Managed Futures Exit 3yr Drawdown, Hit New All Time Highs

While we haven’t quite crossed the finish line yet, this is shaping up to be one of managed futures best years in quite some time.  We had its best monthly performance since 2002, its best quarter since 2008 (only because December hasn’t ended yet), and upon closer inspection – November’s performance officially pushed the Newedge CTA Index out of its 3 and ½ year, -12.58%drawdown, to reach all time highs (that’s about 17.79% from the generational low we spoke of in September 2013).

Move over stocks, and let managed futures share that new all time high spotlight some…

Managed Futures AlL Time High 3(Disclaimer: Past performance is not necessarily indicative of future results)

Let just hope we don’t jinx it… it’s embarrassing when we have to pull out the Wilson Phillips song.

Checking in on Liquid Alternatives

With the VIX rising just under 50% over the past month, a high schooler lying about making $72  Million day trading, and Crude Oil dropping like a rock, a lot of folks might be spending their holiday downtime Googling Alternative Investments. And when they do, they are likely to run into the term “Liquid Alternatives” or more colloquially:  “Liquid Alts.”

What exactly are Liquid Alts? Essentially, they are Hedge Fund type strategies (so called Alternative Investments… the Alts part) that are packaged in a mutual fund or ETF which offer daily liquidity and the ability to click and purchase (the Liquid part). Dig a little further and you’ll run into the term ’40 Act Fund’. What the heck is that?

[Read more…]

NFA Elections Are Here. Vote Koutoulas and Roe

One of the few good things to come out of the MF Global and PFG scandals in the futures industry was a renewed interest in good people trying to get involved with the National Futures Association at the Board of Director level – (the other would be the various customer protections since put in place).

Two such good eggs are James Koutoulas and John Roe (even though the former is surely a unique and somewhat odd egg), who were concerned enough about the industry response to MF Global that they created the Commodity Customer Coalition, and organization which worked tirelessly on behalf of MF Global customers (many of which were CTAs and CPOs themselves) to get back what was rightly theirs, all for free.  They’ve appeared in front of Congress, gone head to head with JP Morgan bank (and here), and in their spare time - petitioned to get placed on the ballot for NFA Director to make sure things were being done to make sure it didn’t happen again. (The other CTA/CPO reps – Doug Bry and Ernest Jaffarian, and Attain’s own Jeff Malec, the IB rep, were all elected via petition).

They were elected two years ago, and now with their terms set to renew, they’re facing a contested election; with the nominating committee placing some larger brand names opposite the passionate upstarts on the ballot. We’re here to say, keep these guys on the Board so they can continue the efforts and work they have started. Vote for Koutoulas and Roe on the ballot that should be showing up in your mail any day now, if it hasn’t already.

Now, the contenders surely know their ways around a board room, coming from such heavyweight firms.  But being a registered CTA and CPO ourselves – We would rather have the people who do 100% futures, than the people who do futures as just a part of a global investment company empire. We would rather have a few guys on the board know what it’s like to not have a billion dollars under management, to know what it’s like to have to meet the rules and regulations without a staff of dozens, to know what issues affect the everyday CTA/CPO. Plus, the rules already stipulate that 3 of the 5 CTA/CPO reps have to be from the top 20% in terms of assets under management, and 1 from the top 5%. So the big boys are already well represented, here and elsewhere. It also occurs to us that the AQRs and Wintons of the world will make their mark on the futures industry whether in this role or not.

So our recommendation is to go with the guys who’ve been there on the job for the past two years, and who have gained some momentum in the role. Our recommendation is to vote for James Koutoulas and John Roe. But more than anything… please take the time to vote for your representative to the NFA Board of Directors. You don’t get to complain about the regulations if you don’t vote!

PS – for any IBs out there, Attain’s own Jeff Malec is also on a contested ballot in this same election, and would appreciate your support to continue the work he’s been doing.

Futures vs ETFs (Roll Time)

Here’s our monthly look at the various commodity ETFs and how they track a simple strategy of buying end of year futures and rolling them annually. As we’re here in December, it’s worth mentioning that we’ve already rolled the contracts in our simple strategy, using the last date of October as our roll date.  Using Crude as an example, on 10/31, we would sell the Dec. 2014 Crude contract and simultaneously buy the Dec. 2015 contract, then hold the Dec. 2015 contract through next October.

Plus, we compared Ag Traders and an overall commodity index.

(Performance as of 11/28/2014)

Commodity ETF Over/Under Performance 2014

CommodityFuturesETFDifference
Crude Oil$CL_F
-26.18%
$USO
-27.58%
-1.40%
Brent Oil$NBZ_F
-25.98%
$BNO
-36.19%
-10.21%
Natural Gas$NG_F
-8.80%
$UNG
2.75%
11.55%
Cocoa$CC_F
6.19%
$NIB
3.66%
-2.53%

Coffee$KC_F
55.41%
$JO
58.76%
3.34%
Corn$ZC_F
-16.58%
$CORN
-14.32%
2.26%
Cotton$CT_F
-22.27%
$BAL
-22.95%
-0.68%
Live Cattle$LE_F
28.11%
$CATL
21.00%
-7.11%
Lean Hogs$LH_F
13.62
$HOGS
10.66%
-2.96%
Sugar$SB_F
-13.50%
$CANE
-10.83%
2.67%
Soybeans$ZS_F
-10.64%
$SOYB
-7.96%
2.68%
Wheat$ZW_F
-8.96%
$WEAT
-14.92%
-5.96%
Average-2.47%-3.16%-0.69%
Average without Coffee-7.73%-8.79%-1.06%
Commodity Index $DBC-20.39%
Long/Short Ag Trader CTAs2.90%

(Disclaimer: Past performance is not necessarily indicative of future results)
(Disclaimer: Sugar uses the October contract, Soybeans the November contract.)
Long/Short Ag Trader CTA = Barclayhedge Ag Traders Index)

Make a Kid Happy, Instead of Making us Fat

It’s that time of year again – which means the lights are up, the stores are packed, and people are getting into the spirit of giving. It also means that our office is starting to receive a never ending stream of artery-clogging chocolate covered this and that, blocks of cheese, smoked salmon, baklava, nuts of every shape and size… and did we mention chocolate? This was the scene in our office earlier this week.

death-by-chocolatePhoto Courtesy: geekologie

[Read more…]

6 Takeaways from the Performance of 8 Asset Classes YTD

Our takeaways:

[Read more…]

The Best Tweets on Crude Oil’s Crash

January 2015 WTI Crude just hit 60, and minute by minute, day by day, those people calling for crude to Zero aren’t looking silly after all. Social Media is one of the best ways to get rapid reaction from multiple sources, and see what people are talking about and why. Here’s our crude rapid reaction edition of what we found interesting, important, and entertaining on Twitter ($TWTR). Enjoy.

[Read more…]