A recent Morningstar article caught our eye, as it lamented the difficulty of diversifying an investment portfolio when correlation between various asset classes and the S&P 500 is increasing. While the Morningstar piece does a great job of pointing out the rising correlations among traditional diversifiers, there is one big problem with this analysis – it leaves out managed futures. That’s an oversight we’re happy to step in and correct.
Category: Managed Futures
29
Mar
2012
29
Mar
2012
Greetings from the CTA World Congress
No rest for the weary around Attain – our own Juan Carlos Herrera hopped across the pond for the CTA World Congress hosted by Terrapin. Designed to bring together world-class managers and investors, the London event was a great success with many familiar faces and a few impressive new ones.
29
Mar
2012
Hedge funds, why do we hate you? Let us count the ways…
People tend to give us a look when we scowl at the managed futures association with hedge funds. After all, if you see hoof prints, you don’t think zebras, right? The problem is that, while CTAs may leave hoof prints, their stripes are way different from their hedge fund brethren. And now there’s even more fuel for the fire…
27
Mar
2012
Managed Futures Spotlight: Quest Partners, LLC
When you’ve researched hundreds of systematic, trend following CTA programs, they can start to blur together. The terminologies and philosophies become similar, and it’s hard to find what distinguishes one program from another. But every once in a while you stumble across a program like Quest Partners LLC. From where we stand, they are not just another trend following program.
22
Mar
2012
Does a Portfolio Track Record Matter with Managed Futures Brokers?
We tend to pick fights in finance. Part of that goes back to the fact that the partners in our firm are fighters, and Attain was, in many ways, born of fire, but that’s a story for another day. The point is that we think that investors should know what they’re getting into, even if the story behind the products discussed is inconvenient to those pushing them. As a result, one of the common “requests” we get from those unhappy with our opinions is one for a track record of our portfolio recommendations. After all, if we know so much better, why don’t we prove it?
It’s a dumb request. Let us explain why.
22
Mar
2012
Twenty Interest Rate Spikes (and Counting)
We’ve been waiting for a rise in interest rates for years… especially in the world of managed futures, which tend to do well during moves in interest rates. Unsurprisingly, we’ve been watching the recent moves very closely. That’s why a post on The Big Picture showing that, despite rates moving 20% recently, this move is barely a blip on the chart of the multi-decade bull run in bonds (rates lower), caught our attention. The piece include a nice table of such bond “spikes” back to January of 2008, including the magnitude and duration of such spikes. We love tables like that; it gives us a good opportunity to see how managed futures lined up during those same periods.
So how did they do? We re-created the chart and added columns for managed futures (Newedge CTA Index) and stocks (S&P 500).
20
Mar
2012
IMFC Makes Volatility an Even Better Friend of Managed Futures?
The general assumption in managed futures is that volatility is a friend to performance, but as 2011 showed us, this won’t always be the case- especially if volatility is choppy and associated with dramatic risk on/risk off moves. In some ways, they’re more “frenemies” than anything else. Today on a regular ongoing due diligence call with one of our recommended managers, Roland Austrup of Integrated Managed Futures Corp (IMFC), who we’ve been working with since 2009, we learned that he has decided to abide by the whole “keep your friends close, and your enemies closer” routine, incorporating the trade of VIX futures into his trading strategy.
20
Mar
2012
That’s Just About the Size of Things
Marketing materials often rely on generalizations about an asset class, but rarely do they provide investors with the kinds of solid information they need in order to make an informed decision. You shouldn’t make decisions based on what everyone else is doing; you should invest in a way that makes sense for your portfolio. We think that filtering information further makes it much more useful. Because we’re the helpful people we are, we decided to compile filtered information on managed futures for your investigative purposes.
13
Mar
2012
Is Your Portfolio Buckled In?
When you’re a managed futures nerd, nothing is more perplexing than behavior contrary to data. We’re more than familiar with the return and risk metrics that make the case for managed futures as a portfolio diversifier (and publically share such any chance we get), yet the bulk of advisers still seem to shy away from recommending the asset class to their clients. In lieu of scratching our heads from now until eternity, we decided it was time to do some digging.
12
Mar
2012
When Disaster Spells Opportunity (And When it Just Spells Disaster)
It’s strange to think that it’s been a year since the devastating earthquake first hit Japan, sending the markets roiling as a catastrophic tsunami followed up the initial destruction in Mother Nature’s 1-2 punch (with a little manmade flavor added by the nuclear reactor meltdown). At the time, the silver lining to the disaster was that it seemed like the perfect set-up to let managed futures shine via their historic crisis performance. Unfortunately for managed futures investors (but fortunately for the rest of the world), the tsunami and nuclear meltdown never turned into the full blown global economic crisis many at the time predicted it would.
