule which has become known as the ‘residual interest’ rule. FCM’s would have 5 days to get the necessary margin amount from a customer on margin call.
17
Jul
2013
1st at Morningstar = 144th in the Real World
361 Capital’s Managed Futures mutual fund has been named the best performing fund over the past 12 months, according to Morningstar, but we can’t help but think this is a little like being the cleanest dirty shirt. We couldn’t help but wonder where their 8.12% return over those 12 months would rank amongst the 784 programs in our database and against our recommended list. Hint, 361 isn’t #1.
15
Jul
2013
What’s your Futures Market Marked to?
What do you get when three banks are fined over $2 billion for rigging the Libor rate to make money on derivatives? The British government practically gives it away to The NYSE for the cost of a small cup of coffee. Now, futures exchange ICE will own NYSE Euronext later this year in a $10 Billion deal, and here’s where thing get interesting. You see, ICE is a direct competitor with the CME in interest rate futures tied to Libor, and the CME just happens to have their biggest product (Eurodollar futures) benchmarked to LIBOR.
