Some big CTAs – like Winton and AHL – have certainly been enjoying the ride on calmer waters after a couple tough years of trading. But it’s a smaller program that caught our eye in May, by solidly outperforming both of these industry stalwarts.
Category: Managed Futures
07
Jun
2013
04
Jun
2013
How Good is Your Futures Manager at Cash Management…
92% of managers and investors in a survey last year by London based Autumn Capital Partners said effective cash management is an important part of being a good CTA manager, but only 11% of investors though the CTAs they see have impressive cash management protocols and systems. Take the survey to see this year’s results.
03
Jun
2013
Managed Futures End May Down -1.51%
What started off looking like another solid month for the asset class went sour near the end, leaving managed futures with a loss of -1.51% for May per the Newedge CTA Index. So what happened? The trend stopped being a friend.
21
May
2013
What All Volatility Calculations Are Missing
Newedge released a paper last year arguing that the way volatility is normally calculated for CTAs is flawed because it ignores autocorrelation. The arrival of a more reader-friendly writeup seemed a good occasion to revisit the piece, and what it means for the way we measure risk in the managed futures world.
20
May
2013
Managed Futures and the “Smirk” Curve
A new paper examining CTA returns has taken a closer look at the “smile curve” we first saw in AQR’s 100 Years of Trend Following. This time, however, they’ve used monthly data and included stocks, bonds, and commodities, illuminating some interesting patterns in the distribution of CTA returns.
01
May
2013
Managed Futures Ends April Up 1.52%
With April marking the best month since July of 2012 and 5th consecutive winning month (albeit two of those very small) for managed futures, some might be saying – it’s about time. Quite a bit can change in the next 8 months, but we’re glad to see the index starting off 2013 on the right foot.
26
Apr
2013
Chasing Performance, Fleeing Weakness
Managed futures garnered a huge burst of attention after producing outsized gains during the 2008 financial crisis. Assets and interest surged… after the big gains were achieved. Now, the flip side of performance chasing is starting to set in – fleeing weakness. A new report from Preqin Group has the details on how investors are reacting to the recent less-than-impressive performance of CTAs.
25
Apr
2013
Mirror, Mirror – Who’s the Finest CTA of Them All?
One reason it’s important go maintain due diligence on CTAs is that the return profile can change over time. Scrappy upstarts who take big risks for big rewards will often evolve into more cautious, lower risk/return managers as they grow and age. But how can you tell if a manager isn’t performing in the same way that they once did? One way is to take a look in a mirror.
24
Apr
2013
Managed Futures Reads
When we started writing about managed futures, there weren’t many others doing the same. But over the last few years, quite a few others have joined in. Here are some of the recent managed futures reads floating around the internet that have caught our eye.
16
Apr
2013
Options Sellers, Meet Volatility
Three weeks ago we wrote this newsletter detailing the recent comeback seen by options sellers and short volatility strategies. The crux of the story was that while these strategies had made an impressive comeback after two years of disappointing performance, that investors should still be wary of the potential for losses during the next volatility spike. Well the volatility spike that we were all waiting for started gaining steam last week before hitting the max capitulation point yesterday in precious metals. The results, as you might expect, are not pretty.
