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Agriculture Commodity Trading Advisor CTA

IASG May Performance Results

We have now reached the halfway point of June and have compiled nearly 70% of the manager data for May 2014. With five months of performance on record, the IASG CTA Index has turned positive YTD (Past Performance not indicative of future results). We anticipate this trend to hold for the remainder of the month as investors focus now on the remainder of this year. Here is a snapshot of the database as of 6/16/2014. The IASG CTA Index which comprises the managers with a minimum track record of 3 years performance and that performance must be client based. This helps to remove start up CTAs that are really in the strategy development and asset building stage. It is too early in their business to say whether they are going to be available for years to come. Agricultural and Option strategy CTAs are atop the list of performers and are helping keep the overall index in positive territory for 2014. Trend Following Strategies are poised to post their 4th losing month in the last 5 years.

Advisor Commentary

Protec Energy – June 2014 Market Outlook & Trading Strategy

The main crude oil terminal at Cushing, OK, is the delivery point for the NYMEX WTI crude oil contract. Capacity at Cushing is at 81 million barrels today, up from 30 million in 2007. The tanks in Cushing are never empty, and the delivery of WTI at the Enterprise terminal in Cushing does not depend on […]

Agriculture Commodity Trading Advisor CTA Grains Managed Futures

Kottke : A World Hungry For Meat

After three consecutive quarters of much-greater-than-expected demand for U.S. corn and soybeans, confounding every analyst’s projections and strengthening current-year prices sharply, a turn to excellent planting and growing weather in Northern Hemisphere abruptly collapsed forward prices for corn, wheat, and to a lesser extent soybeans. We confess bewilderment as to why, with world demand this year so vastly larger than expected, forward price should not be well-supported by demand continuing on this surprisingly steep trajectory.

Commodity Trading Advisor CTA Managed Futures

Goldman Management – CTA performance commentary

One of the biggest surprises this year has been the sharp decline in long term interest rates despite the Federal Reserve’s monthly removal of $10 billion in bond purchases to gradually reduce quantitative easing. Numerous market commentators have put forth explanations for the rate decline, touching on short covering, limited supply, economic woes, weather etc. A factor which has only been partly discussed is the correlation between European rates and US rates, especially the link between the German Bund and the US 10- year Treasury. These two have been loosely tethered to one another for more than 25 years. In the last sovereign debt crisis during the summer of 2012 Italian and Spanish long term rates stood at 7%, and have since dramatically declined, ending last year yielding 4.1%.

Agriculture CTA Grains Managed Futures

Bocken Trading – Weekly Grain Commentary Jun 6, 2014

All markets made new lows on favorable weather. Old crop beans rallied early in the week but cash turned weak and liquidation was seen ahead of the Goldman roll. Corn crop ratings were issued and were some of the best ever to start the growing season. Chicago continued into the abyss with demand lacking,harvest ahead, and generally favorable crops around the world. KC made new lows but bounced later in the week on poor harvest results/low crop ideas.

Agriculture Commodity Trading Advisor CTA Grains Managed Futures

Rosetta Capital – Conventional Wisdom

At the turn of the year the “consensus” was that corn was going lower, Bond prices were going lower (yields Higher) and the meats were going irregularly higher. Five + months into 2014, the bonds have rallied over 10 points and the funds have gone from being short 230,000 contracts of corn to being long 340,000+ contracts as of the beginning of May It took them over a dollar in price rally to get there but here we are! Now they are long, I think at an interim or possible top of the price action? Subsequent action since the May 9th report only reinforces my perception of that. What lies ahead is a chasm of time and future price discovery.

Commodities Commodity Trading Advisor CTA Managed Futures

David Martin Finds Soft Commodities a ‘Last Century’ Challenge

David Stephen Martin deals in commodities that people have a hard time doing without. Take that cup of fine Colombian coffee you just drank. Or that chocolate bar. Or that soothing glass of orange juice. Martin trades the soft commodities — coffee, cocoa, sugar, orange juice and cotton. And he has fun doing it, even though these commodities are some of the most volatile products: vulnerable to frost, drought, disease, insects, animals, guerrilla wars and occasionally unstable governments. They are grown and traded all over the world.

Agriculture Commodities Commodity Trading Advisor Grains Managed Futures Volatility

Managed Futures – Futures Trends

We know it is early as CTAs are still computing their monthly returns for May. With some early reports and our own proprietary tool Insight, we are seeing gains of >1% for the month of May. With continued downtrend in VIX (at or below 14) many managers trading indexes have been steady but under performing the overall broader S&P 500 index. Whereas managers trading commodities, such as coffee, cocoa, corn, soybeans, wheat, crude…just to name a few have seen a completely different story. Our interpretation is we will see a continued trend in volatility with respect to commodities and continued uptrend in equity indexes (past performance not indicative of future results). That being said, this upward trend in the indexes is going to pull back one of these days. The duration and extent are anyone’s guess. Now is the time to be more aware of “too much of a good thing”. The strength of this bull market for indexes has lasted quite some time.

Commodity Trading Advisor

Check National Futures Association for a Report Card

Lets face it, trading futures is challenging. Both experienced participants and novices need all the knowledge possible to succeed. One of the more important aspects of trading futures or any financial instruments is to know with whom you are dealing. Trying to get all the information needed can be overwhelming to a new trader and almost as harrowing to an experienced trader. There is one extremely helpful place to start — the National Futures Association (NFA).

Commodity Trading Advisor

Four Key Items for an Emerging Manager to Grow Their Business

Over the years of meeting emerging managers I’ve found a common theme among them. They often believe when they start a money management firm, investors will automatically find them and invest. In other words, it is the “I build it and they will come” perspective. The new managers often miss the point; they started a small business. With any business, there are many components to handle including marketing / business development, technology, hiring employees, vendors, compliance and operations. Similar to most businesses, marketing / business development is often the key to grow or slow the business. In this article we discuss several points related to marketing / business development.

Managed Futures

Sortino: A ‘Sharper’ Ratio – What are the Differences?

Earlier this week we discussed the Red Rock Capital research paper discussing different metrics used to evaluate CTA risk adjusted performance. Sharpe has long been considered the go to statistic commonly referred to by brokers and CTAs in Managed Futures. Today we intend to cover the differences and make some conclusions on the Sortino vs. Sharpe ratio debate and give a different perspective on analyzing a CTA.

Alternative Investment Strategy Volatility

High vs. low volatility strategies: A different view of risk

When investors think of risk, they usually associate it with volatility. This probably stems from Nobel Prize winning economist Harry Markowitz’s use of volatility in the 1950s and fellow Nobel Prize winner William Sharpe’s use of volatility in creating his self-named method of risk adjusting returns. The lower the volatility of a given investment theoretically indicates that investment carries less risk. Risk, however, could be viewed from a different angle. The impact of a high volatility investment on a portfolio can be mitigated by the allocation size given to that product. By normalizing for volatility, theoretically, high and low volatility investments can have equal impact on a portfolio’s total return. This leads us to a different way to view risk. Risk is the difference between the anticipated worst loss and the realized worst loss.


Red Rock Capital – Sortino: A ‘Sharper’ Ratio

Many traders and investment managers have the desire to measure and compare CTA managers and / or trading systems. We believe risk-adjusted returns are one of the most important measures to consider since, given the inherent / free leverage of the futures markets, more return can always be earned by taking more risk. The most popular measure of risk-adjusted performance is the Sharpe ratio. While the Sharpe ratio is definitely the most widely used, it is not without its issues and limitations. We believe the Sortino ratio improves on the Sharpe ratio in a few areas. The purpose of this article, however, is not necessarily to extol the virtues of the Sortino ratio, but rather to review its definition and present how to properly calculate it since we have often seen its calculation done incorrectly.

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