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Are Managed Futures Profiting in 2011?

7/11/2011

1 Comment

 
By Mark Shore

One of the legacy myths of managed futures includes "all Commodity Trading Advisors (CTAs) are the same". (See Decoding the Myths of Managed Futures for a full list of the myths)

Over the years I've explained again and again, in presentations, workshops and in the managed futures course I teach at DePaul University, there are many differences among CTAs. This sort of myth would equate to someone saying all hedge funds are the same regardless of their strategies or markets they trade. Even among the trend-following CTAs, that make up the majority of the managed futures industry there are differences. However, this is all part of an investor's learning curve about the investment, as they should do with any other investment.

Future articles will discuss the internal differences of CTAs, thus a more "micro" view of CTAs. This article will take a look at the returns of the sub-sectors of CTAs, a more "macro" view, if you will.

BarclayHedge, is one of the industry leaders in managed futures indices. They list both an index of all CTAs in their database and sub-sector indices. It is in the sub-sector listing where one begins a journey to understand there can be many differences among CTAs.

In the month of June the Barclay CTA index is an estimated -1.13% and YTD -1.33%. However the sub-sector indices are showing the Ag, FX and Discretionary traders up 1.5%, 0.8% and 1.72% respectively YTD. Diversified, Fin/Metals and Systematic traders are -2.96%, -0.36% and -2.82% respectively YTD.

2008 is considered a good year for CTAs as the Barclay CTA index was up 14.09%. However, the Forex traders index were up only 3.5% and the Diversified Traders index returned 26.55%, thus showing the diversity of CTAs.

The following year of 2009, The Barclay CTA index was relatively flat at -0.10%, the Diversified traders index was -3.61% and the Discretionary traders index reported 1.89%.

2002, also considered a good year for CTAs as the Barclay CTA index returned 12.36%, Ag traders index reported -0.05%, FX index 6.29% and Diversified traders reported 14.17%.

Once an investor understands the markets, strategy and duration of trades of a CTA,  then understanding a difference in short term and long term returns and volatility and more importantly the source of volatility is the next step in the learning process.

Copyright Mark Shore. Contact the author for permission for republication.

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July 2011 Chicago high frequency trading happy hour

7/10/2011

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July 2011 Chicago high frequency trading happy hour

Hosted by Edgar Perez, Author of “The Speed Traders” –An insider’s look at the new high-frequency trading phenomenon that is transforming the investing world

Join Hedge Fund, Alternative Investments, Private Equity, High-Frequency, Algorithmic and Proprietary Trading managers, investors, executives and professionals from the most prestigious firms

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July 2011 NYC High Frequency Trading Happy Hour

7/9/2011

0 Comments

 
July 2011 NYC high frequency trading happy hour

Hosted by Edgar Perez, Author of “The Speed Traders” –An insider’s look at the new high-frequency trading phenomenon that is transforming the investing world

Join Hedge Fund, Alternative Investments, Private Equity, High-Frequency, Algorithmic and Proprietary Trading managers, investors, executives and professionals from the most prestigious firms


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Chicago Hedge Fund Technology and Regulations Event

7/9/2011

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The Mankoff Company Presents:

RegTech Chicago: New Markets, New Technology, New Regulations

Exchange consolidation; Co-location issues; Rate of connectivity and the search for ever lower latency. New applications and developments in technology - to build your own or buy? These are the challenges facing today's trading community.

The panels bring together trading experts, leading practitioners and innovators in the field.

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Hedge Funds in 2011: State of the Industry

7/9/2011

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2011 is has been a year of change as investment firms are evolving to meet the increasing demands of both investors and regulators, and the role of technology is transforming accordingly to accommodate this changing landscape.

The panel of speakers will discuss the industry trends they expect to continue throughout the year, including:
  • The increasing number of fund launches in the U.S.;
  • The effect of Dodd-Frank legislation on new and existing firms; and
  • The changing role of technology, including the emergence of cloud computing.
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July 2011 NYC 3rd Thursday Hedge Fund Industry Social

7/9/2011

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NYC Third Thursday Hedge Fund Industry Social

Drawing almost exclusively hedge fund managers and institutional hedge fund investors, the Third Thursday Socials are informal industry networking events held on the third Thursday of each and every month.

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How Do Managed Futures Fit into an Institutional Portfolio?

7/4/2011

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The Arditti Center for Risk Management of DePaul University and CAIA Chicago

Present

How do Managed Futures Fit into an Institutional Portfolio?


Speakers:

Thomas F. Lott:
Principal, Potomac Portfolios LLC

Brian Walls:
Global Head of Research, Newedge Prime Brokerage

Moderator:

Ranjan Bhaduri:
PhD CFA MMath MBA CAIA, Chief Research Officer - Global Head of Research, AlphaMetrix Alternative Investment Advisors, LLC

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    The postings on this site are not recommendations for trades and should not be perceived as such. Losses may occur from trading futures and options. Please talk to your financial advisor before trading futures or options. Past performance is no guarantee of future results.

    Proposals for consulting projects may be sent to [email protected]

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