With June now in the books, we see that so-called managed futures mutual funds are now underperforming the average of the benchmark indices for the year. We’ve aired our objections to these funds often and loudly – now we’ll let the numbers speak for themselves.
Category: Managed Futures
05
Jul
2012
02
Jul
2012
Managed Futures end June down -2.92%
In case anyone needed one, June served as a clear reminder that the markets can giveth, and the markets can taketh away. After a stellar month of performance in May, we were nervous that June would reverse those gains, and that’s exactly what happened. It was a far cry from the worst month we’ve ever seen, but it wasn’t pretty, either.
27
Jun
2012
The Case for Continued Downward Trends
Despite the markets clawing higher this month, the majority of the short positions in our trend following models have not yet been stopped out. With all the catalysts for a downturn on the horizon, we’re hoping this turns out to be good news for managed futures.
25
Jun
2012
Has June Crossed the Line?
The June bounce is not the encore trend followers wanted after May’s sell-off. Since many trend followers exit positions when prices cross over the 100-day moving average, we wanted to know: which markets have crossed the line so far this month?
21
Jun
2012
Liquidity, Noise, and Signal
Nassim Taleb has a new book coming out, and an excerpt regarding noise and signal in tracking investments caught our attention. When it comes to managed futures in particular, is tracking your investments’ performance on a daily basis doing more harm than good?
15
Jun
2012
Asset Class Semantics, Comm Theory, and the Art of Debate
Is managed futures an asset class? We think the answer is yes, and we’ve said as much in the past, but as our recent online debate would indicate, not everyone is convinced. Nevertheless, we think we have good reasons for using the label as we do.
14
Jun
2012
Is Winton lucky rather than good?
Gather enough CTAs together, and talk will inevitably turn to the biggest name in the managed futures space – Winton. Their size has forced them to operate mainly in the most liquid of markets, especially bond futures, which has conveniently been very good to trend following strategies of late. Was this a stroke of genius, or a stroke of luck?
13
Jun
2012
What’s in a Ranking?
We’re not the only ones who rank CTAs, but not all rankings use the same criteria. Recently, a client of ours took issue with another set of CTA rankings, serving as a reminder to be diligent and be sure to get all the facts when considering rankings, awards and accolades.
13
Jun
2012
More from the MFA 2012 Forum
MFA continues, and so do our conversations with managers. Yesterday we had the opportunity to chat with Welton Investments and John Locke Investments about their recent struggles and successes, and how they are responding.
12
Jun
2012
The MFA Arrives
The Managed Funds Association’s Forum 2012 conference is well underway here in Chicago, giving us a chance to learn what some of our favorite CTAs are up to, as well as learning more about emerging managers.
