Mark Melin

Mark Melin

Mark Melin is a managed futures practitioner whose specialty is recognizing a trading program’s algorithmic formula and mapping it to a market environment and performance driver. He provides analysis of managed futures investment performance and commentary regarding related managed futures market environment. A portfolio and industry consultant, he was an adjunct instructor in managed futures at Northwestern University / Chicago and has written or edited three books, including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008). Mark was director of the managed futures division at Alaron Trading until they were acquired by Peregrine Financial Group in 2009, where he was a registered associated person (National Futures Association NFA ID#: 0348336). Mark has also worked as a Commodity Trading Advisor himself, trading a short volatility options portfolio across the yield curve, and was an independent consultant to various broker dealers and futures exchanges, including OneChicago, the single stock futures exchange, and the Chicago Board of Trade.

Beware Non-GAAP Accounting Standards

By Mark Melin, published on The practice of companies using their own, non-GAAP accounting standards to spin earnings is nothing new.  But did last week a statement from Target Stores go too far?  The Minneapolis-based retailer’s spokesman Eric Hausman [...]

Update on Short Ten Year / Taper Trade and New Gold / Currency Trade In Works

This article addresses the yield curve trade that recommended a short position in the Ten Year Note going into the Federal Reserve taper announcement and also tees up a new relative value trade in gold / silver vs a small [...]

Trade Recommendation: Predicting the Taper Wasn’t The Key Component of This Trade

The goal of this article is to explain the volatility yield curve trade to a certain degree.  I know this might sound odd, but the trade was not entirely predicated on accurately predicting the taper even thought that is what [...]

Don’t Be Surprised By Clear Taper Talk From Bernanke For Reasons Other Than Jobs Numbers

On the eve of the Federal Reserve Chairman Ben Bernanke presiding his last Federal Open Market Committee meeting, which wraps up this Wednesday with a press conference, a growing number of hedge fund traders who operate along the yield curve [...]

Yield Curve Trade Recommendation: Short Ten Year Note, Expect Rising Rates (Long Put Volatility / Short Call Volatility)

Expect interest rates to rise   Buy Five Debit Spreads: Buy: 120 June 2014 Put Option (0’59) Sell: 118 June 2014 Put Option (0’30) Purchase spread differential near 0’31 (assume 1 tick transaction cost / slippage on each side of [...]

Comparing CTA Indexes

Comparing CTA Indexes

In their recent white paper, “A Comparison of CTA Indexes,” Red Rock Capital principals Thomas N. Rollinger and Scott T. Hoffman compare the major CTA indexes.  Below is an excerpt of the paper’s primary thesis.  To view the entire paper, [...]

Managed Futures Indices Punch Into the Black as Fed Taper Appears Imminent

Major managed futures indexes punched into the black in November, with the Newedge CTA index up 1.62% following a 1.21% gain in October. Markets currently trending to the upside include the Dax, S&P 500, Japanese 10 year Government Bond, British [...]

Blackstone / Codere CDS Event Highlighted on Daily Show Exposes Larger Economic Issues

A recent credit default swap (CDS) payout event, humorously highlighted by The Daily Show, actually opens a much larger issue, pointing to a core problem with unregulated OTC swaps whose notional value exceeds $600 trillion and dwarfs the world GDP [...]

Outgoing CFTC Commissioner Bart Chilton Makes Strong Statements Regardings

The Commodity Futures Trading Commission has been at the center of a fight to regulate the derivatives that were at the center of the 2008 crash.  This fight took center stage when CFTC Commissioner Bart Chilton recently gave what is [...]

The shortfalls of Venture Capital: Why VC has to become a scientific investment discipline

By John Bhakdi When we think about Venture Capital (VC), we think about great entrepreneurs, secret deals, and the adrenaline rush of hitting the “next big thing”. Silicon Valley is in many respects the financial cousin of Hollywood: full of [...]