Derivatives Industry Talk

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 [...]

What is the capacity of managed futures? Newedge white paper explores the topic

In a recently released strategy note, Newedge researchers Galen Burghardt and Lianyan Liu teamed with Ewan Kirk of Cantab Capital Partners to consider an often discussed issue: Is there a capacity issue with managed futures.  The research team dives deep [...]

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 [...]

CTAs / CPOs Call For Industry Leadership in Horizon Cash Management Survey

The fastest growing segment of the financial services industry was the one hardest hit by MF Global’s suspicious demise and overt fraud at Peregrine Financial Group (PFG). The managed futures industry, which had grown from $14 billion under management in [...]

Is JPMorgan’s Voluntary Return of MF Global Customer Assets Fruit From a Hard Investigation?

The voluntary return of $546 million in MF Global customer assets, the subject of hard fought 2 ½ year battle, was not motivated solely by the kindness of JP Morgan.  Rather, it could be considered fruit from a likely hard [...]

CTA Campbell & Company Releases Critical Interest Rate Study

Download the full study here: Prospects for CTAs in a Rising Interest Rate Environment Campbell & Company, a specialist in systematic trading strategies, touched on a hot button issue recently when it released its white paper “Prospects for CTAs in a [...]