“Who’s who” of the Managed Futures industry in Florida at the MFA Conf.

While those of us in Chicago are preparing for one of the top 5 Blizzards of all time and east coasters continue to dig out from their own battles with snow, the “Who’s who” of the Managed Futures industry has descended upon sunny Palm Beach, FL for a week of private meetings with both managers and investors at the MFA (Managed Funds Association) Network 2011.  The MFA hosts two major events each year (Florida and Chicago) of which Florida is generally the most well attended – who could blame anyone for wanting to go to FL in the middle of winter?

Walter Gallwas, President and Founding Partner of Attain is on site representing our clients and will be meeting with the following diverse range of managers:

The next conference will be June 21 – 22, 2011 here in Chicago, and we invite any investors looking to meet managers face to face to attend…we’re happy to help schedule meetings on your behalf.

Weekend Reads…

Looks like we averted ‘Flash Crash v2.0′ today, thankfully…. although for a minute it was looking like the same setup, market down, riots on TV, etc.   Some articles which caught our attention this week follow:

  • CFTC sues 14 Forex firms – you got to be registered, folks… (CFTC)
  • Mark Fisher talks Crude and Natural Gas..(Futures Mag)
  • Goldman Sachs poor performing Asset Mgmt. business – (Bloomberg)
  • Gold sell off recently due to small trader’s liquidation? (WSJ)

And just For Fun…

Managed Futures not going anywhere until Bonds wake up…

What a snore bond futures have been lately…. Take the 30yr bond futures. Since rising 21% from Apr. – Aug., then selling off  11% from the end of Aug. through mid Dec., they have been locked in a tight range of just +/- 1.5% from their average.

We mentioned in a newsletter last year how managed futures prefer trending fixed income markets and underperform in sideways markets (click here and look for chart near the bottom of the piece), and the performance of managed futures so far in January (Newedge CTA index currently down -1.4% in Jan) while bonds have been locked in a sideways move supports that conclusion.

We’ll need something to break bonds out of their funk before we see any real returns for the overall managed futures space.  Signals that there will be no QE3, that the Fed won’t keep reinvesting dividends, a signal from the Chinese that they are no longer interested in US treasuries, or a stock market sell off and flight to security rally – are all possibilities…

Newsletter: 2010 Reviews on 53 different Managed Futures Programs

After more than 5 weeks of painfully extracting information from 35 different managers we work with (you would think they would be more willing and able to share the how, when, why, and where of the year just gone by), our annual CTA by CTA review highlighting what happened for each of the programs we track in 2010 – is up on our site at http://bit.ly/dHxbS1

We’ve got over 21 pages of details on 35 managers and 53 managed futures programs, with links to the performance track records of each on the Attain website.  What will you find….that it was a good year for multi-market systematic programs (the bulk of managed futures investments), a down year for short term programs, an up year for discretionary traders and spread traders, and a mixed bag for specialty managers,  stock index traders, and option selling managed futures programs.

There were outright winners (AccelaClarke WorldwideRosetta, and Dighton), outright losers (HB CapitalPaskewitz,Dominion, & Clarke Global Basic), and a few managers (Emil Van EssenFCI2100 Xenon) positive, yet below what they would have hoped for (and below the managed futures benchmarks).

Click here to view the CTA by CTA report: http://bit.ly/dHxbS1

Time to exit the long gold trade?

With Gold crossing below its 100  day moving average last week (after crossing below the 80 day the week before, and 50 day the week before that), some managed futures prorgams we track were seen exiting long positions in the metal. With Gold having gone nearly three months now without making a new high, a few are starting to wonder if the trend is finally over for Gold? Or is this just a breather for the yellow metal before powering higher?

While only down -5.45% since making a high of 1421 on 11/09/10,  Gold has failed to break above the 11/09/10 high for 73 days now, although it came close on 12/07/10 (1420) and 1/03/11 (1420.30) to make a case for a triple top.

This got us to wondering what the average time between new highs has been in Gold since the most recent rally began in October of 2008 (up $631/oz, or 88% since 10/24/10), and we found that the average time between new highs has been just 13.72 days.  Even more impressive, Gold has averaged a new high every 17.8 days over the past 10 years while moving from $264/oz to $1,343/oz.  The longest time between highs, meanwhile, has been 200 days for the current 08-present rally, and 548 days for the full 10 year period.

What will the GLD and all the Gold as 10% of your portfolio people be doing if we break that 548 day record by staying below the Nov. 2010 high for another year and a third ???  Only time will tell, but I don’t think it would be pretty (Gold $600, $800?).


Weekend Reads…

Not much work happening in Chicago today with the pending Bears vs Packers showdown on Sunday….. but a few articles catching our fancy this week you may want to check out…

  • Gold net Longs hit lowest since July 09 (The Big Picture)
  • MF Global Settles Lawsuit Related to 2008 Wheat Loss (Bloomberg)
  • Managed futures strategies and S&P500 can be correlated ‘over certain periods’ (Opalesque)
  • Cattle Market In “Bizarro” World As Speculators Fuel Record Rally (Drovers Cattle Network)

And one just for fun in honor of the Bears vs Packers game….

  • No matter what, Green Bay fans can’t change their Green Bayness (Chicago Sun Times)

Go Bears!

How can $1.8 Billion be so wrong on USO, the crude oil ETF

Following our last post in which we mentioned how commodities were down in 2010 based on energy being flat and the problem of cost of carry/contango – we had a client asking us to update our chart on the spot price of Crude Oil versus the performance of USO, the ETF which is supposed to track Crude Oil prices, and thought you might like to see it as well (read it and weep below)

Have any of the investors who have poured $1.8 Billion into this ETF seen this chart? Have the managers of USO? How is this acceptable for a product which is supposed to appreciate as Crude Oil does? If you can answer any of these, you are smarter than us, as we have no good answers.  Perhaps people just want to say they are invested in Oil, instead of actually being invested in oil.

Now, there is the cost of carry to consider, which makes the spot price appreciation unattainable – but even that doesn’t account for the vast difference between the spot price performance and the USO.  When considering the cost of carry by deducting a $1 per barrel monthly cost, the spot price has still outpaced the USO by a margin of  46% to 3%.

If any of the USO managers are out there and reading this, why don’t you switch to buying the December Crude Oil futures every year, and roll those annually. You can see in the chart below that this tracks much, much better with the cost of carry adjusted spot price of Oil.  Better yet – if any USO investors are reading this, call Attain and we’ll set up your own personal ETF which does just this, rolling every December.