Fri, Aug 26, 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. Institutional investors - Investors set to increase allocation to private debt, With investment income key, Richmond retirement system faces funding challenges[more]

    Investors set to increase allocation to private debt Investors are set to increase their allocation to private debt, with 60% revealing they believe the private debt market will grow over the next 12 months, according to a new study by Elian, a leading funds services provider. 41%

  2. Investing - Hedge funds snap up banks, unload Apple, Some of hedge funds' favorite stocks are finally starting to beat the market, Einhorn's Greenlight shifts positions, Treasury yield climbs to two-month high as Fischer joins hawks, 9 stocks smart investors put their money in last quarter[more]

    Hedge funds snap up banks, unload Apple From Barrons.com: Prominent hedge funds have a newfound love of big banks, and some have a distaste for shares of Apple, regulatory filings released last week show. The filings suggest that the funds have been pivoting their portfolios in recent mon

  3. Chesapeake energy seeks $1 billion loan to refinance debt[more]

    From Bloomberg.com: Chesapeake Energy Corp. is seeking a $1 billion loan as the company battered by cratering fuel prices and credit downgrades takes a step to address its $9 billion debt load. The natural gas producer hired Goldman Sachs Group Inc., Citigroup Inc. and Mitsubishi UFJ Financial Group

  4. Institutions - Nordic pension funds magnify focus on unlisted and direct investing, building up teams[more]

    From IPE.com: As bond yields remain at low or negative levels, pension funds and other institutional investors in the Nordic region are stepping up efforts to find higher returns by adding more unlisted investments to portfolios and are expanding in-house teams in order to do this, according to new

  5. Strategies - The 'Holy Grail' hedge fund strategy to handle a black swan the size of World War I, Hedge funds get more pushback on terms as enthusiasm for strategy wanes[more]

    The 'Holy Grail' hedge fund strategy to handle a black swan the size of World War I From IBTImes.co.uk: To illustrate a strategic gap common to today's portfolio managers, George Sokoloff, PhD, founder and CIO at Carmot Capital, proposes an interesting thought experiment – a breakdown of