Alternative Links: Asset Flows

“Commodity trading advisors (CTAs) hauled in a 3½-year high of $5.7 billion (1.5% of assets) in February, reversing an outflow of $1.6 billion (0.4% of assets) in January.”

Asset Flows According to Barclayhedge – (Barclayhedge)

In at the Highs, Out at the Lows – (Attain Alternatives Blog)

Podcast:

Michael Covel interviews former turtle trader, EMC’s Brian Proctor– (Trend Following Radio)

How to Educate Your Clients on Managed Futures – (Top Traders Unplugged)

Trend Following:         

How to Derisk in a Bull Market – (Institutional Investor)

Performance:

Currency, Oil Help Managed-Futures Funds – (Wall Street Journal)

Asset Class Scoreboard Q1 – (Attain Alternatives Blog)

Bridgewater surges on bearish euro bet, low rates – (CNBC)

Asset Class Scoreboard Q1

The first quarter of 2015 is in the books and Managed Futures is leading the pack so far YTD of the 8 asset classes we track {Disclaimer: Past performance is not necessarily indicative of future results}. It will be interesting to see how the next three quarters play out.

Asset Class Scoreboard Table March 2015_1

Asset Class Scoreboard Chart March 2015_1

(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 (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)

Managed Futures March Performance

Despite reversals in some of the major trends which have been fueling managed futures recent success  (long dollar, short f/x, short metals, and short energies) the asset class managed to post gains in March, up an average of +1.23% across the 4 indices we track {past performance is not necessarily indicative of future results}.

The months long trends were affected by the FOMC statement midway through the month, but the Newedge CTA Index surprisingly posted a +0.17% that day, and a +0.35% the day after {past performance is not necessarily indicative of future results.}

Add it all up, and the March gain meant a 4th consecutive quarter of gains for managed futures. With it coming during a choppy quarter for stocks was all the better. Now we’ll just have to wait and see what happens over the next three quarters, with Oil, with Bonds, and with the seemingly ever increasing stock market.

Stay Tuned.

Managed Futures March Performance(Disclaimer: Past performance is not necessarily indicative of future results)
(Barclayhedge CTA Index: 37% of funds reporting)

P.S. –Some of Attain’s Family of Alternative Funds outperformed the indices themselves. To get monthly performance and research updates on the family of funds, sign up here.

As The World Turns – Q1 Returns

We always get a kick out of Bloomberg headlines inspired by the one and only king of click-bait, Joe Weisenthal. The latest headline reads, “These Charts Tell The Story of World Markets in the First Quarter.

Bloomberg Q1 Charts(Disclaimer: Past performance is not necessarily indicative of future results)
Chart Courtesy: Bloomberg

It’s interesting that the Bloomberg article shows charts of the Euro and Russian Ruble going down in Q1, but conveniently leaves it out of the chart of returns – listing just a single down market (Oil). And the world markets moniker is a bit peculiar when they only list 4 stock market indices (granted they are among the largest stock indices). We understand that Bloomberg probably didn’t want to take the time to list all the markets around the world, but the reality is professional managers are looking at more than 100 world markets trading around the clock.

What’s more interesting to us is how people who trade those world markets did in comparison. Global Macro Strategies and Managed Futures fit the bill – trading across commodities, currencies, stock indices, and interest rate products in what we’ve sometimes called a ‘Long/Short the World’ strategy.

Here’s the Attain Global Macro Fund and the Managed Futures Industry as a whole put alongside Bloomberg’s “world markets”. Not Too Shabby.

Bloomberg with MF and GM(Disclaimer: Past performance is not necessarily indicative of future results)
Managed Futures = Newedge CTA Index
Global Macro = Attain Global Macro Fund

Alternative Links: Learning about Alternatives

{Video} Learn About Managed Futures with RCM’s Matt Bradbard – (Meet Advisors Video)

Optimistic outlook for managed futures – (Pensions & Investments)

How Important is Diversification for investment in Managed Futures? – (Campbell & Company)

Risk Adjusted Returns:

Sharpe Ratio: the Black Sheep of Risk Analysis – (Attain’s Alternatives Blog)

CME:

CME Group announces first trades of new physically delivered cocoa futures contract on CME Europe – (Hedgeweek)

Liquid Alts:

Multi-Alt Funds and Managed Futures Dominate February Flows – (Daily Alts)

Aston Hill launches two new liquid alternative mutual funds – (Hedgeweek)