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We have described August as the dog days of summer given the limited movement in major asset classes; nevertheless, we were seeing more dispersion within equity and bond sectors, styles, and country indices. Moving averages are flattening and there are less clear signals within our sector groupings. It is unclear how long range-bound behavior will last given that the Fall season for financial markets, when trading activity picks-up, starts next week.

For many it was a hot August. Time to slowdown, go on holiday, and not worry about financial markets. Of course, there is a lot to worry about, but August performance across most asset classes showed general range-bound behavior with a continued reach for yield within the equity and fixed income asset classes. The tight range was linked to no substantive news to change expectations. After weeks of hype, the comments of Fed Chairman Yellen at the Jackson Hole conference did not serve up anything new. The data driven Fed may raise rates or not based on further confirmation of data that seems stuck in a range.

“What is your Sharpe?” This is one of the first questions that is always asked of managers. The mangers will firmly reply, “My Sharpe ratio is X.” The conversation then moves onto the next question as if this one number serves to address the performance issue, yet the Sharpe ratio is dynamic. In a drawdown, no one wants to even see that number. When things are going well, the Sharpe ratio is king. Investors have to accept that this is a variable number because the underlying assets bought by funds have variable Sharpe ratios.

There is a common view by some that if you want to show how smart you are you should tell people how complex your investment process is relative to others. Wow investors with your skill and mental dexterity and this will win you new money. Be and act like the smartest man in the room.

Liquidity is never present when you need it. This truism is especially the case when there is a financial crisis. A crisis become a liquidity event if sellers cannot find buyers at a fair price or at extreme any price. If the security is more specialized or complex, it will be even harder for the seller to find buyers. There will have to be a greater price decline from fair value before a buyer is found.

Investors do not know the impact of different alternatives in history. In fact, history is subject to discovery and this process of historical discovery is subject to biases as we try to sift through facts.

In the midst of any foggy economic phenomenon, it’s difficult for an industry to really assess how it’s being affected. But with time comes clarity, and it’s now possible to look back on the past eight years of Fed policy and draw broad conclusions about how Quantitative Easing actions created headwinds for investors in the managed futures space. Crucially, these conclusions give us a reason to feel optimistic looking toward 2017 and the return to a world of abundant, varied trading opportunities.

July is the make-or-break month for U.S. corn, as well as immediately ahead of the counterpart period for soybeans. After burgeoning world demand stripped the big South American soybean crop bare in only five months, and Brazil’s corn production shrank, the consequences of a merely modest problem in the U.S. harvest would have been extremely serious. Widespread publicity of “La Nina,” an unusual eastward shift of warm water in the Pacific Ocean associated with poor growing conditions inNorth America, had the world food market particularly on edge. Prices of both corn and soybeans rose sharply in June in apprehension of widely-forecast hot and dry weather during the crucial months to come.

In quite a few ways, recent weeks have been anything but boring. Trying to filter out important events from random noise in markets today feels like a bit of a mugs game, but that shouldn’t stop us from trying if we think that we can add some value to our investors. We would like to pick up on a couple of areas that are gaining our attention, and we’re certainly not alone, so here goes with our version of events.

The IASG Trend-Following Strategy Index posted an estimated net return of +4.59% for June. The dominant theme in June was the UK referendum on EU membership, or ‘Brexit’ and the attendant surge in volatility that resulted in positive performance for CTAs. Trading conditions for systematic diversified managers were conducive due in large part to an […]

The world grain trade has been shocked in 2016 by the speed with which the entire exportable surplus from a large Brazilian soybean crop was consumed. While statisticians’ opinions differ, the more astute extrapolated early on from the pace of vessel loading that importers would not only come with equal alacrity for the U.S. crop next fall, they’d even need to tap more U.S. supplies yet this crop year. In short, demand for soy meal, a high-quality, high-protein feed ingredient key in efficient meat production, is beyond anything anticipated.

We have been meaning to write an in depth report on central bank policies for some time and the market responses to recent BoJ policy decisions as well as the Fed meeting and press conference this week have nudged us to make a start. Below are some initial thoughts on how good central banks are in their forecasts and where they may take us in the future. We don’t mean this to be a rant, but it’s hard to discuss central banking politely when they have been so ineffective, when they refuse to accept they have been incorrect and they refuse to fully acknowledge the full unintended consequences of their hugely experimental policies.

The most obvious and immediate European problem is the UK’s Brexit vote on 23rd June, and momentum has clearly swung away from the remain camp in the last two weeks. What was seen as only a minor risk for financial markets has quickly become a huge potential risk and prices have begun to adjust. In our opinion, this is not just an issue of migration but a problem of the average man on the street simply does not feel that their lives have improved materially since the Global Financial Crisis. There are a huge number of voters who feel completely disaffected and simply want change. This is not an issue unique to the UK. Huge numbers across Europe and the US are in the same boat and the risk of a series of anti-establishment votes in the next year or so is growing.