It’s been over a year since we last dedicated a newsletter to the so-called managed futures mutual fund/ETF, and we thought it was high time we revisited the subject. While their performance then and to date has continued to be lackluster and well below managed futures as an asset class, it doesn’t seem to have hurt the popularity of the idea, with several smaller players now joining the fray to the tune of 19 such funds now clamoring after investor’s managed futures money. We found ourselves scratching our heads. Just why is so much money pouring into these so-called managed futures mutual funds when they have done very little in the way of performance? Are the investors in so-called managed futures mutual funds really understanding what they are getting? Well, we’re going to do our part to make sure those investors do know what they are getting, with an in-depth look at these products, and, unfortunately for the product managers, our research into the full universe of these publically traded products unearthed even more levels of complexity than we saw previously.
Category: Managed Futures
06
Mar
2012
01
Mar
2012
Managed Futures Finish February Up 0.85%
Another month has drawn to a close, and managed futures look to have shaken off the January blues with slight gains in the extended version of February. Based on preliminary data from the Newedge CTA Index, we are estimating managed futures as an asset class finished February up 0.85%.
01
Mar
2012
Say Hello to Sunrise Capital
It’s always nice to sit down and meet with CTAs face-to-face. It goes back to that qualitative element of due diligence in managed futures that Attain emphasizes. We’re not going to recommend a program that we can’t express faith in, and nothing can solidify (or decimate) faith in a program the way looking a manager in the eye does.
Such was the case in yesterday’s meeting with the folks from Sunrise Capital. A larger ($10 million minimum) program based in San Diego, Sunrise is no stranger to the managed futures space, with an extensive track record and attractive pedigree of staff. For us, though, the appeal is in the way they distinguish themselves from their peers. Their flagship program is, in some ways, a traditional trend following program that stems from manager Gary Davis’ and Rick Slaughter’s self-taught stylistics; in the case of Rick, since his college days. When it comes to industry reputation and reverence, they are in the Bill Eckhardt and Richard Dennis category, and were on the ground level as managed futures blossomed in the 1970’s. But that may be where the comparisons to industry stalwarts end, only because their risk management approach is so sophisticated and nuanced that it seems to put them in a category all their own.
29
Feb
2012
Some Leap Year Fun
It’s not every year that has 366 days… it’s every fourth (except for years divisible by 100, excluding those divisible by 400). Even that system isn’t quite precise enough to keep our calendar on track, so we have leap seconds, too. (Watch out for that extra second on June 30th this year).
But do all of these calendar shenanigans have an effect on the market? One more tick of the second hand isn’t likely to change anything, but what about a whole extra 24 hours?
28
Feb
2012
Show me the Money!
If you haven’t seen Jerry Maguire, you should, but if you haven’t, there’s one exchange you’ve probably at least heard colloquially referenced at some point- a rather famous scene where agent Jerry Maguire is being goaded by client Tidwell into yelling, “Show me the money!” Tidwell wants to see the dollar signs, and we don’t […]
27
Feb
2012
In Search of the Educated Investor
It’s not often we agree with managed futures critics, but this time around, we’re making an exception. A recent piece in the Wall Street Journal told the story of a man who passed on the managed futures mutual fund MutualHedge Frontier Legends Fund. We’re not a huge fan of the managed futures mutual fund in general; we prefer the liquidity, transparency and lack of load and sales fees you can get from managed accounts. But our admiration of Rick has nothing to do with the Legends fund itself. No, for us, it was the why.
24
Feb
2012
Financial Media Wising Up? Reminders on Managed Futures
It’s not exactly a secret that managed futures has gained in popularity in recent years. In fact, from 1980 to mid-2011, assets under management for the asset class increased by over 800%, rendering managed futures as one of the fastest growing alternative investments available. That kind of growth has attracted a fair amount of media attention. We discussed in the past how media coverage of the asset class has had struggles with accuracy, but we have to say, 2012 coverage, in general, has been much better than in years past.
A new article up at Financial Advisor, for instance, does a decent job of making the right argument about managed futures- that you need to understand the way managed futures performance works before you invest. There were a few points of contention, though.
22
Feb
2012
Market Dynamics and CTA Performance – February 2012 Update
When CTAs evaluate the markets, they’re looking for different things, depending on their strategy. That being said, especially in the trend following space, managers will often select markets in order to diversify their program and hedge against all of their positions losing money in one fell swoop. Of course, futures trading is complex, and there is always a risk of loss, but these market selection tactics help CTAs better manage risk within a program.
2011 made that difficult, as we outlined in our 2012 outlook. After seeing higher than usual market correlations and a major surge in risk on/risk off trading, CTAs were hoping that 2012 would give them a trading atmosphere better suited for market diversification. How’s that working out?
16
Feb
2012
Know Thyself: Investor Self-Reflection
Managed futures isn’t for everyone, but how do you know if it’s for you? When someone calls us asking about managed futures, we often ask a series of questions to determine whether they’re well-suited for an investment in the asset class, and what type of investment in the asset class should be made. Trying to figure out if it’s a good fit for you? There are a few questions you should ask yourself…
14
Feb
2012
Managed Futures Spotlight: Newport Private Capital LLC Optimal Income Program
Our weekly newsletter is up, and this time we’re taking a closer look at one of the CTAs from last week’s rankings. Typically, the days following the release of our Semi-Annual CTA Rankings are always busy, with clients and would-be clients alike calling in to get as much information as possible on the select few who make the cut. It should come as no surprise that the CTA which receives the top ranking is often the one that gets the most general interest. To help answer this interest, we have traditionally followed-up our rankings release with a newsletter spotlighting said top CTA…
