Keeping tabs on market correlation is a fundamental part of risk management because understanding correlation is key to diversification. If various markets are moving up or down in unison, risk and volatility can quickly grow beyond your expectations. That’s why we’ve started keeping an eye on two statistics that help illustrate how easy or difficult it has been to stay diversified in the futures markets: the risk on/risk off trade, and market correlations.
Category: Markets
05
Feb
2013
Asset Class Scoreboard: January 2013
January may have been a decent start our favorite asset class, but half of the proxies we use to track various asset classes started the year at a full sprint. It may not be sitting atop the rankings, but this is how managed futures is supposed to operate.
01
Feb
2013
Long-Only Commodity ETFs vs Futures- January 2013
January is finished, which means we have a new month of data in our regular series examining long-only commodity ETFs, and comparing their performance to the December-dated futures contracts. This time around, two of the ETFs seem to have the advantage. Will this translate into a lasting advantage for the ETFs? We don’t think so.
31
Jan
2013
Futures Markets and the Futurization of Swaps
Part of the Dodd-Frank financial reform bill involved changing the rules on what derivative swaps can take place off-exchange. In other words, there will be stricter limits on off-exchange swaps, resulting in more of these trades taking place within established exchanges – the whole process is sometimes called the “futurization” of swaps. For exchanges – and even managed futures – there’s quite a bit at stake.
30
Jan
2013
Meanwhile, in Bonds…
Last December, we pointed out that Bridgewater’s Ray Dalio was growing bearish on bonds for 2013. We’ve been waiting for the bond bear market for a while, but every time we talked about it, the market seemed to head in the opposite direction. But now, the last few months have been giving us reason to start getting excited once again.
22
Jan
2013
Commodity ETFs Upping Their Game?
We keep regular tabs on a handful of long-only commodity ETFs, specifically how much these funds underperform the futures contracts for the same underlying commodity. But new ETF offerings are aiming to avoid some of the problems that have plagued such investments in the past. But the new approach is not without problems of its own.
18
Jan
2013
Checking in on the Gundlach Spreads
Jeff Gundlach of Doubleline has been creating a stir with his big spread trade ideas lately. And while they definitely aren’t the traditional spread trade, some of his recent trading calls have turned out to be trends that managed futures can enjoy.
16
Jan
2013
The VIX – Too Quiet?
Volatility remained fairly low throughout the run up to the fiscal cliff, but this week it plunged to a nearly 6-year low. Is this the calm before the storm, and if so, will it give way to a volatility spike that managed futures can capitalize on?
15
Jan
2013
The Greener Grass of Ag Traders
We’ve talked a lot about the good performance of Agriculture Traders last year, and with the 2012 numbers nearly all in, we couldn’t help but compare the Ag numbers to the rest of the managed futures world. Ag traders have a performance profile all their own, as one look at the data makes clear.
15
Jan
2013
Platinum Outshining Gold in the New Year
With gold falling throughout the end of 2012 and platinum spiking since the beginning of 2013, the change has been enough to bring the price of an ounce of gold below that of an ounce of platinum for the first time since April of last year. But we wanted to know how this fits in the bigger picture, and whether it means anything for the future of the two metals.
