Managed Futures Post Best Yearly Performance since 2008

That’s right, the wait is finally over. After losses in four of the past five years, managed futures finally shook off the rust and posted strong gains in 2014.  Strong enough gains, it turns out – to erase the aforementioned losses and push most managed futures indices to new all time highs. If only someone had been saying managed futures was a great buying opportunity back at the end of 2013.

Anyway, the various indices we track averaged a double digit gain, good enough for best performing hedge fund strategy of 2014 and a thorough thrashing of managed futures very distant cousins – long only commodities ($GSG -37.19%, $DBC -31.06%, $DJP -19.59%). Although not quite good enough to beat the ever resilient US stock market (they need to leave something for an encore).

How and why – it comes down to the US Dollar and the big move down in energy markets. For more on how managed futures could have possibly foreseen Crude Oil falling over 50% in 6 months – check out our 2014 Strategy Review here (hint, it’s not as magical as you think). For now, let’s enjoy the ride while it lasts:

Managed Futures 2014 Performance(Disclaimer: Past performance is not necessarily indicative of future results)
(BarclayHedge reporting 61.38% of funds, numbers subject to change)

P.S. –Most of the 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.

Alternative Links: Crude Cruder Crudiest Edition

“Barclays estimates US oil ETFs attracted $600m of new investment in December as investors bet on a recovery in prices. To put that number in perspective, it is equivalent to 25 per cent of the total AUM in global energy ETFs at the end of November.”

Commodity price falls trigger big drop in assets – (FT)

Crude Oil:

How to Play a Bounce in Oil (Hint: Not $USO) – (Attain Alternatives Blog)

Oil at $50 – (The Economist)

Chart o’ the Day: The Truth About Oil in Modern Society – (Reformed Broker)

Trend Following: [Read more…]

How to Play a Bounce in Oil (Hint: Not $USO)

It’s the first (real) week back from holiday break, but the story is the same as it was before Christmas, and before Thanksgiving for that matter…. Crude Oil continues to fall like a lead oil filled balloon, falling below the $50 mark on Monday for the first time since 2009. It’s even gotten to the point of family and friends asking where we think Crude Oil will bottom at parties and dinners, getting our contrarian antennas perked up.

The million, or actually Trillion, dollar question is where will Crude finally find a bottom and bounce back?  Fortune let us know recently that the $55 drop in Brent Oil prices represents about a Trillion dollars in annual savings.

Now, while some are no doubt betting on continued downside with the recent belles of the ball – the inverse oil ETFs and ETNs ($DTO) ($SCO) ($DWTI), the last of which is up a smooth 527% since July {past performance is not necessarily indicative of future results}. Others are no doubt positioning for the inevitable rebound in energy prices, thinking it is just a matter of when, not if. Crude Oil is back around $70 to $100 a barrel. And what a trade that would be. Consider a move back to just $75 a barrel, the very low end of where Crude spent the last 5 years, would be a 50% return from the current $50 level. It seems like that could happen nearly overnight without anyone really thinking much about it.

So how do you play a bounce in Oil?

[Read more…]

Managed Futures 2014 Strategy Review

Strategy Review_1What a difference a year makes…  After three lackluster years of investors treading water with Managed Futures – 2014 finally saw some of the outlier moves needed for the asset class to thrive. We’re talking likely gains of around 15.57% for the Newedge CTA Index, in a year where stocks continued to climb, proving once again that the asset class is non-correlated to the stock market, not negatively correlated.

In our annual end of year tradition, we take a moment to dig a little deeper into the overall asset class performance number and give some color on the different types of strategies which make up the managed futures asset class (no… it isn’t all trend following). Without further ado, our 2014 Review of the Strategies that comprise Managed Futures:

Trend Following:

[Read more…]

The (Chicago) Year in Pictures (as we saw it)

[Read more…]

Futures Market Winners/Losers of 2014 – The Last Five Years Edition

This year was anything but boring in the futures markets. There were plenty of major moves in multiple markets, and it seems just about every market not at 5 year highs (stocks, the US Dollar, and cattle) was at 5 year lows (Crude, Copper, Yen).  That’s in stark contrast to the past few years, where there’s been more markets up than down.  But it was two black liquids stealing the headlines – with Coffee leading the way on the upside, and Crude Oil the big loser on the downside. All those who had the Long Coffee/Short Oil trade on, take a bow – that’s a winner! (What could we call that – the Texas Latte, the Beans over Barrel spread?)

[Please note – Finviz does some weird things around contract rolls, which can make their percentage gains over longer periods different than what would be found using a continuous contract or the cash/spot market, nonetheless, we feel it is representative of each market’s 2013 movements]:

2014 YTD Futures(Disclaimer: Past performance is not necessarily indicative of future results)
Chart Courtesy: Finviz

  • It was a mostly down year, with 63% of markets down; compared with 51% up in ‘13, 80% up in ‘12, and 85% up in 2010
  • While it seemed more volatile this year, just 15 markets finished up or down more than 15% (compared with 16 last year).
  • Having said that – VIX futures finished about 20% higher than where they started the year, despite stocks at all time highs (curious)
  • US Stocks & US Bonds turned in near identical performances in 2014, both up around 12%. Not every day you see that.
  • Commodity markets were routed. Crude made the headlines, but Cotton, Soybeans, Rice, Oats, Platinum, Sugar and more were all down double digits.
  • Gold, for all the headlines, was basically unchanged
  • Currencies were in play, for the first time in what seems like forever, with the USD making a very sneaky move up to multi year highs; the Japanese Yen and Canadian Dollar hitting 5 year lows, and the Euro, Aussie, and Swiss testing multi-year lows.
  • The headliner Coffee was up impressively, but despite being up around 50%, it’s still about 50% below its 2011 highs (needs to rise 100% or so to get there)
  • Many markets are at 5 year lows, including:  energy futures (Crude, Heating, Gasoline), many metals (Silver, Platinum, & Copper), currencies (Jap Yen and Canadian Dollar), and a few random like Cotton,
  • Wheat & Corn – Despite being some of the most volatile futures markets, you wouldn’t know it by this chart, down only (-1.9% and 4.7%) this year

So what will 2015 bring? A big rebound in Oil prices (a rise back to $80/barrel would be a gain of about 60%)? The much expected sell off in US treasuries? A commodity rebound in metals, softs, and grains? None of the above?

Luckily, professional managers don’t need to know the answers in order to have a successful 2015. They just need to be able to identify and capture any such moves when they happen (no small task, to be sure; as we’ve seen in recent years….but more than a few will be up to the task).

Happy New Year!

The 2014 Commy Awards

There’s the Emmy Awards, the Webby’s, the ESPY’s, (why do they all end in y’s), but no commodity awards as far as we know… Let’s see if we can’t do something about that, with the first (and perhaps last) edition of the Commy Awards:

(All Charts Courtesy: Finviz)

The ‘you probably didn’t benefit one bit from this’ market of the year = Coffee

In February, the coffee market shot up and never looked back, up around 48% on the year. However, unless you play with coffee ETF $JO, or are invested in a smaller niche managed futures manager – there’s no way you caught this move. It’s a shame too, because it was one heck of a move, and it all happened in first 2 months.

Coffee(Disclaimer: Past performance is not necessarily indicative of future results)

The Most likely to get your Houston Neighbor’s Grand Piano repossessed = Crude Oil

No one saw the crude implosion coming. Well maybe not nobody… but crude dropping almost  50% in 4 months was something trend followers sure enjoyed, even while the Russian government (and Ruble) did not. At 8.9 million barrels per day produced in US – that’s $411.7 million not there anymore… that’s a lot of pianos.

Crude(Disclaimer: Past performance is not necessarily indicative of future results)

The most popular, for no apparent reason = Gold

No matter how much the gold market moves, it’s the commodity market people love to write about, and people love to read about. Even though it finished the year basically unchanged, down -0.4% – there were reams and reams of digital ink written about its demise, its comeback, its luster, and its non-performance? And all for what? So that they can say they were wrong last time, and might be right this next time?  Honorable mention goes to the rest of the metals crowd, which actually fell quite a bit more than Gold.

Gold(Disclaimer: Past performance is not necessarily indicative of future results)

The S&P..who?  Award = Cattle

The S&P 500 wasn’t the the only market hitting new all time highs throughout 2014, so was Cattle. The problem? Not too many noticed or wrote about it, and it doesn’t count if it was an article about higher beef prices at the grocery store.

Live Cattle(Disclaimer: Past performance is not necessarily indicative of future results)

The Market most likely to make you look like an Idiot (Again) = US Bonds

Earning its 5th straight award in this category is the Bond market. 2014 was supposed to be the year for higher Interest Rates and Lower Bond prices, except it wasn’t. The US Bond Aggregate Index ETF ($AGG)  ended the year up 5.50% for the yr and rates dropped from  3.9 to 2.7, while everyone and their sister thought higher rates in store in ‘14 Bonds. You think yields will continue to drop or has it finally reached its lowest point? Are you willing to say it will go the other way? How about asking the people that made the same decision last year.

30 Yr Bond(Disclaimer: Past performance is not necessarily indicative of future results)

The Most (un)Likely to Succeed / Best Closer = US Dollar

It had its best quarter in 4 years, while other currencies fell flat. But it wasn’t just what it did, it was how it did it – closing fast. For the first six months, the USD didn’t move, while the last 6 months resulted with an up move of 13%.

USD(Disclaimer: Past performance is not necessarily indicative of future results)

The Most Likely Cause of your Acid Reflux = Corn

It’s hard to trade a market that has three consistent trend reversals in one year. From January to May it was up about 20%, then fell around 36% over the next 5 months, and rebounded 24% to close out the year. You must have a strong stomach to dabble in this market (honorable mention = Nat Gas)

Corn(Disclaimer: Past performance is not necessarily indicative of future results)

The Jennifer Aniston = U.S. Stock Indices

This year saw US stocks pile onto the already outstanding run the stock market has been on over the past 5 years, so while the stock market run may be getting a bit older… it’s still looking good, just like Jennifer Aniston.

US STocks(Disclaimer: Past performance is not necessarily indicative of future results)