Asset Class Scoreboard YTD

Everyone down, now everyone back up (except you commodities…). Seems like everything has been moving in tandem of late, with everything reversing their July losses for gains in August. Except commodities, which remain the lone asset class down on the year. And meanwhile, managed futures has been hanging in there pretty well given how poor of an environment it’s been with the ultra-low volatility. {past performance is not necessarily indicative of future results}.

Asset Class ScoreboardChart Asset Class

 

(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)

The Top 37 Posts Ranked by Readers this Summer

This week is a significant week for many: the end of summer, the end of vacation, beginning of a new school year, the start of the NFL season (Go Bears!), and a possible move in the markets. But between all your summer plans, you might have elected to turn off those phones, tablets, fancy gadgets, and in turn were unable to read some of Attain’s best posts over the past couple of months.

So instead of making you search for them all (or even worse, not read them) we decided to list the most read blog posts that were written this summer (May to Present). Enjoy.

 

1. “CNBC didn’t screw up their Interview with Winton’s David Harding

CNBC makes a second attempt at interviewing Winton’s David Harding and this time around they managed to ask questions actually dealing with the Managed Futures industry. Here are our takeaways from the interview.

2. “A Big List of Alternative Investment Folks on Twitter

Here’s our compilation of people and firms currently out there on twitter (in no particular order, despite the numbering)  providing the latest insight, humor, debate, and news on investments – especially the alternative kind.

3. “And Now… Some Words from Winton’s David Harding

Winton’s David Harding made it all the way across the pond to Chicago to accept the Pinnacle Achievement Award. Before this post, we’ve never captured his thoughts and insights directly. Here are the questions and answers we asked Harding directly about the industry.

4. “Lessons Learned From 37 Years of Futures Trading 

Sometimes you need to dig up some of your old posts, because it proves just as relevant today, as it did back then. That’s the case for this post we dug up from March 2011. The post is written by former Attain employee Barbara Mueller, who last most than 37 years of futures trading experience.

5. “Rise of Robo-Advisors?”

What are Robo Advisors? Why the sudden attention from the financial media? Some believe they threaten to shift the way the financial advisor business model works. More importantly, what would this mean for alternative investments?

6. “Do We Still need to do this? A Trend Following Rebuttal

We’ve been known to help straighten out some wayward journalists from time to time, and our friend Michael Covel pointed out just such a journalist in need of some help. Noah Smith of Bloomberg View wrote a not so accurate depiction of trend following and we felt the need to provide some educational material on the matter. Here’s our thoughts.

7. “Attain’s Semi-Annual CTA Ranking

Completed in July of 2014, our Semi-Annual CTA Rankings have been released in pursuit of answering the most frequently asked question, “What’s the BEST managed futures program?”  Who’s the best is a tricky question? Do you mean: Best last year? Best for all time? Best risk adjusted return? Best in terms of lowest drawdowns? Overall, there are 8 separate categories, from best programs with risk adjusted performance, best reward managers, as well as best on our Attain Focus list.

8. “Here it is, the Big Sell Off… has been Wrong the past 169 Times

The Dow Jones dropping 300 points in a single day at the end of July seemed like the beginning of the end of the Bull Run,  or at least that’s what people thought. But every dip like this over the past five years has been little more than that – a dip. That got us wondering… what’s the average return of the S&P for the following 1, 30, and 90 days after falling -1 percent or more?

9. “Can you Time the Market Without Crying?”

It doesn’t make much sense to talk about missing the 10, or 20, or 40 best single days in the stock market. Most market timers aren’t trying to avoid a single bad day, and get back in the next day. It makes much more sense to us to talk about what missing the best streaks of days looks like. The best 10 and 30 days periods, for instance.

10. “The Climate of Volatility, Investing, and Science

Barry Ritholtz’s came out with a piece suggesting we shouldn’t think about the increase of weather extremes as global warming, or even climate change. He’s believes we should think about it as a dramatic increase in the global climate’s volatility, what he calls Global Weather Volatility. So how do you bet on Global Weather Volatility?

11. “No Grain. No Gain.

The grain markets were in one beauty of a down trend this summer. The reason these moves are attracting so much attention is because they’re both technical and fundamental. Meaning, both systematic and discretionary managed futures programs were participating.

12. “Even Bad Diversification Works

This summer, Business Insider released “The Most Important Charts in the World,” and we were presently surprised to see a chart entitled “Diversification Works.” The only problem is the chart uses foreign stocks as their diversification to U.S. stocks, which isn’t all that diversified. So we replaced the foreign stocks allocation of the portfolio with Managed Futures. Would diversification have “worked” then?

13. “Alternative Investments: Why Do we Care?

Our CEO Jeff Malec was invited to present at a “Lunch & Learn” put on by Advocate Asset Management, and their partners Aegea Capital this summer. Thing is, he wasn’t a huge fan of his spiel, having one of those ‘a ha’ moments on the walk back to the office where you think, I should have approached it this way.  Here’s Jeff’s revised speech, getting into why we’re all worried about this alternative investment stuff in the first place.

14. “Attain Launches Family of Alternative Fund (AttainFunds.com)

If you haven’t checked out our new website in conjunction with the launch of our new family of alternative investment funds, here’s another. The new family of Attain Funds contains five single manager funds across different alternative investment strategies: Trend Following, Short Term Trading, Relative Value, Agriculture, and Global Macro; while containing several “platform” features such as the ability to switch between funds and transparency through the daily reporting of positions.

15. “Mama Said Knock You Out

For those of you who weren’t rocking to LL Cool J in 1995, his ‘comeback’ song famously begins with the line, “Don’t Call it a Comeback.” Well, we bet the Emil Van Essen managed futures shop here in Chicago, may have been humming that first line (if not the entire song) throughout the month of July. You see, Van Essen managed to post estimated returns of 6.00% in July, their best month since May of 2011 {past performance is not necessarily indicative of future results}.

16Get Ready to be Long Crude Oil

Remember to the beginning of July when ISIS began its invasion into multiple Iraqi cities? This sent talking pundits for a Long Crude call, and well, that didn’t really happen {past performance isn’t necessarily indicative of future results}. But while all that noise was taking place, the technicians, or quants as they preferred to be called these days, weren’t  looking at the news, they’re looking at the technical’s, and seeing the following:

17. “Natural Gas ETFs – Heads You Lose, Tails You Lose More

We’re not sure if this is a commentary on the volatility of Natural Gas, on the dangers of turning futures markets into ‘safe looking’ ETFs, or on the age old problem of investors getting in exactly at the wrong point… but it sure is a weird set of circumstances when investors buying the long ETF are down about the same amount since inception as those buying the short ETF {past performance is not necessarily indicative of future results}.

18. “Forget the Fed should we be worrying about Japan?

We just wrote the post coming from a long Labor day Weekend and it has got quite a bit of attention. If the Federal Reserve isn’t going to be the catalyst for interest rates finally moving higher, maybe it will be another player??  That’s the question floating around after the Bank of Japan made an inconsistent choice to remove an artificial demand for 10yr JGB.

19. “Trade Commodities or Invest in Them?

Ben Carlson has been nailing it lately over in Tumblr-ville on the new Yahoo Finance Contributor network. His most recent article “Are Commodities for Trading or Investing?” was right up our alley. The piece echos what we’ve said before, that commodity ‘investing’ doesn’t look so great when it is a “long-only“ approach.

20. “Managed Futures Asset Flows = Thanks Bridgewater

We were skeptically optimistic when we looked at the asset flow report from Barclayhedge in June, which showed the best inflows for managed futures in  8 months, gaining $1.2 billion. But just how much of it is thanks to Bridgewater?

21. “The Folly of Prediction (World Cup Style)

We’re big World Cup fans in the Attain office, and we enjoy the U.S.’s run all the way up to their lose to Belgium. Being data and stats folks, you think we would have been into the “odds of winning” stats being thrown about by Bloomberg and Five Thirty Eight? Why do we care?  Because there’s a whole lot of prediction nonsense in the financial markets that is almost continuously wrong:

22. “Bloomberg Vomits Alternatives

We couldn’t resist a Bloomberg headline the other week, which essentially equates standard alternative investments with “exotic” investments such as investing in classic cars like Ferraris. Do Stamps, Wine, and Ferrari’s count as Alternatives?

23. “Alternative Links: Is this what Every Commodity Trader Looks Like?

Besides the Alternative Links that were making headlines that week, we just so happened to come across some interesting Commodity Trading art, and of course we featured it.

24. “How I missed 1,300% in $GOOG”

It’s the 10 year anniversary of one of the most successful IPO’s of all time. How stupid were most of us not to get in on the Google train? Why talk about it now? Why beat ourselves up about it now? Because if we can’t learn from missed opportunities, we’re doomed to miss them again and again.

25. “Who needs the USDA when you can live tweet Crop Conditions

What gets Ag folks excited on Twitter? Live Tweeting crop conditions. Last Month, the people of the “2014 Pro Farmer Midwest Crop Tour,” were tweeting their hearts out with the hashtag #PFtour14 to show the conditions of corn and soybeans across the Midwestern states. This crop tour is unique in that they don’t want to focus on yield numbers specifically, but the big picture.

26. “Does the iPhone come in John Deere Green?

If you had to guess how many farmers had a smarthphone in the U.S. what would be your answer? What if we took it one step further and asked how many farmers use their smartphone to access grains and livestock pricing on the CME Group website.

27. Invest Like a Billionaire?

“What would you say if someone told you, you could invest like the Warren Buffet’s of the world? Direxion has taken this idea and launched the Billionaire ETF (IBLN) which tracks companies selected from portfolios of asset managers with a personal net worth of at least 1 Billion. But there are a couple holes in this idea.”

28. “Complacency Everywhere

There’s no doubt that 2014 has been the year of little to no volatility…. In stocks. Here’s the thing that’s driving those who do more than just stocks — CRAZY. It isn’t just the stock market that’s seeing record low volatility. Complacency is everywhere. It’s for sure in stocks, but it’s also in countless other markets.

29. “Why Hedge funds don’t Care if They’re Underperforming the S&P 500

The problem with saying hedge funds are underperforming the S&P 500 is that the grand majority of them aren’t even trying to beat the S&P 500 in returns, for any set period. They are trying to deliver better risk adjusted returns than the stock market, but that doesn’t make for as good of a headline.

30.A Global Macro take on Crude, FOMC, and Everything in Between

In case you missed it, we took to the airwaves with BTFDtv to talk everything from Corn plantings to interest rate levels with Mr. Roland Austrup, manager of the Attain Global Macro fund. We knew Roland would be a great guest as he has a great TV face, and loves to talk markets. Did he Ever.

31. “Low Volatility not so Smart?

Risk is bad, right? Volatility is the enemy of the efficient portfolio?  All else being equal, the intelligent investor would prefer less ups and downs in their investments… right?

32. “About that Volatility = Complacency Claim

Does low volatility in the markets other than the VIX truly mean that investors are complacent? The theory is if investors think equities are going lower, it will be accompanied by increased volatility, and therefore the price of the VIX will move higher. But does this same logic work in the Bonds market or in Currencies? We think no…

33. “Would You Like some Volatility with that Pulled Pork

Despite news of the hog virus hitting 14 months after the market took notice, the volatility in the market in 2014 continued especially this summer, with 5 more limit moves (4 up, 1 down), bringing the 2014 total to 7; putting the Hog market at the most limit moves experienced in the last 6 years.

34. “The Secret Club That Runs the World

Wow, the editor really got carried away with that title. We picked up a copy of Kate Kelly’s (great name) book ‘The Secret Club That Runs the World – Inside the Fraternity of Commodity Traders’ the other day, and after finishing it off – think the title probably should have been something more like:  A few traders who took enormously large risks, made fortunes, lost fortunes, and then faded into relative obscurity. But that might not have sold so well.

35. “Getting Out of the Game

For those who’ve been too busy looking at the fines, guilty pleas, and general misdeeds at the big banks over the last year – you may not have realized their getting out of the commodities trading game, en masse. But why?

36. “Be Cautious on Counting Correlations

This has always been a favorite discussion. Correlation does not equal causation. The site Spurious Correlations really puts it into perspective.

37. “About those Higher Interest Rates

Raise your hand if you’ve been waiting, and waiting, and waiting for interest rates to finally rise. 2014 was surely the year the move lower (rates higher) was supposedly going to gain steam, except nobody remembered to tell the bond market what it was supposed to do.

Alternative Links: A Mixed Batch

Performance:

Hedge Fund Industry Waits for Managed Futures to Recover (Subscription Required) – (Efinancial News)

Managed futures August Performance — (Attain Alternatives Blog)

Hedge Funds:

Hedge fund industry snapshot: $2.6 trillion in 11,000 funds – (CNBC)

Liquid Alts:

Flows to Liquid Alternatives Strengthen in July – (Daily Alts)

Vanguard urges caution on liquid alts – (Investment News)

Is your ‘alternative’ fund a ticking time bomb? – (Market Watch)

CME:

GFI Group Shareholder Sues to Block CME Group Acquisition – (Bloomberg)

CME Group Announces the Launch of Illinois Basin Physically Delivered Coal Futures – (Market Watch)

Futures & Miscellaneous:

Big Crops Drive Futures To New Contract Lows – (Farm Futures)

Managed Futures August Performance

August will go down as one of those months in which Managed Futures (specifically trend followers) were able to fully capitalize off of futures markets & sectors moving in different directions simultaneously to create unique trends. Some notable trends include: Long Bonds, Long Stocks, Long USD, Short Foreign Currencies, Short Precious Metals, and Short Grains {past performance is not necessarily indicative of future results}.

Put all that together, and Managed Futures posted its best monthly return of the year, with August indices returns averaging a tick under +2.50% {past performance is not necessarily indicative of future results}.

However, these market moves weren’t ideal for all CTAs. Short Term programs we track didn’t fare as well in the past months consistent up or down trend movements, as they rely on more back and forth mean reversion moves in the market.

Here’s the month by month performance of Managed Futures for 2014 thus far:

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

Alternatives Links: The Commodity Backlash

Commodities:

Commodities Volatility Shakes Up Hedge Funds – (Wall Street Journal)

Commodities Rally Is Half-Baked – (Wall Street Journal)

Trade Commodities instead of ‘Invest’ in them – (Attain Alternatives Blog)

Alternatives:

High Fees vs Low Fees – (MorningStar)

Exchanges:

CME Group resumes electronic trading after glitch delays open – (Reuters)

Futures & Miscellaneous

Deutsche Bank sells N. American Natgas book to Morgan Stanley – (Reuters)

Regulation:

High-frequency trading critic Chilton joins HFT lobby effort – (CNBC)

CFTC names Christopher J Kirkpatrick as secretary – (HedgeWeek)

A Global Macro take on Crude, FOMC, and Everything in Between

In case you missed it, we took to the airwaves with BTFDtv via a Google Hangout yesterday to talk everything from Corn plantings to interest rate levels with Mr. Roland Austrup, manager of the Attain Global Macro fund, one of our newly launched family of alternative funds.

We knew Roland would be a great guest as he has a great TV face, and loves to talk markets. Did he Ever. From geo-political risk, opportunities in the commodity and currency markets, the problem with crude oil, interest rates and the FOMC, hedging European markets, and  U.S. drought but plentiful crops; there was certainly no topic that wasn’t touched on. See the full interview below.

For more information on the IMFC Global Macro strategy utilized by Attain’s IMFC Global Macro fund , download the report here.

Alternative Links: The Next 5 Years

Managed Futures in the Next Five Years – (Hedge Fund Intelligence)

Feature – Advisors that are ready for the bear market with alternatives – (Barrons)

Education:

Deconstructing Management Fees In Alternative Funds – (Forbes)

How to Think About ‘Alternative’ Investments (Managed Futures gets bad mention) – (WSJ)

Recognition:

NIBA Member of the Month: Attain Capital Management – (NIBA)

Futures and Miscellaneous

Speculators widen corn net short position-CFTC – (Reuters)

General insurance accounts increasing use of alt investments – (Hedge Week)

CME Group launches Eurodollar bundle futures and options – (Futures Magazine)