After three consecutive above average Risk On/Risk Off months, the collective markets dipped back below the trend line in July – with just a single Risk On day coming a day after Fed Chairman Bernanke announced the Federal Reserve was delaying the end of QE. What does this mean for managed futures?
Category: Markets
05
Aug
2013
01
Aug
2013
Credit Crunch Risk… Hedge Funds = Yes, Managed Futures = No
The SEC is bolstering/demonizing the reputation of hedge funds, with the somewhat shocking headline that the top hedge funds hold more than $1 Trillion in debt… This is another instance where we like to brag a little. You Ready? Managed Futures total debt = $0 The difference between managed futures and hedge funds are that managed futures doesn’t need to barrow money… Ever.
26
Jul
2013
Take a Look: Averaging 48k Monthly Managed Futures Returns
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:
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.
15
Jul
2013
Midyear Asset Class Scoreboard
June was not a pretty month to be an investor – no matter the asset class, with all of the asset classes we track seeing losses for the month. At the half way point of the year, however; most asset classes remain positive for the year. Managed Futures put in best First Half since 2010, but still trail most other asset classes YTD.
11
Jul
2013
Hand on the Trigger, With No Bullets
Managed Futures investors have a case of whiplash. Every time Fed chairman Bernanke opens his mouth, the markets act like a 5 year old at their birthday party. Last month, managed futures experienced risk off days after Bernanke shared the news of the potential end of the QE3 by the end of 2013. Not even a month later, Bernanke holds an impromptu press conference delaying the end of quantitative easing, leading to a Risk On day.
09
Jul
2013
PFGBest One Year Later: a Chat with James Koutoulas
There’s no question that after the 1-2 punch of scandals involving PFG and MF Global, the managed futures community toke it upon themselves to advocate for changes. Shortly after the MF Global incident, the Customer Commodity Coalition was formed to conceptualize the frustrations of the customers into visible results. It only seems fitting that on the 1 Year Anniversary of the PFG scandal, we sit down with friend and colleague, James Koutoulas of the CCC and chat.
08
Jul
2013
Risk On/Risk Off Market Snapshot: June 2013
As we’ve been stating the past couple of months, the markets are on the move, and our monthly peek at the Risk On/Off stats provide a little bit of proof of that. We’re still not seeing the same numbers of Risk On/Off days as last year, but in June, we did see the biggest average move up or down of the year.
02
Jul
2013
Commodity ETF Performance – June
Despite our best efforts to put commodity ETFs to bed for good, they continue to outperform the competition and prove us wrong so far in 2013. We’ll see is this is the same picture at the end of the year. For now, see where ETF’s outperformed December Futures this month.
28
Jun
2013
Bring Back the Corn Murals
The corn murals should return to their sweet glory at the Corn Palace this fall. The USDA released its farmers survey, saying the 97 million acres of Corn planted this season is more than any time since 1936. Finviz is a little off on their charts, and M6 Capital predication pays off.
