Archive for the ‘Commodities’ Category
Tuesday, August 6th, 2013
Managed Futures Down -.98% in July
Speaking in baseball terms, Managed Futures is in a bit of a batting slump, recording 3 consecutive monthly losses with a down July according to the Newedge CTA Index; bringing the year to date to roughly even. If youâ€™re looking for something positive, I guess we can say the -0.98% was a little better than the past two months. Continue Reading…
Risk On/Risk Off Snapshot: July 2013
After three consecutive above average Risk On/Risk Off months, the collective markets dipped back below the trend line in July â€“ 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? Continue Reading…
Monday, August 5th, 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 debtâ€¦ 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. Continue Reading…
Makin’ it Rain on the CFTC?
While our nation’s leaders battle out a bill that allocates funding for the IRS, we in the managed futures industry are playing close attention, as a provision in the bill would give the CFTC an additional $110 Million in its budget. This is far from becoming law, but in the meantime, we must contemplate how they funds will be utilized. Continue Reading…
Cool Crude Charts
Round, round, round it goes, where Crude Oil Backwardation Stops, nobody knows! Newedge is out with a great piece tackling everything from the CME fine tuning the nickel content allowed in deliverable crude, to Egypt’s foreign reserves to the Jones Act which requires any goods moving from a US port to another US port to be done on a US flagged vessel. Continue Reading…
Wednesday, July 31st, 2013
Averaging 48k Monthly Managed Futures Returns
What does the average CTA look like? 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: Continue Reading…
Attain Capital’s Semi-Annual Managed Futures Rankings
It’s that time of year again, time for Attain Capital’s Semi-Annual CTA Rankings. We have the data for all of the CTAs we track through the first half of 2013, allowing us to try and answer the question we get on a daily basis: What’s your BEST managed futures program? Without further ado, here’s our updated rankings. Continue Reading…
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. Continue Reading…
The Big Dogs of Physical Commodity Trading
Those of us in managed futures live in a world with hardly a physical commodity in sight during trades. But there’s an underbelly to all of that activity called physical commodity trading that sometimes gets overlooked. The physical side of commodities are huge, with the combined 2012 annual revenue of their Top 10 comes out to be $1.3 Trillion (yes that’s trillion with a capital T). So who are these companies? Continue Reading…
Monday, July 29th, 2013
What does the Average CTA Look Like?
This great question was brought to us by a prospective client the other day, and while it seems simple, the question is actually a bit more complex.
But we suspected the investor was asking more of a statistical question, as in â€“ what do the monthly gains, losses, drawdowns, and so forth look like for an average CTA. Now, the knee jerk reaction used by 95% of the industry is to simply point the investor to the various CTA indices and say that’s what an average CTA looks like. But is that really true? After all, the CTA indices are made up in many different ways and mostly contain the biggest of the biggest CTAs, not really your run of the mill managed futures program.
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. And while we’re at it, let’s look at not just the CTAs active as of today, but also all of the CTAs which have come and since gone (getting rid of the so called survivorship bias). Now that seems to be a bit better view of what an ‘average’ CTA should look like.
Without further ado, here’s the stats on over 48,698 monthly returns for 2,603 CTA programs going back to 1977: Continue Reading…
For the futures industry, we covered a quick refresher on the word Contango in regards to Crude Oil. Otherwise this week has been rather calm. As we head into the weekend, there’s an update on the MF Global scandal to top off weekend reads. Continue Reading…
Thursday, July 25th, 2013
Commodity “Supercycle” Over?
The Wall Street Journal’s latest headline is claiming, “Investors, Analysts See End of Commodity ‘Supercycle.” We’re wondering if a “supercycle” was here to begin with. Regardless, This looks like a classic contrarian signal, those calling for the end, bottom, top, beginning of anything are usually dead wrong. Here are more takeaways: Continue Reading…
Beer, Aluminum, and the Read Sofa
Financial media is all over Miller-Coors’ frustrations claiming London Metal Exchange’s lack of regulations is leading to the banks artificially raising prices. However, what’s catching our eye is a humorous article detailing the quirky and bizarre rules, such as traders having to be attached to a red sofa. Continue Reading…
Wednesday, July 17th, 2013
1st at Morningstar = 144th in the Real World
361 Capital’s Managed Futures mutual fund has been named the best performing fund over the past 12 months, according to Morningstar, but we can’t help but think this is a little like being the cleanest dirty shirt. We couldn’t help but wonder where their 8.12% return over those 12 months would rank amongst the 784 programs in our database and against our recommended list. Hint, 361 isn’t #1. Continue Reading…
Our apologies if we offended anyone’s sensitivities with the latest newsletter title, but you know we’re big readers around here and we just finished reading one of the highest rated investment books on Amazon (4.7 out of 5 stars) titled, “Jackass Investing”. The book tackles a host of market “truths”, “axioms”, and “words to live by”, systematically taking them apart in a way that warms our heart. We’ve giving away free copies! Continue Reading…
What’s your Futures Market Marked to?
What do you get when three banks are fined over $2 billion for rigging the Libor rate to make money on derivatives? The British government practically gives it away to the NYSE for the cost of a small cup of coffee. Now, futures exchange ICE will own NYSE Euronext, and that’s where things get interesting. ICE is a direct competitor with the CME in interest rate futures tied to Libor, and the CME just happens to have their biggest product (Eurodollar futures) benchmarked to LIBOR. Continue Reading…
Midyear Asset Class Scoreboard
June was not a pretty month to be an investor â€“ 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 trails most other asset classes YTD. Continue Reading…
CFTC Catching the Minnow, Ignoring the Juicy Walleye
It’s full steam ahead for the CFTC, sending a CTA to prison for lying to customers. They brought legal action against System Capital for misrepresenting the company’s prior experience in trading futures. We’re happy the CFTC got this guy, but left wondering how they’re able to catch this guy, but unable to build a criminal case against Corzine? Continue Reading…
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. Continue Reading…
Wednesday, July 10th, 2013
Here are the latest posts from Attain’s Managed Futures Blog…
PFGBest One Year Later: Where’s my Money?
For those who had accounts at PFG â€“ the overriding questions beyond what happened, what has changed, and all the politics and drama surrounding those items â€“ is when am I going to get more of my money back and how much of my money will I be getting back? To tackle that, we talked with the PFG Bankruptcy Trustee Ira Bodenstein:Continue Reading…
PFGBest One Year Later: a Chat with James Koutoulas
Thereâ€™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. Continue Reading…
PFGBest One Year Later: New Rules
But beyond talk about the hard work people have been doing in managed futures â€“ more than a few former PFG (and MF Global clients, too) want to know what exactly has been put in place since the PFG fraud to move the industry forward. Without further ado, the most important new rules and changes weâ€™ve seen in the past year: Continue Reading…
PFGBest One Year Later: Linkfest
We have fought tooth and nail on behalf of PFG customers to recover funds, repair the regulatory landscape, and more over the past year (with work still to be done), and thank all those who have stood by us during that time. For all those who like to slow down and look at car crashes on the other side of the highway â€“ hereâ€™s a linkfest with the bulk of our coverage of the PFG fraud over the past year. For those who donâ€™t like guts and gore, turn away:Continue Reading…
For more managed futures news and analysis, head over toÂ Managed Futures Blog.
Monday, July 1st, 2013
Here are the latest posts from Attain’s Managed Futures Blog…
The corn murals should return to their sweet glory at the Corn Palace this fall in South Dakota. The USDA released its farmers survey, revealing 97 million acres of Corn has been planted this season; more than any other time since 1936. Corn Futures drop but not as much as Finviz charts say, and a predication by M6 Capital holds true. Continue Reading…
Like clockwork, whenever major media outlets catch on to a major commodity trend, the move is by far overextended, and in an instant, itâ€™s all over before you know it. Lean Hog Futures have been the best commodity this year thus far, but that all ended on Friday. Continue Reading…
Itâ€™s been an extremely busy week for managed futures, Chicago, and the nation. As if anyone could forget, the Chicago Blackhawks defeated the Bruins, scoring two goals in 17 seconds. In the managed futures world, the CFTC officially filed a civil lawsuit against former CEO of MF Global, Jon Corzine. This is just one topic in our Weekend Reads.Â Continue Reading…
For more managed futures news and analysis, head over to Managed Futures Blog.
Tuesday, April 16th, 2013
So much for safe havens. In just one day, gold plunged $149 and it is now down 29% from its 2011 peak. Silver is down a gob-smacking 53% from its high. The entire metals complex has been soft lately, from copper to aluminum to palladium. But itâ€™s the precious metals that are getting clobbered.
While itâ€™s too soon to know if goldâ€™s rally is really over, many analysts are already issuing judgment. Some say the commodity supercycle is over. Others say gold is falling because the economic data in China is weak. Still others say it is because the growth data in the US is strong. An even less persuasive explanation is Cyprus, where authorities are selling off their excess gold reserves as part of their rescue plan.
Perhaps the simplest explanation is that the panic that started it all is finally dissipating. When the global financial crisis struck in 2008, markets froze, panic spread that a new depression was at hand, and gold surged for the next three years. In July 2011, McAlinden Research argued that gold was losing its luster and could eventually plunge. As it happens, gold peaked in September 2011 and began trending slightly downward as the global economy edged back from the precipice, a new depression was averted, and the sense of panic began gradually dissipating.
And now the plunge. At least three events have combined to accelerate the un-panic trade in gold: equities are hitting new highs as greed displaces fear in the markets, recent volatility notwithstanding; the US housing sector, which took the blame for starting the crisis in the first place, is now turning up; and many Fed policymakers are credibly signaling that the high-water mark of easy monetary policy has been reached. All three events helped to push perceptions to a tipping point. While problems remain, the prospect of an utter collapse of the global economy is vanishing into thin air, and with it the panic that powered the surge in gold in the first place.
The last bear market in precious metals lasted thirty years, so the current sell-off might just be getting started. But even a prolonged bear market could be punctuated by sharp rallies that are occasioned by fresh outbreaks of new panics. The Fedâ€™s massive epic experiment with quantitative easing itself, to take one leading candidate, could eventually feed a sharp increase in the money supply and cause inflationary pressures to rise faster than the Fed is able to turn monetary policy around.
Warren Hatch, PhD, CFA
Chief Investment Strategist
McAlinden Research - a division of Catalpa Capital Advisors, LLC.
Thursday, March 21st, 2013
The fastest growing segment of the financial services industry was the one hardest hit by MF Global’s suspicious demise and overt fraud at Peregrine Financial Group (PFG).
The managed futures industry, which had grown from $14 billion under management in 1991 to over $329 billion to end 2012, was a shining star of the new economy. Offering the unique ability to zig when other investments zagged, the lack of correlation and performance during crisis were key points of attraction. This attraction came to a screeching halt with the MF Global and PFG criminal incidents. Not only were investors getting acquainted with the asset class shocked to learn their accounts were looted of assets, but more troubling criminal behavior appeared the cause - casting a shadow over all participants.
“There is a severe loss of trust, a loss of confidence. There is incredible anger and frustration. Things need to change,” said Diane Mix Birnberg, president of Horizon Cash Management. Her firm just released a study, The Aftermath of MF Global and Peregrine Financial Group Meltdowns: A Crisis of Trust, showing that a whopping 91% of respondents believed there was a breakdown in audit procedures.
The study themes that emerged included:
- The laws and rules that govern the industry need to have ‘teeth’ â€“ and those involved in fraud and theft need to be punished.
- Customer segregated funds must either be kept completely out of the FCM and/or be verified in real-time by regulators.
A strong and rare female voice inside a Type A male dominated industry, Ms Birnberg’s firm, Horizon Cash Management, has become the top cash management firm for participants in the managed futures industry. Starting in the 1970s as a secretary in a stock brokerage firm in Atlanta, where “women generally didn’t think about career aspirations,” she later joined Lehman Brothers in the bond business. After moving to New York City to work on Wall Street, she was recruited in 1980 by investors to operate a cash management firm in the futures industry and in 1991 founded Horizon Cash Management, which currently has $2 billion under management.
In MF Global “there was very little institutional leadership (from exchanges, regulators and major firms),” she said. “This resulted in rumor, innuendo and ultimately a lack of trust. The void in leadership is terrifying.”
Looking back on the MF Global and PFG disasters, Ms. Birnberg has the experience of witnessing 10 FCM implosions. “In every FCM implosion it has negatively touched the CTA / CPO segment of the industry.”
“Think about a plane crash,” she said. “When it happens? Key issues and facts are addressed by the airline, the FAA and even the US president. Information is available regarding what happened, why it happened and steps being taken to address the problem.”
With MF Global a plane crashed and there was silence.
This is the first part of a two part article.
Mark Melin is author of three books and taught a managed futures course for Northwestern University’s Executive Education program. To read additional blog posts visit www.UncorrelatedInvestments.com (requires free registration).