Emerging Manager Forum, Miami is Just Around the Corner
Doug Ashburn – JLN
The last of the 2015 CTA Expo lineup, Emerging Manager Forum, takes place on December 10 at the Eden Roc Hotel Miami. While each event provides a great, relatively low-cost way to engage with fellow CTAs, allocators and service providers, the Emerging Manager Forum is particularly focused on the critical issues facing the emerging community and the capital sources that invest with them.
The word from the conference host is that registrations are running about 60 percent ahead of last year’s, so we expect a robust turnout. Plus, with the recent freefall in energy prices, and with the first week in December being in between the Thanksgiving and Christmas holidays, flights are looking quite reasonable. I just saw one for $109 round trip from Chicago. Insane!
Have a look at the program and head down to Miami.
Mary McDonnell, Simon Compliance – How to Manage (and even Succeed) in the Current Regulatory Marketplace
“It’s a lot harder to do something than to tell somebody else how to do something.”
Mary McDonnell got her start in the financial markets as a regulatory auditor for the Chicago Board of Trade, and though she has spent most of her career on the compliance and regulatory side, she did spend some time as a floor trader. She says this experience taught her to empathize with the traders she would be overseeing over the ensuing years. With that backdrop, she looks at the current regulatory environment and what it means in terms of opportunities, but also in terms of limits.
“If you understand what you cannot do, it leads you to what you can do – legally!”
Generating Alpha with Earnings Date Revisions from Wall Street Horizon
Stuart Farr – Deltix
As a software and services firm focused on quantitative research and trading solutions, we are always interested in alternative ways to apply quantitative techniques for trading and investment purposes. This fall, we decided to look at company earnings from a different perspective. This time, we looked at how calendar events affect forecasts: specifically, we wanted to test whether earnings announcement date revisions can be used for predicting future prices in a manner that could be profitably traded upon.
We reviewed the recent research papers of Joshua Livnat and Eric So, both of whom look at whether changes in the earnings announcement dates can be used to generate returns.
***DA: A little out of the the strike zone for a managed futures newsletter, but I wanted to highlight the work of my friend Stuart and the work they are doing at Deltix, much of which is quite relevant to the managed funds sector.
Managed Futures October Performance
Attain Alternative Blog, via ValueWalk
Managed Futures was unable to find many return drivers in the month of October thanks to the inconsistent and choppy markets in multiple market sectors, bringing the average of the four major managed futures indices down -0.96% in the month of October, down -0.27% YTD
***DA: Also see the Credit Suisse/Tremont index, which showed Managed Futures down 2.32 percent for the month.
Hedge funds up 1.19 per cent in October
The hedge fund industry produced an aggregate return of 1.91 per cent in October, bringing YTD returns to near flat for 2015, but still negative at -0.80 per cent, according eVestment’s latest Hedge Fund Performance report.
***DA: And, finally, the the eVestment snapshot, which also shows managed platforms down overall, but larger managers are still up on the year, while smaller managers, on average, are not.
Convergex Partners with FCStone to Launch Futures Prime Brokerage
One of the biggest agency-focused global brokers, Convergex, has announced today that it has entered into a clearing agreement with INTL FCStone Financial Inc. (NASDAQ:INTL) to offer its clients access to FCStone’s futures execution capabilities and prime brokerage platform.
CFTC Pulls Plug on Commodity-Flows Report; Agency to no longer survey banks, traders about money following commodity indexes
By CHRISTIAN BERTHELSEN – WSJA
U.S. futures market regulators are going to stop collecting data on the flow of money from index funds into commodity markets, retreating from a practice they began a decade ago when those funds were blamed for soaring prices.
***DA: The last remnant of the Bart Chilton era is gone. First, he changed his tune on HFT when he joined the private sector, and now the CFTC has decided the “massive passives” are not bogeymen.
Gravitas Technology Services LLC Partners with Emerging Alternative Investment Manager, Mill Hill Capital LLC, For Infrastructure Hosting, Network Support & Business Continuity Planning
Mill Hill Capital LLC and Gravitas Technology Services LLC announced today a new partnership whereby Gravitas will provide Mill Hill Capital with cloud hosting, archiving, network support and failover capabilities to ensure consistent and reliable computing support across the investment management firm’s trading, investment, portfolio management, finance, and operations functions. Mill Hill Capital relies on proprietary valuation, cash flow models and vast amounts of market data to perform its investment analysis and trading activities, thereby requiring a chief provider of infrastructure support for on-site servers, cloud storage, backup recovery and archival.
How Volatile Will Market Volatility Get?
By Mohamed A. El-Erian – Bloomberg
The financial consequences of wider divergence among central bank policies — a stronger dollar, great volatility in stocks and larger yield differentials among U.S. and German benchmark government bonds — have been playing out over the last 10 days.
A Money-Managing Robot Is About to Join BofA’s Thundering Herd
Hugh Son – Bloomberg
Bank said to plan 2016 rollout of automated financial service
Merrill Edge would mimic robo-advisers Betterment, Wealthfront
Bank of America Corp.’s “thundering herd” of Merrill Lynch financial advisers is about to be joined by a robot.
***DA: I have seen the future, and it involves doing more with fewer human beings.
Managed Futures/Managed Funds
Hedge funds confront impact of financial market regulations and challenges of evolving prime broker relationships
Hedge fund managers are experiencing the ripple effects of new regulations on banks and prime brokers, with hedge funds facing increased trading fees and broader changes to business relationships. These dynamics place additional pressure on margins and are leading managers to seek new growth strategies, according to The evolving dynamics of the hedge fund industry, EY’s 2015 Global Hedge Fund and Investor Survey.
Eurekahedge: Hedge Funds Gain 1.33% in October, Up 1.77% YTD
Hedge funds ended their four-month losing streak in October as Eurekahedge’s Hedge Fund Index gained 1.33% in October, according to a flash update from the company. On a year-to-date basis, the index is up 1.77% while underlying markets as represented by the MSCI World have gained 1.40%.
Hedge-Fund Prodigy Takes a $300 Million Hit
By ROB COPELAND – WSJ
She earned an M.B.A. from Wharton at age 21, won backing from hedge-fund industry heavyweight Julian Robertson before she turned 30 and earlier this year became one of the few women to manage more than $1 billion in an industry long dominated by men.
***DA: You win some, you lose some.
‘Exceptional Trader’ Rokos Attracts $500 Million From Blackstone
Saijel Kishan, Katherine Burton – Bloomberg
Rokos has about $500 million of his own money in the fund
He plans to pause money raising when he reaches $3 billion
Chris Rokos, a star money-maker for his former boss Alan Howard, raised more than $500 million from Blackstone Group for his new hedge fund firm, according to two people familiar with the transaction.
Pensions & Institutions
Managed Futures: How to Get Commodity Exposure Without Taking Delivery
Institutional investors often shy away from the futures markets, believing them too risky, however, as part of a portfolio, a managed futures allocation can reduce risk
***DA: Seems like I have read that somewhere before.
Managed Account Platforms offer Solvency II relief
Solvency II regulation, which is aimed at European insurance providers to improve transparency on the cost of capital related to their underlying assets – think of it as Basel III for insurers – is set to make managed accounts an even more popular vehicle moving forward.
German investors look to add pizzazz to portfolios
Germany’s institutional investors are known for their conservative approach. The typical corporate pension asset mix in the country is 63% bonds, compared with a 32% average of the top seven countries globally by assets invested, according to research by consultancy Towers Watson in Frankfurt.
***DA: Oh, pizzzazz… I thought it said “pizzas.” We could all use more of those in our portfolios.
Finding bond alternative requires shift in thinking
The hunt for income has become more difficult with bond yields compressed to all-time lows and extremely inflated capital values that may collapse when interest rates rise.
***DA: Pizza, anyone?
China pensions gear up to alternatives
Asia Asset Management – The Journal of Investments & Pensions
PRC pension manager Changjiang Pension Insurance Company (Changjiang) believes the country’s retirement plans are going to increasingly allocate their assets to alternatives as they look to achieve better long-term returns.
***DA: These stories always seem to pop up just after a stock market meltdown.
Asian institutional investors eye alternative investments to boost returns
In search of better returns on their investments, Asian institutional investors have been allocating more capital to alternative investment solutions such as hedge funds and private equity. According to recent report from consultancy firm Cerulli Associates, some of Asia’s biggest government funds are looking for further diversification in their portfolio. Asia’s second largest pension fund, the National Pension Fund (NPS) of Korea with over US$400 billion in assets, for example, has doubled their commitment to alternative strategies over the last five years.
Pimco Seeks to Toss Gross’s Claims as ‘Reputational Warfare’
John Gittelsohn, Edvard Pettersson – Bloomberg
Co-founder’s lawsuit called more screenplay than court filing
Gross claims he was forced out to avoid $200 million bonus
Pacific Investment Management Co. fired back at the co-founder who oversaw the firm’s ascent for 43 years, saying Bill Gross’s lawsuit over his departure looks more like a screenplay than a legal filing and should be thrown out.
***DA: I am about ready for this screenplay to fade to black.
CFTC Staff Publishes Responses to Frequently Asked Questions Regarding Commission Forms CPO-PQR and CTA-PR
The FAQs address issues ranging from Form CPO-PQR and Form CTA-PR filing mechanics and filing deadlines to technical questions regarding asset reporting classification. DSIO staff intends to update the FAQs on an as needed basis to clarify issues for the broadest set of filers.
Bill Introduced to Require Hedge Funds to Disclose Holdings More Frequently
By MIKE CHERNEY – WSJ
A bill requiring hedge funds to disclose their holdings more frequently was introduced in Congress on Wednesday, a move that if signed into law would represent a seismic change for the hedge-fund industry.
Democratic Candidates Take Aim at Wall Street; Hillary Clinton, Bernie Sanders and Martin O’Malley all want to tax financial transactions
By BOB DAVIS – WSJ
Democratic presidential candidates are pushing a Wall Street tax that has been debated since Keynes as a way to corral financial markets, a sign of how much the finance industry remains in the cross hairs seven years after the meltdown of Lehman Brothers.
***DA: Nothing unites quite like a common enemy. In 2016, that common enemy is Wall Street.
Forcing derivatives onto exchanges
Mifid II will force certain standardised OTC derivatives to trade on electronic venues, fulfilling part of Europe’s efforts to meet the G20’s 2009 commitment to reform those markets. This trading obligation will specifically apply to OTC derivatives subject to the clearing mandate under the European Market Infrastructure Regulation, such as interest swaps and credit derivatives.
HFT law goes from bête noire to blueprint
By James Rundle – Financial News
While Europe has been focused on its grand regulatory projects that touch nearly every area of the financial markets, an attempt to curb one aspect of the modern landscape came from Germany in 2013, in the form of the Act for the Prevention of Risks and the Abuse of High-Frequency Trading, known as the HFT law for short.