Archive for the ‘Hedge Fund Research’ Category
Wednesday, November 6th, 2013
By now, we in the managed futures world are used to the unwarranted assumptions about who we are and what we do, but what can we do to dispel these notions? While we’ll be the first to tell you that individual futures trading is risky (in fact we’re require to say it), Mike Dever with his book “Jackass Investing” tackles a similar notion, “Is Managed Futures equally or less risky than the Stock Market?” Continue Reading…
Managed Futures up (finally) 1.28% in October
Managed futures has a history of strong 2nd half performance, and it returned to form a little with a positive October performance of +1.28% according to the BarclayHedge BTOP 50 Index. Now all we need is a couple more months like that in November and December to push the asset class positive for the year. Hereâ€™s the performance for the main managed futures indices YTD. Continue Reading…
John Henry and the Red Sox: From Zero to Hero
For obvious reasons, it brings us much joy to watch Managed Futures Legend John Henry hoist up the World Series Championship trophy in Boston. This is a team that finished last in the AL East last year to champions. This got us to thinking - can Managed Futures do the same thing? Can they go from zero to hero, worst to first, and all those other clichĂ©s? They sure can. Here’s why. Continue Reading…
Chart of the Week: Hedge Fund Asset Growth
Last month, we spent time discussing the â€śrealâ€ť growth of Managed Futures AUM. That left us wondering what the growth of Hedge Funds looks like dating back to 1995â€¦ Luckily, Dow Jones Credit Suisse has just the chart. Continue Reading…
Thursday, October 3rd, 2013
Over the years I’ve found people perform varying degrees of due diligence of a Commodity Trading Advisor (CTA). Some may only crunch the returns of the manager. Others will only ask the CTA to fill out a due diligence questionnaire and some will do a full due diligence process on the manager including research and operational due diligence. The first two points listed are good places to start, but is not the ending point as your goal is to get as close to a full due diligence process as possible.
Regarding the research/strategy component of due diligence, below are five major ideas to keep in mind when performing due diligence on a manager:
1) You want to know and understand as much as possible about the manager’s strategy. In my article from a few years ago “Decoding the Myths of Managed Futures” I mentioned that some have stated they were intimidated by the so called “black box” and the managers would not tell them very much. There was a time in the past when managers were cautious of explaining the details of their system due to replication risk, but not today. Only having the manager fill out a questionnaire tells a small part of their entire profile. You should be doing onsite visits of their office.
2) Some of the questions to ask a manager include: READ MORE
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Copyright Â©2013 Mark Shore. Contact the author for permission for republication at firstname.lastname@example.org Mark Shore has more than 25 years of experience in the futures markets and managed futures, publishes research, consults on alternative investments and conducts educational workshops. www.shorecapmgmt.com
Mark Shore is also an Adjunct Professor and Board Member of Arditti Center of Risk Management at DePaul University’s Kellstadt Graduate School of Business in Chicago where he teaches a managed futures / global macro course and an Adjunct at the New York Institute of Finance. Mark is a contributing writer to Reuters HedgeWorld, CBOE Future Exchange (CFE) and Micro-Cap Review.
Past performance is not necessarily indicative of future results. There is risk of loss when investing in futures and options. Futures and options can be a volatile and risky investment; only use appropriate risk capital; this investment is not for everyone. The opinions expressed are solely those of the author and are only for educational purposes. Please talk to your financial advisor before making any investment decisions.
Wednesday, October 2nd, 2013
Here are the latest posts from Attain’s Managed Futures Blog
Morningstar’s Nadia Papagiannis Demystifies Alternatives:
The highlight of last weekâ€™s Alternative Investments Conference for us was definitely Morningstarâ€™s Nadia Papagiannis presentation. We have to hand it to her, she’s a pro when it comes to alternatives. Since Managed Futures got some of the spotlight, we are reviewing definitions, perceptions, allocation, and our takeaways. Continue Reading…
No Rain, Still Grain, and the Disappearing Live Stock
Rain fall totals from M6 Capital, an updated USDA crop report, and the beginning of Fall. Put that all together and you get harvest time for Grains. A look at how the contracts are reacting, and the supply of live stock. Continue Reading…
Government Shutdown: No CFTC, but the SEC stays open
Today marks day two of the government shutdown. From a futures standpoint, the impacts are far reaching… from essentially shutting down the CFTC, to the CME stating a prolonged shutdown could effect dairy and livestock settlement procedures. Plus, a list of the federal employees still in their offices, and government shutdown pick up lines. Continue Reading…
A Trend Following Trend Line
It’s always nice to got positive feedback from our latest newsletter, and it’s even better when they provide some of their own data to continue to conversation of Managed Futures in it’s drawdown period. Take a look. Continue Reading…
Friday, September 27th, 2013
Here are the latest posts from Attain’s Managed Futures Blog
The hype surrounding the Documentary FLOORED has been building over the past couple of months, as it became available streaming over the internet this month. Unfortunately, it seems the hype was better than the Documentary itself. We wish they chose to highlight the positive stories of those who successfully moved off the trading floor and are continuing to run businesses in the futures industry, rather than some broken men complaining about computers. Continue Reading…
5,000 Bushels of Corn on your Lawn
The comment that will never die when having a conversation with people unfamiliar with managed futures and commodities trading is something along the lines of, â€śSo, you ever get a truck full of Corn delivered to your house?â€ť The short answer is no, and likely it’s never going to happen. Continue Reading…
Alternative Investment Conference Spotlights Managed Futures
We just couldnâ€™t get enough of the conference action last week with the NIBA and the CTA Expo, and spent the beginning of this week exploring what the â€śAlternative Investments Conferenceâ€ť has to offer. Here are some highlights from day one including the discussion of whether alternative investments should receive a larger portion of portfolio allocation: Continue Reading…
Monday, September 23rd, 2013
From all of us at Attain Capital, we wish Barry Ritholtz and Josh Brown the best of success in their new venture in opening their own Registered Investment Advisor (RIA) firm named Ritholtz Wealth Management. The only thing we can’t get over is the name. For two incredibly creative guys, that’s the best they could come up with?Â Continue Reading…
Attention everyone with a student loan tied to the government, your interest rates are now Â tied to 10 yr Treasury Note Yields thanks for a new law. While there’s a cap on just how high the interest rates can go, the change has brought both praise and heavy criticism from the media. Being futures folk, this makes us think this may be just the thing to create the next wave of futures traders. Continue Reading…
Monday, September 23rd, 2013
The supposed shining star of commodity trading is closing up shop, with Clive Capital (managing over $5B AUM at one point) sending a letter to their clients explaining its â€ślong volatility approach,â€ť didnâ€™t allow for many opportunities in this current market environment. While we don’t typically hear about Clive in the managed futures world it is important to point of their differences, as some small CTA’s would give and arm and leg for that kind of AUM. Continue Reading…
It seems like we’re all experiencing a little bit of Bernanke Deja Vu… The last time Fed Chairman Bernanke spoke about the QE, the markets reacted like it was Christmas on Wall Street… While Managed Futures experienced a risk on day, did that quate to a larger daily return? Continue Reading…
The CME is increasing position limits for multiple index futures contracts, allowing for nominal investment amounts that would make just about anyone nauseous. Particularly, the S&P 500 futures contract has been expanded to a position limit of 28,000 contracts, and the emini to 140,000. After crunching some numbers, a maxed out position could control a nominal value of over $11 Billion. Â Continue Reading…
Tuesday, September 10th, 2013
Finding the next Tom Brady in your Portfolio
What a fantastic start to the NFL season with a Bears W (Chicago biased). Right about now, you’re either kicking yourself for drafting the wrong players in your fantasy league.. or talking smack to the entire league.
We think this is the opportune time to draw parallels between drafting players, fantasy football, and investing. While it only seems natural to want to pick the biggest, strongest, fastest players who come from the most successful programs in the football world, the better method of picking talent, in our books, is to judge off of risk adjusted performance, or performance over a minimum acceptable return adjusted for risk, or best worst periods, and so on. Continue Reading…
Commodity Futures vs. ETF’s Performance — August
Whenever we need a pick me up or something to brighten our day, the underperformance of commodity ETFâ€™s usually does the trick. But the ETF’s have held in there remarkably well so far this year against a simple strategy of buy and hold the December futures contract and roll it annually. The real story, however, is the underperformance of either long only strategy. Continue Reading…
Risk On/Off Snapshot: August 2013
Despite some big moves in August across energies, grains, and bonds, there were not no risk on/ risk off daysâ€¦as we define it. This presents itself as a rather unique situation as there was a pattern of increased volatility in these markets, but they didn’t move together. Managed futures donâ€™t just need markets moving on their own - they need them moving on their own in a consistent direction. (past performance is not necessarily indicative to future results). Continue Reading…
Last Week’s Linkfest
Despite weaker than expected job growth, unemployment dipped slightly this week, matching levels last seen in December of 2008. Traders have reacted positively amid optimism that the weaker than expected job growth will lead the Federal Reserve to once again delay its decision to begin tapering its stimulus program. Continue Reading…
Thursday, August 29th, 2013
Premier Li gets what he wants. Soon after he set 7.5% as the “lower limit” for growth this year and launched a mini-stimulus in late July, China’s economic data started to improve. Industrial production is firmer. Retail sales are ok. And HSBC’s purchasing managers’ survey moved back into expansion. Citi’s “Economic Surprise Index” for China just turned positive for the first time since April. According to Bloomberg, consensus expectations for third quarter growth just inched up from 7.3% to 7.5%, the first upgrade by the consensus since January. Bloomberg’s data also shows China delivering 7.5% for the full year. Citi’s index shows there could be an upside surprise.
Since Li’s speech, the Shanghai stock market has also been doing better, a point we made in the Country Snapshot for China earlier in August. Our investment conclusions remain the same: “The best investment opportunities, however, might be less in China itself than in the global sectors that have been slumping along with China and are tied to a renewal of economic growth. Industrials are a good place to start since the sector also benefits from stronger industrial production in the US and improved prospects in Europe. Within commodities, base metals are also firming and have been outperforming precious metals for some time, a trend that would only be strengthened by an upside surprise in China through the rest of the year.”
For more articles like this, go to www.mcalindenresearch.com.
Warren Hatch, PhD, CFA
Portfolio Management and Global Investment Strategy
McAlinden Research Partners
Tuesday, August 27th, 2013
Here are the latest posts from Attain’s Managed Futures Blog…
The “Bond King” Coming to Managed Futures
Look out Managed Futures! Here comes the Bond King! Bill Gross is buying the drawdown in managed futures…well sort of. Pimco has filed papers with the SEC to open a Managed Futures Mutual Fund. While we are never too found of these mutual funds, it’s a little early to pass judgment. Is this good or bad for managed futures? Continue Reading…
It’s Getting Hot (and Dry) in Here
So about those record US Crop plantings and the big downtrend in grains in 2013â€¦. Donâ€™t look now but Corn and Soybeans (Oil + Meal) were all up more than 4% yesterday, with Wheat up more than 3%.
This has been a crazy summer for grains, as we’ve seen record number of bushels predicted. And now the forecast for hot, dry weather in the Midwest this week is pushing prices higher as people realize itâ€™s not just how much is planted, but how much comes out of the ground in good shape that matters. Continue Reading…
Friday, August 23rd, 2013
CLICK HERE to watch this Oscar-worthy movie, and please pass it around. Marvel at the clones clashing with the evil genius in the battle of beta versus alpha. Itâ€™s five minutes of futuristic merriment and enlightenment. Gene Roddenberry would be proud of this trek.
The timing of this movie is brilliant. We are on the brink of a perfect financial storm, which is why investors are seeking alternatives to conventional investing strategies built on stocks and bonds. U.S. equities have reached new highs, skyrocketing more than 100% since May, 2009 as bond yields remain near historic lows. Stir in the federal governmentâ€™s humongous budget deficit and the imminent tapering of the Federal Reserveâ€™s quantitative easing program and weâ€™re looking at one rocky future. No wonder that itâ€™s a bull market for investment alternatives, especially hedge funds. The demand for these products is sure to increase substantially in the years ahead as the crowd grapples with the harsh reality of the future. But all the usual caveats still apply, namely: separating the alpha wheat from betaâ€™s chaff is crucial in the business of intelligently selecting hedge funds.
In the future, we wonâ€™t pay much for exotic hedge fund betas (risk profiles), but the market will continue to put a premium on superior human intellect. Weâ€™ll know the difference because weâ€™ll abandon simple-minded performance benchmarks like peer groups and indexes, and replace them with smart science. Disruptive innovation will elevate our comprehension and contentment. Everybody will win, or at least everybody who recognizes that prudently choosing hedge funds demands a higher standard. The first step is recognizing that the old traditional methods are as out of place with hedge funds as Klingons are with Starfleet Command.
Hedge funds, after all, are unique. Products in the same strategy are usually galaxies apart when it comes to management details. Uniqueness is the main attraction of hedge funds, of course, and itâ€™s also the primary reason why a robust due diligence process in this corner is essential. The definition of unique is â€świthout peers,â€ť which means that a distinctive hedge fund canâ€™t be squeezed into an artificially defined group. â€śUniqueâ€ť and â€śpeerâ€ť simply do not play well together. Hedge fund managers win or lose against peer groups because they are different rather than because they are better or worse than quasi-comparable strategies.
Itâ€™s this uniqueness (heterogeneity) that will lead us in the future to the science of evaluating hedge funds. Our Oscar-worthy hedge fund movie predicts that hypothesis testing and cyberclones will revolutionize due diligence. No one wants or needs to pay for exotic betas that can be reverse-engineered (replicated). In sharp contrast, everyone is willing to pay for that critical factor that canâ€™t be synthesized: superior human intelligence and wisdom that engender profitable decisions by way of savvy investment choices.
Yes, we should be prepared to pay a fair price for brainwork, commensurate with the level of brainwork rather than the typical â€ś2 and 20â€ť fee. But first weâ€™ll need a robust model for deciding whoâ€™s truly delivering the equivalent of Oscar-winning performances in the hedge fund universe.
ABOUT THE PRODUCER
PPCA, Inc. (San Clemente CA) provides advanced analytical services to investors and their consultants in the areas of asset allocation, market research, performance evaluation, style analyses and target date funds. PPCA president Ron Surz is a pension consulting veteran. Further information is available at LinkedIn and www.PPCA-Inc.com and HedgePOD.
ABOUT THE CREATORS
Kathy Tarochione (Harrison, AR) is a digital artist providing life stories for individuals and their pets â€“ digital memories in pictures and art. She is also the Founder & Partner of Picture A Moment Pet Productions LLC with its divisions, The Canine Community Reporters News and WCCR.TV, designed to help animals in shelters. Kathy has mastered digital productions of all sorts. Further information is available on LinkedIn.
Jim Bumgardner (Harrison, AR) is a professional broadcaster, videographer, marketer, all-around nice guy, and partner of Kathy Tarochione (see links above). Being a true believer in the entrepreneurial spirit and always rooting for the underdog, Jim prides himself on his personal philosophy of “If you dream it, I can build it.” Further information is available on LinkedIn and www.jimstv.com
PPCA Investment Strategies