Managed futures - something going on with performance

It is always worth monitoring the long view with trends. Beyond the last quarter or year, there are return patterns that show longer-term ch...

April managed futures disappoints - could not catch commodity move

The SocGen managed futures index declined by over 2 percent for the month of April. This decline was in the face limited movement in equitie...

April futures returns - Calm mixed with commodity trends

There was a disconnect between the performance in market sectors and the performance of managed futures funds based on our simple review of ...

Managed futures sector review - liquidity gaps and trend reversals

What was the main cause for the negative performance with managed futures for March? The reversal in sentiment across bonds, rates and curre...

Longer-term versus short-term managed futures performance

A key driver for holding managed futures is crisis beta, the low or negative correlation during times "bad times" versus tradition...

March managed futures underperforms versus traditional assets

We have seen this story before. A reversal of negative fortunes for equities, a loss of momentum with global trends, and asset protection th...

FIA Expo - What is the value to the customer?

The futures industry meets at this time each year to have their annual FIA Expo in beautiful Florida. It allows the executives of the exchan...

Managed futures sector review - sectors trend CTA's make money

Often times you will hear managed futures managers discuss the markets they made money in, but the really relevant issue is whether they wer...

Managed futures still delivering in February

The SocGen CTA index gained 2.89 percent for February and the SocGen Short-term Traders index posted an increase of 2.88 percent for the mon...

Using visuals to tell the return to risk story

Everyone talks about the retune to risk trade-off, but it is a concept that is at times hard to visualize.  A simple tool is to form return ...

Global Macro and managed futures performance off lows

Investors have be abuzz with talk about the good performance for managed futures so far this year, but this performance should be placed in ...

Dispersion in managed futures indices is large - Choosing managers correctly matters

How do you grade your CTA portfolio or an individual manager? A simple way compares manager or portfolio performance with a benchmark. Unfor...

The CFTC - EC CCP accord - what it means for hedge funds

The CFTC and the European Commission agreed on a framework to recognize each other’s clearinghouses, central clearing counter-parties (CCP’s...

Global macro and managed futures come to the diversification rescue

Investors have seen a surge in market turbulence. There has been significant price dislocations and a rising flight to safety by many market...

Rare events and crisis contagion - there is a reason why managed futures may work

There has been a significant amount of research on the value of managed futures when there is a crisis, but most of the work has been empiri...

Managed futures performance - delivering crisis alpha through divergent trading

When there is a market dislocation or divergence, there will be good opportunities for managed futures. January saw an equity sell-off, cont...

SocGen's new CTA mutual fund index - Is it different?

The '40 Act mutual fund space has grown significantly for CTA's and this sector now has its own index. It is not the same as the Soc...

Managed futures index ends the year flat - between equity and bond returns

Effort and results were not linked for managed futures managers in 2015.  For all of the trends, opportunities, and trading, the SOCGEN CTA ...

Why CTA's did not make more money in 2015

If you are a managed futures trend-follower, you need market dislocations, divergences, to make money. You follow a mean-fleeing strategy. M...

Momentum in prices is based on momentum in information

What causes price momentum? You can define prices moving over a time period in different ways, but price momentum is the manifestation that ...