Thu, Nov 23, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Opalesque Futures Intelligence

Managed Futures Scoreboard

Wednesday, May 22, 2013

By Mark Melin

These CTA index contain the largest CTAs whose performance believed to have been audited by the National Futures Association (NFA).あ Performance sources: http://www.newedge.com/content/newedgecom/en/brokerage-services/prime-brokerage/newedge-indices.html;
http://www.stoxx.com/indices/index_information.html?symbol=STXECMF;
http://www.managedfutures.com/managed_futures_index.aspx;
http://www.managedfutures.com/managed_futures_index.aspx.

*All performance as of 5/14/2013.あ Altegris performance is as of 4/13/2013 according to their web site. Past performance is not indicative of future results.あ Investments in indexes are not widely available and individual performance may vary.

Top Trending Markets / Relative Value Thoughts:

Energy Complex / Natural Gas: The top trending market to the upside has been natural gas, having started to trend February 15, short term trend followers might have received buy signals around March 1, while some mid-term time horizon algorithms March 15.あ On a short term basis, some trend algos started to receive counter-trend signals just after May 2 while longer trend models are holding positions and enduring volatility with an eye to the larger picture.あ Short term relative value CTAs might have noticed the divergence with Oil that occurred during the start of April, as prices have reached a relative convergence point near the start of the month.

Metals / Gold: While natural gas has been trending higher, metals markets have been trending decidedly lower, with gold taking the lead followed by zinc, copper and lead.あ Gold in particular has experienced strong short-term and mid-term price persistence, first identified in December.あ However, some short term models appear to be showing signs of indecision.あ Certain relative value traders have been eying the relationship with the Canadian Dollar as this correlation can appear interesting at times.ああ Other relative value trades include long gold short copper, but the divergence on this spread has not hit in certain algorithm execution points as of this writing.

Financials / Currencies:あ Certain value tables noted that the Canadian Ten Year Government Bond has been diverging from the Canadian currency.あ Trade signals are said not to have been activated, yet, but the market is shaping up for a relative value position, according to sources.

Historical Probability Factor Analysis:あ One strategist using historical probability modeling noted that since 1999 10 Yr. T-Note generated a total return of 41.7% based on its top 20 grossing months.あ During this time the S&P 500 returned -43.9% for the periods, as traders are looking to capture trends and relative value opportunities.あ According to this algorithm developer, citing key trade factors, top markets that are accurately following their seasonal charts include the British Pound (BP), Paris CAC-40 (FCH) & S&P (SP). あTop 5 markets that offer consistent near-zero correlation against Crude Oil: ED, LH, JGB, JY & LC.



 
This article was published in Opalesque Futures Intelligence.
Opalesque Futures Intelligence
Opalesque Futures Intelligence
Opalesque Futures Intelligence
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Tourbillon Capital, a $3.4bn hedge fund that's been sounding the alarm about 'frothy speculation,' is suffering big losses[more]

    From Businessinsider.com: Tourbillon Capital, a $3.4 billion hedge fund firm led by Jason Karp, is suffering. The firm's flagship Global Master fund is down 3.5% for the first 17 days of November, bringing performance for the year to November 17 to a loss of 10.6%, according to a note to investors s

  2. Fund Profile - The Tiger of Silicon Valley: Glen Kacher's sizzling hedge fund[more]

    From Forbes.com: When you live and work in a town where the median home costs $2.7 million and hobnob with the executives of billionaire factories like Facebook and Tesla, it's easy to see why you might think technology stocks are invincible. So far in 2017, the Nasdaq Composite index has gained 25%

  3. Launches - Asset manager launches Europe's first bitcoin mutual fund, Prime Capital Aviation Debt Fund enables aviation debt investments for institutional investors[more]

    Asset manager launches Europe's first bitcoin mutual fund From Coindesk.com: A French asset manager has announced the launch of Europe's first mutual fund centered around bitcoin. Announced today, Tobam's alternative investment fund perhaps represents the latest bid to attract institutio

  4. Legal - Consumers say hedge fund financed illegal tribal lending, New York's highest court permits shareholder of a Cayman-incorporated company to bypass Cayman law and bring derivative action in New York[more]

    Consumers say hedge fund financed illegal tribal lending From Law360.com: Vermont residents on Tuesday hit a hedge fund with a proposed class action in federal court alleging it helped concoct a sham tribal payday lending scheme meant to skirt laws preventing companies from charging cons

  5. Investing - Tech still hedge funds' sweetheart sector: Goldman Sachs, Hedge funds haven't been this leveraged to buy stocks since the bull market began, Top financials hedge fund details short bet against Morningstar, Fund CRC presents an offer for Carige's consumer credit unit, Hedge funds sell shares in Altice USA after difficult quarter[more]

    Tech still hedge funds' sweetheart sector: Goldman Sachs From Reuters.com: Tech stocks remain the largest net sector exposure for equity hedge funds, which are set to deliver their strongest returns since 2013, Goldman Sachs said on Wednesday in a note on the industry's most and l