CTAs & Managed Futures

CTAs & Managed Futures

Why Past Performance of a Conventional (60-40) Portfolio Is NOT Indicative of Future Performance

By Mike Dever / Brandywine Asset Management For the past 31 years[i], a conventionally-diversified portfolio consisting of 60% stocks and 40% bonds has provided investors with satisfying returns of +10.80% annually. This was the result of both stocks and bonds [...]

Managed Futures Account Type Categorization

There is much discussion regarding account type options.  The first place to begin understanding is categorizing the account type.  While many categorization opinions exist, I organize account type in three categories based on their regulation, distribution channel and primary investor [...]

What questions should you ask a volatility CTA? I like to start here…

When speaking with CTAs its productive to have at the ready a number of interesting questions to get an interview process rolling.  Here are some conversation starters that break the ice: Can volatility be predicted?  Past study of volatility has [...]

Efficient Capital June Market Analysis

iSTOXX® Efficient Capital® Managed Futures 20 Index 07/02/2013 The iSTOXX® Efficient Capital® Managed Futures 20 Index, developed in collaboration with Efficient Capital® Management, a leading investor in the Managed Futures space, represents the 20 largest Managed Futures Traders. Strict rules [...]

Recommendation: Invest in Short Volatility CTAs

Recommendation: Invest in Short Volatility CTAs

I’m making a recommendation for aggressive asset managers to invest in short volatility options programs with a separate trend following hedge exposure. Below is the first such recommendation.  Other recommendations will follow tomorrow.   Global Sigma      $66 million AUM Duration [...]

June OFI Released: Market Environmental Reactions / Investment Manager Due Diligence

The most recent version of Opalesque Futures Intelligence is out.  Members can view the June issue here: OFIJune2013 Some of what I find interesting is how various managed futures programs handled the current market environments, how a firm like Wilshire goes [...]

I’m Recommending Investing in These Specific Managed Futures Fund Products on a Drawdown

This recommendation is intended for Qualified Eligible Participants, sophisticated enough to understand the risks in managed futures and derivative investments. I am issuing a recommendation to invest in certain trend following models, particularly those who have experienced a drawdown over [...]

Short Volatility Strategies Risk Management Programs Are Tested

This is the market environment where a short volatility trading manager proves their worth.  Two recent Pinnacle Award winners in this regard are of note.  Short volatility players LJM Partners and Global Sigma, both a run with obsessive mathematical backgrounds, [...]

Last Six Trading Days of Month Hit CTA Performance in May

Last Six Trading Days of Month Hit CTA Performance in May

The Newedge CTA index ended the month Friday down -1.51%, taking significant losses in the final six trading days of the month.  During these final days, the index was down -2.88% in six days of trading alone but is still [...]

Managed Futures Insider Report

Market Force of Trend:  In the last published report (below) we said: “For trend followers been watching the price persistence in KC wheat, note that trend depth level gauges are starting to weaken.”  In this report we note that gold [...]