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.

MF Global Stand Down Order Questioned For First Time

It was October, 2012 and the Futures Industry Association (FIA) conference was winding down at an eerie point in time. It was near Halloween, an event that will always bring back clear memories of the MF Global criminal incident.  One [...]

CTA Analysis Starting With Beta Performance Drivers

When analysis of a CTA begins, where is the appropriate place to start? This article makes the point that beta performance drivers are the logical starting point.  This is important from a number of perspectives, including correlation and determination of [...]

Can Market Volatility Be Predicted? I say no; Scott Reamer, CIO at volatility trading program Rotella Chora, disagrees

Unfamiliar to even many sophisticated asset managers, volatility investing provides unique opportunities for risk management and market understanding. Volatility investing involves trading programs based on market price volatility.  The primary volatility market is based on the stock market, but variations [...]

HTF Regulatory Challenge: Define High Frequency Trading

How does one define a previously un-definable topic such as High Frequency Trading (HFT)? Sources close to the Commodity Futures Trading Commission (CFTC) indicate new thinking may be underway regarding the topic of High Frequency Trading (HFT). Speculation is this [...]

Can The Next Flash Crash Be Better Managed With a Volatility Interruption Algorithm? Does Eurex Exchange have the answer?

A significant issue with High Frequency Trading (HFT) has always been defining the activity and related behavior during times of crisis. “The issue is HFT impact on market stability,” noted Dr. Randolf Roth, Head of Market Structure for the Eurex [...]

What’s Missing in the Debate over Residual Interest Income: Monopolistic Control Over Futures Industry Brokerage

While it sounds mundane, the “Residual Interest Income” issue has the potential to literally change the face of the regulated derivatives industry. In just one line of a massive Dodd Frank bill with unnecessary complexity and obfuscation, large bank interests [...]

Hedge Fund Legend Stanley Druckenmiller Talks Debt Crisis Truth

Hedge fund legend Stanley Druckenmiller made a rare appearance on CNBC to discuss the debt crisis with Maria Bartiromo, who appeared to keep pace with him step for step. Mr. Druckenmiller has been talking the debt crisis about the debt crisis [...]

NFA Board Holds Off Lifetime Ban On Jon Corzine… For Now

The National Futures Association Board of Directors did not immediately act on a motion to ban former MF Global CEO Jon Corzine for life, but left open to possibility of the self regulator taking action after ongoing investigations currently underway [...]

Documenting the Journalistic Tone Regarding Financial Crimes & MF Global

It took 60 minutes (CBS) and Frontline (PBS) to publicly document what had been known to many inside the derivatives industry. In 2008 derivatives crime that cost the US economy $12.8 trillion were not prosecuted.  But worse yet, these crimes were not [...]