Top Traders of 2007

March 2, 2006

From Black Enterprise:
Coming off of three tough years for managed futures in general and trend followers in particular, the CTA community had its best year since 2003 and many traders say this could the beginning of a long run. While the universe of commodity trading advisors had its best performance in recent years in 2007, many of the stalwart long- term trend followers continued to struggle. Campbell & Co., John Henry and Dunn all experienced double-digit losses on some programs, but the larger CTA universe experienced strong returns as the Barclay CTA index returned 7.57%, its best year since 2003.

The year started out poorly for most CTAs as bonds chopped around, but soon many long-term trends emerged. Crude oil bottomed out at about $50 in January and moved basically straight up to $100 by year-end. Grain markets, particularly soybeans, had a sustained rally for much of the year; most currencies appreciated against the dollar and bond markets, after chopping around for the first two quarters, experienced a smooth trend for the second half of die year.

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Rydex sees commodities, currencies in favor

February 29, 2006

From Reuters UK:
Investors are shying away from equities and showing a preference for products that offer exposure to alternatives such as managed futures and currencies, the director of portfolio strategies at Rydex Investments said on Friday.

Rydex, which oversees about $18 billion in assets, is known for products such as inverse funds that move in the opposite direction from a market, or that magnify the direction of a move.

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A lighter shade of high-risk trading

February 13, 2006

From The Globe and Mail:
Trading futures contracts holds the promise of big gains, but the risks are probably too high for the average do-it-yourself investor to stomach.

However, one way to get a taste of the futures market while mitigating the danger is through managed futures.

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Assets that zig when stocks zag

February 8, 2006

From The Seattle Times:
In recent months, stocks around the world have been heading in the same direction: down. That has investors searching for alternative assets that zig when stocks zag. Two assets that have little correlation with stocks ...

Managed futures

In managed futures funds, commodity-trading advisers buy futures contracts for currencies and commodities, such as oil or silver, betting that the underlying assets will rise or fall in value within a certain time frame. One provider, Rydex Investments, has funds based on the S&P diversified trends indicator index. Rydex says the index has a -0.08 correlation with the S&P 500. A correlation of 1.0 means two items move in lock step; a correlation of -1.0 means the two move in opposite directions. A reading of 0 means they have no direct relationship. The index likewise has a low 0.04 correlation with bonds, as measured by the Lehman aggregate bond index. Rydex Managed Futures Strategy Fund (RYMTX) has a 4.75 percent maximum front-end sales charge and expenses of 1.81 percent.

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Justice Dept seeks change on futures exchanges: report

February 6, 2006

From Reuters:
The U.S. Justice Department has called for change in financial futures exchanges, saying they should not own the trade clearing business as it inhibits competition, The Wall Street Journal reported on Wednesday.

The report said the Justice Department's recommendation could affect the potential merger of CME Group Inc (CME.N: Quote, Profile, Research), parent of the Chicago Mercantile Exchange, and Nymex Holdings Inc (NMX.N: Quote, Profile, Research), parent of the New York Mercantile Exchange.

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Managed-Futures Giant Hurt By Currencies in ‘07

February 4, 2006

From FINalternatives:
Managed-futures behemoth Campbell & Co. was hurt last year by trades in the currency market, as well as in fixed-income and equities. The firm’s $11 billion Financials, Metals & Energy Large Portfolio was down 13.38% and its 22-year-old $1.5 billion Global Diversified Large Portfolio lost 11.21%—its first losing year since 1986.

“Losses for the portfolio from currency trading continued into year-end as market participants sold high yielding currencies, particularly the British pound,” wrote Teri Becks, president, in an investor letter. “Fears that the U.K. housing market and general economic growth would slow caused the Pound to finish off 4% on the month. Smaller losses were experienced in fixed-income trading and trading in equity indices as U.S. and European stock markets were extremely volatile in December, while Asian stocks continued to move lower.”

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Gold futures close up 2% after hitting record

January 28, 2006

From MarketWatch:
Gold futures closed with gains after surging to a record $929.80 an ounce Monday, as a weaker dollar and expectations of another Federal Reserve rate cut boosted demand for the precious metal.

Gold for February delivery hit the high of $929.80 an ounce on the New York Mercantile Exchange, surpassing the record of $924.30 set on Friday.

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Make It Eight Years In A Row For Managed Futures

January 23, 2006

From FINalternatives:
Managed futures gained 7.54% in 2007, making it eight straight years of positive performance for the strategy, according to year-end data compiled by BarclayHedge. In fact, over the past 28 years, the Barclay CTA Index has had only three losing years–in 1992, 1999 and 1999, with minor losses of 0.91%, 0.65%, and 1.19%, respectively.

“The managed-futures industry has provided comfortable, stable growth for investors for many years,” said Sol Waksman, founder and president of BarclayHedge. “Since the year 2000, managed futures have provided an compound annual return of 5.67%.”

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Out of the Pit: Futures Go Online

January 14, 2006

From Barron's Online:
ONE OF THE LAST BASTIONS OF OPEN-outcry trading, the futures pits, will be almost entirely automated by the end of 2008. That should allow many more retail customers into a marketplace that's traditionally been dominated by professionals.

Capitalizing on its experience making options trading more accessible, Chicago's optionsXpress (www.optionsxpress.com) has improved upon the futures-trading platform that's now integrated with its other offerings and promises to help would-be traders. From the trading tab on the optionsXpress menu, a customer can click on "Futures" and get set to go.

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Canadian Futures Shop Launches Two New Programs

January 3, 2006

From FINalternatives:
Toronto-based Integrated Managed Futures Corp. today unveiled two new trading programs. The IMFC Multi Strategy Program will invest the bulk of its assets in the firm’s existing IMFC Global Investment Program, and 10% in its new IMFC FxVol Program.

IMFC’s diversified trend following Global Investment Program, which started trading last February, gained some 17% in 2007. The program currently manages some C$4 million in assets under management.

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Futures stay put as Fed rate decision looms

December 11, 2006

From Yahoo! News:
Stocks index futures were little changed on Tuesday as investors turned cautious before the Federal Reserve's meeting later on Tuesday, which is expected to bring an interest-rate cut.

Washington Mutual (WM.N), one of the largest U.S. home mortgage lenders, fell before the opening bell after it said late on Monday that it would cut its dividend by nearly three-quarters, eliminate more than 3,000 jobs and raise $2.5 billion in new capital.

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Despite returns, advisers bullish on managed futures

December 10, 2006

From InvestmentNews:
The performance of managed futures is languishing, but that hasn't diminished their appeal among financial advisers.

Assets in managed futures totaled $184.8 billion Sept. 30, up from $170 billion at the end of 2006 and $130 billion at the end of 2005, according to Barclay Hedge Ltd. of Fairfield, Iowa.

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Futures add to gains on ADP jobs data

December 5, 2006

From Yahoo! News:
Stock index futures extended gains on Wednesday after a report showed much larger private-sector employment growth in November than economists were expecting.

S&P 500 futures were up 9.7 points, above fair value, a mathematical formula that evaluates pricing by taking into account interest rates, dividends and time to expiration on the contract.

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US dominance of managed futures funds under threat

November 29, 2006

From Financial Times:
US dominance of a fast-growing part of the computer-driven, or quantitative, hedge fund industry is under threat from the rising influence of managed futures funds based in London and continental Europe.

North American managed futures programmes - hedge funds which attempt to profit from computerised trading in futures markets - have seen their share of the $185bn market drop from 74 per cent in 2001 to 54 per cent at the end of the third quarter, according to calculations by data provider Barclay Hedge.

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New Website Explains Benefits of Managed Futures

October 24, 2006

From SBWire:
Managed Futures are an asset class that people have been flocking to for the last decade. As the stock market continues to oscillate and daily price moves of hundreds of points become more common, the wealthy are flocking to non-correlated assets. The commodity markets are in one of the biggest bull markets we’ve seen in decades so it makes sense that people are looking to diversify into these areas and a professionally managed futures account is a perfect solution for many people.

Commodity Trading Advisors are registered with the National Futures Association to handle assets for the public. They are required to have audited returns and to file a copy of their disclosure document with the NFA. Periodic reviews and audits insure that the investor can get a true feel for the way a manager trades and what kind of risks they take to make those returns. When reviewing the results of a managed futures account an investor must make sure the program is registered with the NFA and has an audited record.

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Managed Futures Bounce Back In September

October 19, 2006

From FINalternatives:
What a difference a month makes: August heat gave way to a cooler September breeze as managed futures gained 3.76% last month, according to flash estimates from the Barclay CTA Index. The Index dropped 1.63% in August.

All eight of Barclay’s CTA indices were profitable in September. Diversified traders jumped 5.24%, systematic traders gained 4.14%, and the financial and metal traders index was up 2.31%. Seven of the eight of Barclay managed futures indices show modest gains for the year. The only exception is the agricultural traders index, which is down 2.26% for the first nine months of 2007.

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Exchange chief hints at futures trades for water

October 18, 2006

From Times Online:
The prospect that water may eventually join crude oil, pork bellies, orange futures and other commodities traded on global markets was raised in Tokyo today by Craig Donohue, the chief executive of the Chicago Mercantile Exchange.

Mr Donohue, who runs the world's largest commodities trading exchange, declined to confirm directly that water would become a tradeable commodity, but told The Times: "We are working on a lot of products".

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Stock futures steady ahead of earnings

October 18, 2006

From BusinessWeek:
Wall Street moved toward a slightly higher open Thursday ahead of another batch of third-quarter earnings reports and data that will likely show regional manufacturing is slowing.

Investors will examine earnings reports from Bank of America Corp., Bank of New York Mellon Corp., Google Inc., and Pfizer Inc. About 60 members of the Standard & Poor's 500 index have reported quarterly results so far this week.

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A Look At The Next Generation of Commodity Indexes

October 11, 2006

From SeekingAlpha:
Investors seem to have a love-hate relationship with commodities. Not me - long time readers know that I am a big fan of both commodities and managed futures. Three months ago I wrote an article on managed futures and how Renaissance was planning on launching a $25 billion fund. Recently, Morningstar (MORN) announced some new commodity indexes, and I thought I would take a look under the hood.

[This is also a great example of a former alpha source becoming commoditized and repackaged as alternative beta at a much lower cost. If I ran a CTA/CPO, or was considering becoming a long term trend-following CTA, I would focus on a system that has zero or negative correlation to the long term trend-followers (which the vast majority of CTAs are). Take note highly compensated "alpha" managers everywhere, your jobs are in danger!]

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Managed Futures: Pitfalls in Performance Evaluation

October 10, 2006

From The Market Oracle:
While the futures industry's regulatory rules provide clear guidance as to the presentation of managed account composite performance reporting, there are pitfalls in making investment decisions based on a track record's outward appearance without considering the potential for internal distortions.

In the first article of this three-part series about managed futures we alluded to concerns about the intricacies of adept CTA performance evaluation. This article further explores that topic.

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MF Global acquires Australian futures broker

September 28, 2006

From Reuters:
MF Global Ltd (MF.N: Quote, Profile, Research) said it acquired BrokerOne Pty Ltd, a Sydney-based futures broker, strengthening its position in the Australian futures and options market.

Further details of the deal were not disclosed. It expects the deal to add to its earnings over the next 12 months, the futures and options broker said in a statement.

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FUTURES s.r.o. has launched a new information portal about managed futures

September 27, 2006

From PR-inside.com:
A consulting company FUTURES s.r.o., a specialist in managed futures and hedge funds, has launched a new information portal containing an overview of available industry-related sources, the latest news concerning managed futures, interviews with managers, as well as audio and video files about this issue. The portal centre is the database of managed futures programs (currently containing about 200 programs), where each of which is subject to a thorough statistical analysis.

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Futures-based hedge funds buck trend with 6% gain

August 16, 2006

From FinancialNews-US.com:
Hedge funds following the oldest computer-based strategy, managed futures, have bucked the trend of quantitative firms’ losses by recording gains of up to 6% this month, according to bankers.

French group Systeia Capital Management said its managed futures fund had risen 5.97% from the beginning of August to the end of trading on Friday. US quantitative asset manager First Quadrant’s global macro fund is up 2% this month, say investors. However, the UK’s Winton Capital said its fund was down 1% last week.

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Listen to the music

August 12, 2006

From ArabianBusiness.com:
I was recently interviewed by a reporter in Europe whose focus on investing reflected the ideas of most people I meet. He wanted to know what the next hot investment was going to be and how he should get into it before everyone else does. But instead of phrasing the question in that way he queried: "So where is the music going to play next?"

My answer was the same one I've given for the past 11 years. Those of us in managed futures are not clairvoyants, and we don't have to be, because with managed futures funds, the music plays everywhere.

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