The Best Images from “StockToberPocalypse”

Part of the reason many believe social media will never die, is because of days like today. Stocks experienced their single worst day of the year. The Dow plunged 300 points (-1.97%), The S&P had it’s best day of the year yesterday, followed by it’s worst day in six months (down -1.98%), and social media exploded with posts, comments, and charts trying to explain just what was happening – as if we had just lived in a dream land where stocks only went up the past five years. Is volatility in stocks here to stay? Why did stocks gain 2% yesterday, and lose all of it the very next day? Is this another 2008? Are we all F*(^% crazy as Reformed Broker says.

First, some funny ones…

Stocks Crushed

I’m confused… Is the lighting crushing something? Is the Lightning stocks? Or is it the Tornado? Is the Tornado volatility?

 CartoonCourtesy: StockTwits

And some serious ones…

 

Man on PhonePicture Courtesy: CNBC

The obligatory serious looking trader guys… (is that guy on the right wearing a Flyers shirt… what trading floor is that?)

Dow Oct 9thChart Courtesy: Reformed Broker

Wild Market MovesChart Courtesy: CNBC

Vix ChartChart Courtesy: Ryan Detrick

Winton down in September? What %^#$

Winton Logo

We’re probably at risk of not getting that David Harding interview next time he’s in town… but we just can’t help but wonder aloud what happened with Winton in September. The estimate we’re seeing for their September performance is a negative -0.72% (and that would be their program performance, not the performance of the super high fee product you’re accessing them through).

While that’s hardly reason to sound the alarm, and Winton remains up +1.83% on the year; we’re talking the biggest player in the managed futures space being down in one of the biggest up months for managed futures in a few years (Q3 was the best quarter for managed futures since the hey days in 2008). What happened?

Well, we’re not privy to the investor letters or sector breakdown of performance just yet… (we’re not investors), but we believe it highlights an important issue for investors to consider when considering Winton. And that is the little issue with trying to access finite commodity markets with a very, very large amount of assets. Winton and Mr. Harding had $24.5 Billion under their control. And the math on that just simply makes it hard to have any meaningful exposure in markets like Lean Hogs or Corn or Palladium, where there are position limits. We covered it in this post “Can CTA’s with $1 Billion AUM Trade Grains?” and again in this newsletter “Second Guessing the Winton’s of the World.”

Harding was quoted as saying ‘don’t call us a F***ing ‘managed futures’ firm’, and he may be getting his wish if he doesn’t keep pace with those who are wanting to be known as managed futures. I’m sure he’s smarter than us and will likely get exactly what he is after in adding stock investments and other asset classes as they move away from a managed futures firm to a full on hedge fund behemoth in the Renaissance or Bridgewater mold. But for those wanting managed futures exposure – it will pay to watch just how correlated Winton will be moving forward to something like Newedge’s Trend Indicator. (it wont’ help to compare to the managed futures indices, as Winton is IN all of them… making them auto-correlate quite nicely).

Alternative Links: Buzz Words Edition. Charities, GMOs, and ETFs

Hype:

Alternative investments gain popularity with plan sponsors – (The Retirement Savings Challenge)

Have Managed Futures Funds Turned a Corner? – (Chief Investment Officer)

Are CTAs one another’s Competition? – (AI Source)

Shh…. Managed Futures post best quarter performance since 2008 – (Attain Alternatives Blog)

ETFs:

Say Hello to another Managed Futures ETF (FUTS) – (ETF)

Are Managed Futures ETFs for you? – (Wall Street Sector Selector)

Research:

Alternative routes into hedge funds: liquid alternatives and managed accounts – (Hedge Week)

Us Fund Services 2014 – (HedgeWeek)

Bizarre:

Non profits and charities have to register as CPO’s with CFTC? – (Wall Street Journal)

U.S. farmers latest to sue Syngenta over GMO corn rejected by China – (Reuters)

 

Attain Funds – September Performance

We launched a family of alternative investment funds earlier this year, and just can’t help but share the September performance (below). To get the full platform report emailed monthly with commentary on how each fund made/lost money, full track records, and all the relevant stats – register here.

FundMonthYTD
Attain Trend Following Fund+12.81%+9.55%
Attain Short Term Alpha Fund+10.88%+7.29%
Attain Global Macro Fund+1.88%+3.96%
Attain Relative Value Fund-0.40%-0.83%
Attain Ag Fund^(hypothetical)+6.57%+5.29%
Average+6.35%+5.05%
Liquid Alternative Comparisons
AQR Managed Futures Strategy I Mutual Fund (AQMIX)+3.42%-0.09%
361 Managed Futures Strategy A Mutual Fund (AMFQX)-1.34%+1.57%
Morningstar Managed Futures Mutual Fund Category(through Oct 3)+1.68%+3.29%

Disclaimer:  The return numbers herein include estimates of the full month performance for the previous month, and include assumptions for accrued fees, the effect of additions and redemptions, and other factors which may cause the final numbers compiled by the fund administrator to differ slightly. ^The Attain Ag Fund is awaiting seeding, and performance reflects the M6 Capital Mgmt. trading program performance multiplied by 1.5x and reduced by 1% annually for expected periodic expenses from fund operations. Regulations require performance adjusted for a leverage factor to be considered hypothetical performance and a hypothetical performance disclaimer to accompany such performance.

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN; IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK OF ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL WHICH CAN ADVERSELY AFFECT TRADING RESULTS.

Please refer to each fund’s disclosure documents for more information. Past performance is not necessarily indicative of future results. Futures trading is complex and presents the risk of substantial losses. As such, it may not be suitable for all investors. There is no guarantee that any investment product will achieve its objectives, generate profits or avoid losses.

Asset Class Scoreboard YTD – Look Who’s Climbing

Somebody forgot to tell the eight assets classes we track that they are supposed to move in different directions based on different return drivers. They all moved down together in July, back up together in August, then back down together in September…. Except for a little asset class named Managed Futures, which (right on cue) broke away from the others to post positive performance for the month to complete its best quarter since 2008 to move up to the third best performing asset class YTD.  Download our “What is Managed Futures,” whitepaper if wondering how they’re able to zig while the stock market zags.

Elsewhere, down trends in Grains and Metals made a long only approach to commodities look less than great, with an almost -6% performance on the year; while Hedge funds have given back some of their gains on the year, and Real Estate remains on top despite being the worst performer of the month.

Asset Class Scoreboard

Asset Class Scoreboard Chart

(Disclaimer: past performance is not necessarily indicative of future results)
Source: All ETF performance data from Morningstar.com
Sources: Managed Futures = Newedge CTA Index, Cash = 13 week T-Bill rate
Bonds = Vanguard Total Bond Market ETF (BND),
Hedge Funds= IQ Hedge Multi-Strategy Tracker ETF (QAI)
Commodities = iShares GSCI ETF (GSG); Real Estate = iShares DJ Real Estate ETF (IYR);
World Stocks = iShares MSCI ACWI ex US Index Fund ETF (ACWX);
US Stocks = SPDR S&P 500 ETF (SPY)

 

Shhh… Managed Futures up 4.93% in Q3

Being in the managed futures biz, you might expect us to be leading a parade complete with marching band and tumbling coppers a’ la the opening scene of Austin Powers following a month like September, where two of the family of Attain Funds posted double digit returns, and the managed futures index was up 1.94% to finish the 3rd quarter up +4.93% (past performance is not necessarily indicative of future results)

Austin Powers

It’s so cliché that the underappreciated asset class people are pouring out of miraculously turns around… but cliché or not – that’s just what happened. The naysayers said Trend Following is dead, that it’s so bad John Henry quit and Paul Tudor Jones threw in the towel, and so on and so forth… but here we are nonetheless, up 4.65% over the past 2 months in the indices, and several programs we track doing quite a bit better than that (past performance is not necessarily indicative of future results).

But we’re not going to cue the parade, just yet. For one, this is just one quarter. Sure, it’s the best quarter we’ve seen out of managed futures since 2008, but it’s just one quarter nonetheless. Secondly, we find ourselves instead wanting to keep the good great September a little under wraps, in a sort of “don’t look at us, nothing to see here” sort of way (like we’re trying to get away with something).  Telling anybody who would listen that the managed futures drawdown was a great time to invest didn’t seem to work, with managed futures assets at multi-year lows; so maybe we’ll try keeping it secret for a while. Our little secret with those smart investors who stuck with managed futures during the down times.

Here’s the managed futures performance table for the year…

September Managed Futures Performance(Disclaimer: Past performance is not necessarily indicative of future results)

P.S. – Don’t be surprised if we do cue up the Austin Powers scene if managed futures manages to string a few of these together. Here’s to continued trendiness in the US Dollar and weakness in metals and grains.

P.P.S.- Be on the lookout for an upcoming post on Attain’s Family of Alternative Funds performance in September. To get monthly performance and research updates on the family of funds, sign up here.

 

 

 

 

Alt Links: A Changing Market Environment

Market Environment:

Managed futures enjoy rare strong performance – (The Star Phoenix)

Commodities & Futures:

Gold retreats on firm dollar, down almost 6% in September – (MarketWatch)

U.S. Corn Prices Fall to Five-Year Low on Higher-than-Expected Supplies – (Wall Street Journal)

USDA grain stocks report does little to effect markets – (Ohio’s County Journal)

Corn Stocks Up 50%, Soybean Stocks Down 35%, All Wheat Stocks Up 2% — (Ag Web)

Ebola poses threat to Ivory Coast cocoa output, exporters say – (Reuters)

Is Ebola really the Cause of the Cocoa Move? – (Attain’s Alternatives Blog)

Investors Head for Exit as Commodities Extend Slump – (Bloomberg Businessweek)

Long the US Dollar… And Loving it – (Attain’s Alternatives Blog)

Regulation:

CME Group hires three people to expand international business – (Reuters)

Allocation: 

San Diego County reconsiders leverage, outsourced CIO – (Pensions & Investments)

October funds: Beware rising rates – (USA Today)

ICYMI:

108 Tools to Grow your CTA Business – (Attain’s Alternatives Blog)