>Observations – Statistics – Commentary

Top MarketsWiki.tv Videos of 2011

Here are our top 3 videos of the year.

Emil Van Essen
December 1, 2011
Emil van Essen has 25 years experience trading and modeling in the futures markets and has been a CTA since 1997. His firm, now with $240 million in assets under management, has been successful with its spread trading program launched in December 2006. JLN Managed Futures editor Jim Kharouf spoke with van Essen about his trading program, how the industry evolved and the issue on most minds in the industry, what impact will MF Global have on the managed futures space.
Disclaimer: Futures and options trading involve risk. Past results are no indication of future performance. Investment in this fund is open to QEP investors only.

Jay Feuerstein – 2100 Xenon
October 3, 2011
Channel(s): Featured, JLN Managed Futures
Jay Feuerstein is chief executive officer and chief investment officer of 2100 Xenon, the managed futures affiliate of Old Mutual Asset Management. From January through August 2011, its managed futures program was up 13.83 percent, while its Global Long/Short Fixed Income program rose 8 percent, outpacing the BarclayHedge CTA Index, down 0.51 percent through August. JLN Managed Futures editor Jim Kharouf spoke with Feuerstein about 2100 Xenon, market volatility, challenges in the CTA space and where his firm got its name.
Disclaimer: Futures and options trading involve risk. Past results are no indication of future performance.

Ranjan Bhaduri – AlphaMetrix (2 Parts)
July 6, 2011
Ranjan Bhaduri is chief research officer at AlphaMetrix, a Chicago-based company providing hedge funds and investors with an independent platform, administration, transparency, risk monitoring and analytics, due diligence, background investigation and hedge fund event services. JLN Managed Futures editor Jim Kharouf spoke with Bhaduri about how the CTA space is changing, its diversity and its interesting follow-up to the well-known John Lintner managed futures study.

Upcoming Events

Managed Funds Association Network 2012 Conference
Sunday-Tuesday, January 29-31, 2012, The Breakers Hotel, Palm Beach, Florida. MFA’s Network series is the alternative investment industry’s premier networking conference and exposition. Launched in January 1995, Network has grown to become MFA’s flagship conference event and is expected to draw nearly 1000 delegates in 2012.

FIA Boca 2012
Join 900 of the top names and faces in the industry at the FIA 37th International Futures Industry Conference in Boca Raton, FL, March 13-16, 2012. Along-side a top-tier program comes the best networking experiences you’ll find all year. One delegate said, “The FIA conference at Boca Raton should be an annual pilgrimage for any executive in the futures industry. This event brings together, in one great location, the key decision makers and industry leaders… allowing one to squeeze months worth of meetings over just a few days!” The first registration deadline for this event is mid-December, so register now for the best prices.

CTA Expo New York, April 19, 2012
Don’t miss your opportunity to promote your business to the top managed futures industry professionals. For additional information visit www.ctaexpo.com or to sponsor please contact Frank Pusateri at Frank@ctaexpo.net or Bucky Isaacson at Bucky@ctaexpo.net.
**DA: Last year’s Chicago and New York events were sellouts; the program continues to grow. For 2012, they have added a Miami show as well.

Lead Stories

Investigation Into MF Global Expected to Heat Up
When customer money disappeared from MF Global over Halloween weekend, it seemed implausible the cash would remain at large come New Year’s Day. But two months later, the hunt for roughly $1.2 billion in client money continues. Some MF Global customers, including farmers and hedge funds, are still without about a third of the money in their accounts at MF Global, the brokerage firm once run by Jon S. Corzine, the former governor of New Jersey. Against this backdrop, and as 2012 gets ready to begin, the investigation into the MF Global debacle is expected to heat up.

The Unraveling of MF Global
In September, MF Global Holdings Ltd.’s management sent a memo to the securities firm’s 2,800 employees: Start printing on both sides of paper. The unusual request was a sign that executives at the New York company then led by Jon S. Corzine, a former New Jersey governor and Goldman Sachs Group Inc. chairman, saw tougher times ahead. They were right.

Hedge Funds Raise Bullish Bets on Commodities
Speculators increased wagers on rising commodity prices by the most since August 2010 on signs that sustained economic growth will drive a rebound in raw materials from their first annual slump since the recession. Hedge funds and other money managers increased combined net-long positions across 18 U.S. futures and options by 18 percent to 536,907 contracts in the week ended Dec. 27, Commodity Futures Trading Commission data show.

Making the case for alternatives
If ever there was a time to embrace investments in alternatives, this is it. More than 300 distinct open-end mutual funds now are available across seven alternatives subcategories, according to Morningstar Inc., making the days when only the ultrarich and well-connected could access noncorrelated and hedging strategies seem like ancient history.
**DA: From the article: A recent Rydex/SGI survey found that the number of investors with NO alternative exposure dropped from 28 percent to 17 percent from 2010 to 2011. That is quite a drop.

The Opalesque Uncorrelated Investments Show
Opalesque’s Uncorrelated Investments Show is a new program that focuses on investments that exhibit a lack of dependence on economic strength and stock market performance.
**DA: The host, Mark Melin, is a good friend of ours. He has been an avid cheerleader for managed futures as an asset class.

Managed Futures/Managed Funds

Newedge – Newedge Indices
As of December 29, 2011, the Newedge CTA Index up 0.27 percent for the month; down 4.45 percent year to date. Its Trend Indicator Index up 4.69 percent in November, which turned it positive for the year. The company also tracks quantitative and discretionary macro, commodity, and volatility indices.

Managing Volatility with Managed Futures
So many of the supposedly “non-correlated” asset classes sure were correlated during the economic crisis in 2008 and 2009, leading to investor disappointment and a re-evaluation of their role in the portfolio. However, the managed futures class wasn’t one, performing to expectations and fueling a boom in their use as a hedge against Europe, a possible double-dip and wild market swings that increasingly put the norm in “new normal.”

Merrill: Hedgies Sell Gold & Silver, Bet Short On S&P 500
By Murray Coleman, Barrons.com
Large managed futures funds, including hedge funds, in the past week sold gold and silver, kept buying U.S. dollars and added to their short positions in the S&P 500, according to an analysis by Merrill Lynch using data from the Commodity Futures Trading Commission as well as its own sources.

How to Use Alternative Investment Strategies
Currencies, commodities, and managed futures can be part of a portfolio that complements more traditional equities. Direxion Funds’ Ed Egilinsky describes why alternative investments are a good idea when it comes to assets with a long-term record of showing positive returns during equity bear markets.

CTA funds could prosper in volatile 2012
COO Connect
CTA (commodity trading advisor) hedge funds could be net beneficiaries of market volatility and see capital inflows in 2012 as a result, one manager has argued. “Historically, volatility has been good for CTA managers and I believe they will benefit from their exposures in oil, gold and other commodities. Investors are going to take note and allocate money into these outfits,” said Peter Kambolin, chief executive officer at Systematic Alpha Management, a short-term systematic CTA with $150 million in assets under management (AuM). ”

Boutique money managers lead way with alternatives
When the average investor looks at the biggest alternatives mutual funds, the fund world’s most familiar names probably won’t show up. Unlike traditional asset classes, which tend to be dominated by funds from giant money managers, the new and fast-growing world of funds that invest in alternative strategies has opened opportunities for smaller, less well-known firms. So even though they are not household names, firms like Hussman Funds, AQR Capital Management LLC and Altegris Investments Inc. have been able to gain traction.
**DA: Mutual fund “big boys” such as Oppenheimer, Janus, and BlackRock are finally getting into the managed futures game.

Pensions & Institutions

100 largest public pension plans see first asset declines in 5 quarters: Census Bureau
Business Insurance
Total assets of the 100 largest public defined benefit retirement systems declined 8.5% in the third quarter, their first overall quarterly loss in more than a year, according to the Census Bureau. The top 100 plans had total assets of $2.5 trillion as of Sept. 30, a 1.1% increase over the same quarter in 2010, but investment returns were negative for the first time since the second quarter 2010, with $198.6 billion in losses recorded in the third quarter.

Ten Trends For Hedge Fund Flows In 2012
Last year was the second-worst for hedge fund performance on record, according to data from Eurekahedge. But Agecroft Partners, a third-party marketing group based in the U.S., thinks things will be better in 2012 and has outlined its reasons for predicting $100 billion of net inflows. If Agecroft is proved right and hedge funds do go on to attract $100 billion from investors this year, it would make 2012 the best year for inflows since 2007. Below are 10 trends that Agecroft thinks will impact inflows in the sector this year.
**DA: Pensions, endowments, foundations and family offices top the list.

How risk factors influence the investment strategy of a sovereign wealth fund
For some inkling of where investment theory is headed, take a look at the debates and forums being hosted by the Norwegian Government Pension Fund. Fund officials are in the midst of an inquiry into why their fund, which invests proceeds from Norway’s vast petroleum exploits, performed so poorly in 2009 and how it should re-orient itself . Unlike, say, a hedge fund, Norway’s pension fund conducts a big portion of its business in the public eye, which means you can get a heck of an education simply by tuning in to the presentations given by the bevy of academics the Norwegian government has brought in to look at the performance.
**DA: Leave it to the Norwegians, who encounter 20 hours of darkness this time of year, to shed some light on the subject.

Nuveen Investments Completes Acquisition of 60% Stake in Gresham
Nuveen Investments, a leading global provider of investment services to institutions as well as individual investors, today announced the completion of its acquisition of a 60% stake in New York-based Gresham Investment Management LLC. The transaction, which was previously announced in November of 2011, was completed on December 31, 2011. Gresham is recognized as one of the world’s leading investment managers focused exclusively on portfolios providing clients around the world access to a diversified array of commodities.


Washington’s uneasy dance with Wall Street: 2011 in financial regulation
The Washington Post
It was a long, hard slog this year for financial reform– both for the federal agencies tasked with carrying out Wall Street reform and the politicians fighting over its future. Industry lobbyists swamped regulators in an effort to shape the new regulations, while Republicans tried to use the confirmation process and the budget to rein in Dodd-Frank. At the same time, outside events, both in the United States and Europe, added a new sense of urgency to the financial overhaul. Here is a closer look at the biggest developments in 2011.
**DA: Of course, MF Global appears in the article.

Convicted Ex-Lawyer Scott Rothstein Says That Funds Didn’t Warn Investors
Scott Rothstein, the Florida lawyer sentenced to 50 years in prison for running a $1.2 billion Ponzi scheme, said officials at three Manhattan hedge funds helped him prop up the fraud in its final months, according to transcripts of a court deposition. Rothstein, 49, said his scheme began to collapse early in 2009, when he could no longer pay customers. Officials at Platinum Partners Value Arbitrage, Centurion Structured Growth LLC, and Level 3 Capital Fund agreed not to tell potential new investors he failed to make payments to them, he testified.

SEC Ups Its Game to Identify Rogue Firms
It is the Securities and Exchange Commission’s new “most-wanted” list: a chart covered with handwritten notes, yellow highlighter and the names of about 100 hedge funds. The hedge funds have one thing in common: Their performance seems too good to be true, with some trouncing the overall market and others churning out modest results without ever suffering a down month. Some funds on the list stumble but still always outperform rival hedge funds.

Former Deutsche Bank CEO Hilmar Kopper: ‘Money Needs Laws’
As the former head of Deutsche Bank, Hilmar Kopper was once the most powerful banker in Germany. In an interview with SPIEGEL, the 76-year-old takes stock of his career and the current crisis shaking Europe. The three main constants he has seen in the world, he says, are “money, avarice and greed.”
**DA: From the article: “I am an old man and no longer have to worry about offending people.” Happy New Year.

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