Fri, Apr 29, 2016
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).  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.  Altegris performance is as of 4/13/2013 according to their web site. Past performance is not indicative of future results.  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.  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.  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.  Gold in particular has experienced strong short-term and mid-term price persistence, first identified in December.  However, some short term models appear to be showing signs of indecision.  Certain relative value traders have been eying the relationship with the Canadian Dollar as this correlation can appear interesting at times.   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:  Certain value tables noted that the Canadian Ten Year Government Bond has been diverging from the Canadian currency.  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:  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.  During this time the S&P 500 returned -43.9% for the periods, as traders are looking to capture trends and relative value opportunities.  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).  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. Hedge funds see $14.3bn outflows in Q1, CTAs and multi-strategy lead net inflows[more]

    Komfie Manalo, Opalesque Asia: The hedge fund industry saw net outflows of investor capital in the first quarter of the year, totaling $14.3bn, data from Preqin showed. This continues from the $8.9bn overall net outflows that funds recorded in Q4

  2. Third Point calls Q1 "catastrophic" for hedge funds[more]

    Bailey McCann, Opalesque New York: The first quarter of this year was rocky for hedge funds based on aggregate performance from the industry, but now we are beginning to hear what the managers thought of it as quarterly letters make their way to investors. Dan Loeb, CEO of New York-based $17 bill

  3. Asia - Stabilization of China's capital outflows may hinge on Janet Yellen, Fink says China to do well this year as bubble threat postponed, Chinese hedge fund to invest in India’s infrastructure[more]

    Stabilization of China's capital outflows may hinge on Janet Yellen From Bloomberg.com: Whether China’s recent stabilization of its currency and capital outflows continues -- or downside pressure reignites -- may hinge in large part on Janet Yellen. If the Federal Reserve chair sticks to

  4. …And Finally - After all, judges are human too[more]

    From Newsoftheweird.com: In March, one District of Columbia government administrative law judge was charged with misdemeanor assault on another. Judge Sharon Goodie said she wanted to give Judge Joan Davenport some files, but Davenport, in her office, would not answer the door. Goodie said once the

  5. Comment - Unmasking the men behind Zero Hedge, Wall Street's renegade blog[more]

    From Bloomberg.com: Colin Lokey, also known as "Tyler Durden," is breaking the first rule of Fight Club: You do not talk about Fight Club. He’s also breaking the second rule of Fight Club. (See the first rule.) After more than a year writing for the financial website Zero Hedge under the n