Alternative Links: 10 Things To Consider

Managed Futures:

Smooth Risk – (Top Traders Unplugged)

Illinois Teachers invests in 2 managed futures strategies – (Pensions & Investments)

Taming The Markets – (FA Magazine)

Trend-followers versus managed futures – Is there a difference? – (Lakewood Views)

10 Reasons to Consider Adding Managed Futures to Your Portfolio – (CME Group)

Futures Markets:

Your Salad Lunches Are Killing American Leather – (Bloomberg)

What the (Yen) IS Going On! – (Attain Alternatives Blog)

Wall St. Sucks at Predicting Interest Rates, and so does Everyone Else – (Attain Alternatives Blog)

Hedge Funds:

The Billion Dollar Club – (Reformed Broker)

Alternative Links: Asset Flows

“And after six months of strong results after years of underperformance, managed futures strategies (which make bets on commodities and other futures contracts) [brought in] $4 billion in January alone.”

As Hedge Fund Returns Falter, Money Continues to Flow In – (The New York Times)

Performance:

2015 is unlikely to be another 2009 – (CTA Intelligence)

Macro Hedge Funds:

Macro Hedge Funds “Stinking Up The Joint” – (Barry Ritholtz)

Crude Oil:

Emil Van Essen Explains “Volatile Two Way Markets” – (Wall Street Journal)

Commodities explained: Hedging oil volatility – (FT)

Brent below $60 on US crude build, Saudi sees recovery – (CNBC)

Industrial Metals:

London Metal Exchange to Improve Warehouses to End Aluminum Bottlenecks – (Wall Street Journal)

Attain & RCM Join Forces:

RCM Alternatives and Attain Capital Management to Join Forces – (Futures Magazine)

How RCM uses education to build business in alternative investments – (Chicago Tribune)

Making It Attainable: RCM Buys Attain To Broaden Managed Futures Reach – (John Lothian)

Attain and RCM to Join Forces! – (Attain’s Alternatives Blog)

7 Technical Indicators to tell when the Crude Sell Off is Done

Is Oil back at $100 and nobody told us? You would think with the Bloomberg headlines “Oil is on a Gigantic Tear,” and “Oil Enters Bull Market” that the down trend in Oil Prices may be over. Turns out, this is an example of why you sometimes need to read more than just the headlines, in one of those read between the lines / apply some context moments. Here’s Bloomberg’s context:

“After plunging for months, the price of oil has boomed over 20 percent in just the last three trading days. Last Friday it was just over $44 per barrel. Today it’s selling at nearly $54 per barrel.”

Now, Tuesday’s highs were in fact in the $54 range (even though it ended up the day in the $52 range) and the “bull market” math does work out if you buy into the sacred 20% level for signifying a bull market. But it sure doesn’t feel like a “Bull Market” in Crude Oil after the unbelievable veracity of the sell off, does it?  There should be some metric which adjusts the ‘bull market’ level for the just lived through ‘bear market’ levels.

Which leaves us with the question, how can you tell when these articles are just stirring the crude oil pot, and when is the market actually coming out of its months long downturn? How do professional trend followers tell when a trend is over? Or about to be over?

Is it as simple as watching until the market breaks through a carefully drawn trend line on your chart? It can be. But the professional traders who collectively run billions of dollars in managed futures programs with trend following models, actually use a few different methods for determining when a trend is over; looking at everything from moving averages to swing highs and lows, to directional indicators to relative prices.

Using some of these tools, we can look at just how far away (even after this three day “Bull Market”) Crude Oil WTI futures are from signaling an end to the down trend. PS – we assumed a closing price of $52.98 for the numbers below (that’s what was on our screen at the time we started writing).

[Read more…]

Alternative Links: The Swiss Franc

Swiss Franc:

David Harding on the Swiss Franc Move – (CNBC)

The Swiss (Franc) isn’t that Neutral – (Attain Alternatives Blog)

Hedge Funds Dodge Shock Move From Swiss National Bank – (ValueWalk)

Podcast:

Michael Covel Interview with Meb Faber – (Trend Following Radio)

Trend Following:

Managed futures funds shine anew, but mystery remains – (Investment News)

10 Myths about Momentum Investing, Squashed (Momentum is not Trend Following) – (Quant Investing)

Alphametrix:

Futures regulator dogged by questions on conflicts, governance – (Crains Chicago)

Commodity Funds:

After harsh commodity fund shakeout, even the winners see tough times ahead – (Reuters)

2014 – Best/Worst Performing Asset Classes

What “sport” has 1000’s of teams, no rules, gets played night and day across the world with a scoreboard updated minute by minute, day by day, year by year, and decade by decade? It’s none other than the “game” of investing, where a new year is a great time to see where different assets finished in relation to each other.

Now, we’ve said before that comparing different asset class performances is like comparing apples and oranges, so we won’t make too much of Managed Futures coming in “second place” But, hey, if you can’t trumpet managed futures good year on a managed futures blog, where can you do it? We’re just happy Managed Futures proved that they have unique return drivers, and can perform when stocks are moving up or down. (For more on how and why managed futures performed the way they did, see our 2014 Managed Futures Strategy Review).

Elsewhere, world stocks slid in December, to be the only other asset class finishing in the negative on the year other than commodities… talk about a tough year for diversified portfolios.

P.S – If you’re looking at commodities and wondering if we looked at the data incorrectly, the answer is no… commodities did end down -14.32% in December alone, down -32% on the year.

Asset Class Scoreboard Final(Disclaimer: Past performance is not necessarily indicative of future results)

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 (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)