As warmer weather approaches, so does a spate of conferences and events. The Managed Funds Association will hold its Forum 2012 at the Fairmont Chicago on June 12-13. On the evening before the MFA, CME Group and BarclayHedge will hold the first annual Managed Futures Pinnacle Awards. Then On June 28, JLN Managed Futures editor Jim Kharouf will be attending the CTA Expo Emerging Manager Forum in London. Can Managed Futures “smooth your ride” as Dan Kavanaugh writes in a Forbes article, or are investors “losing faith” as a Reuters story asserts?
Quote of the Day
“Hedging is fine, but when you have a complex and highly diverse portfolio like JP Morgan, you end up taking on too much risk and creating your own derivative products to manage those risks.”
-Lance Roberts, chief strategist at Street Talk Advisors, a Houston-based investment advisory
Observations – Statistics – Commentary
London – Emerging Manager Forum, June 28, 2012, Mayfair Hotel
Are you tired of talking to the same people? Are you looking to expand your rolodex? Emerging Manager Forum was established to help Professional Capital Raisers, Asset Allocators and Clients identify new international trading talent, including CTAs, FX and global macro traders, and to promote investing in managed futures, foreign exchange and hedge funds.The second annual Emerging Manager Forum – London (EMF London), will be held at The May Fair Hotel, June 28, 2012.
**DA: Special note from Frank and Bucky: Keynote speaker just added – Eirv Knox, former CEO of Abu Dhabi Commercial Bank and current chairman of Ambata Global Advisors. Impressive resume, great speaker and a unique perspective on a growing area of alternative investment.
Managed Futures Pinnacle Awards, Monday June 11, 2012, Chicago
Join CME Group and Barclay Hedge for the first and only awards event to recognize excellence exclusively in the managed futures space
**DA: The JLN Managed Futures team will be there. Be sure to look for us.
Managed Funds Association Forum 2012, June 12-13, 2012, Fairmont Millennium Park, Chicago
Forum 2012 is MFA’s 18th Annual Managed Futures and Global Macro Strategies conference. Forum 2012 is designed to engage MFA’s members with institutional investors to discuss the economy, regulatory reforms, investment opportunities and investor needs.
A whale in the waters of negative yields
Bill Gross, featured in FT.com
In nature, the mighty whale depends upon the lowly plankton for its survival and the same analogy rightly applies to global developed economies, which have dominated trade and finance at the expense of developing nations. Now the tides may be turning as once minuscule global economies find themselves in possession of a plethora of reserves. The hunted may be turning into the hunter and the global monetary system, which has evolved and morphed over the past century – but always in the direction of easier, cheaper and more abundant credit – may have reached a point at which it can no longer operate in the same way. Major changes to our global monetary system may lie on a visible horizon.
|Managed Futures Scorecard||5/15/2012|
|Newedge Indices||MTD Return||YTD Return|
|Newedge CTA Index||-0.08%||-0.55%|
|Newedge CTA Trend Sub-Index||-1.16%||-0.11%|
|Newedge Trend Indicator||-1.76%||-5.73%|
|Newedge Short-Term Traders Index||0.86%||-1.63%|
|Barclay Indices||MTD Return||YTD Return|
|Barclay CTA Index||-0.57%|
|Barclay UCITS Index||5.03%|
|Barclay Hedge Fund Index||5.03%|
|BTOP FX Index||0.50%||1.27%|
|Morningstar Long/Short Com. Index||-1.00%||2.72%|
There’s Nothing Wrong With Hedging, Except…
Americans might have had enough of hedge strategists, but the truth is that investors use hedging strategies to protect investments. If investors have a portfolio that’s long the S&P 500, it can buy S&P index option puts to protect that position in a bear market and lose less. If a farmer wants to protect from falling corn and soybean prices, it can lock in the price in the futures market, also a hedging strategy.
Managed Futures Can Smooth Your Ride
Managed futures funds take advantage of trends in various options, futures, and currency markets to weather choppy markets, writes Dave Kavanagh. He also explains how his managed futures fund-of-funds can also capitalize on both sides of the market, by going long as well as short.
Altegris’ Strategic Investment Conference Draws Leaders From Across The Financial Industry
Altegris held its ninth annual Strategic Investment Conference from May 2-4, 2012 at the Park Hyatt Aviara Resort in Carlsbad, CA. The conference was co-hosted by renowned financial expert John Mauldin and brought together some of the world’s top economic minds in addition to over 400 professional and qualified individual investors
**DA: If you missed our recent interview with Altegris’ Max Eagye, you can view it on MarketsWiki.tv.
TrimTabs and BarclayHedge Report Hedge Funds Take in $2.3 Billion in March
BarclayHedge and TrimTabs Investment Research reported today that the hedge fund industry added $2.3 billion (0.1% of assets) in March, down from a $6.8 billion inflow in February and only the fourth monthly inflow since July 2011. Based on data from 3,034 funds, the March TrimTabs/BarclayHedge Hedge Fund Flow Report estimated that industry assets stood at $1.8 trillion in March, up 2.2% from $1.7 trillion in February.
**DA: Still attracting investment despite relatively flat returns thus far in 2012.
Investors losing faith in commodity hedge funds
Investors in some of the best-known commodity hedge funds are getting increasingly frustrated by their performance, with some heading for the exit as managers rack up a second year of losses. Some major funds focused on energy, metals and agricultural products have fallen this year after traders – still cautious about big bets following last year’s losses – sought to protect themselves against rising volatility just as it fell.
**DA: Some of the biggies are closing up shop, such as John Arnold’s Centaurus and the once wildly successful BlueGold oil fund. Read on:
Fortress to Close Commodities Fund After 13% Decline
Fortress Investment Group LLC (FIG), the first publicly traded private-equity and hedge fund manager in the U.S., said it will close its commodities fund on or around May 23 and return the money to investors after losing almost 13 percent in the past four months. Fortress Commodities Fund LP declined 4.2 percent in April and fell 13 percent since the start of the year through April 30, New York-based Fortress said in a May 8 regulatory filing with the U.S. Securities and Exchange Commission.
Managed Futures/Managed Funds
How Much to Invest in Managed Futures
Fund manager Greg Anderson tells how his fund’s sub-advisors use trend following and forecasting strategies in tandem. He also describes his firm’s method for determining the proper allocation of managed futures within an investor’s overall holdings.
Hedge Fund Giant Man Names Dr Douglas Greenig New AHL CRO
Global hedge fund Man Group plc, announced an addition to the management team at AHL, its industry-leading quantitative managed futures manager.
How to buy futures
The futures market is often seen as a casino, a legal betting parlor for speculators of the kind portrayed in the 1983 movie “Trading Places.” Futures are speculative, leveraged instruments and aggressive traders can lose big, but these derivatives also can be prudent ways to diversify portfolios and hedge against losses in volatile markets.
Was Managed Futures Tackled by Turbulence? When is Volatility a Friend or Foe?
Lackluster performance in the Managed Futures sector in 2011 has certain investors asking tough questions. The most common of these is related to volatility and the fact that during last year’s times of market turbulence CTAs seemed to struggle despite the fact that they are often sold under the tantalizing “long volatility” moniker. In a recent paper educational/thought piece for the CME Education Group, this complex or “convex” relationship is decomposed by volatility cycles to help clarify these issues.
Bullish Wagers Plunge Most This Year on Greek Impasse
Speculators cut bets on a rally in commodities by the most since November as Greece’s struggle to form a new government and weaker-than-expected industrial output in China erased this year’s gains in raw materials. Money managers reduced net-long positions across 18 U.S. futures and options by 19 percent to 723,239 contracts in the week ended May 8, the biggest decline since Nov. 22, Commodity Futures Trading Commission data show.
How to Battle a Deflationary (debt) Economic Climate: Build a Portfolio For A Variety of Market Environments
By Mark Melin, Opalesque
“In a deflationary environment, it is very hard for investors to hide,” Cantor Fitzgerald’s John Trammell said, who went on to note an investment that offers a family office a hedge to their beta exposure would be of interest. The general benefit of managed futures investments are their lack of strategic correlation to the variables of economic strength. Most investments are based on the concept of an asset-stock, real estate, commodity-rising in value. Managed futures is a slightly different animal in that, due to the different market environment considerations, managed futures can deliver returns independent of the rising or falling value of assets. In other words, managed futures trend followers could perform positively in a deflationary environment so long as such an environment created consistent price trends.
Pensions & Institutions
TIAA-CREF Announces $2 Billion Global Agriculture Company
TIAA-CREF has finished reaping funds for its agricultural investment company, raising $2 billion, including commitments from pension funds of Sweden and Canada’s British Columbia and Quebec.
**JK – More of a physical/real estate play than futures but interesting nonetheless.
China May Give Foreign Pension Funds New Investment Opportunities
Chinese authorities are mulling whether to create a new mechanism for foreign pension funds that would be outside the country’s main official investment program for international investors, according to people who have been briefed on the matter. Currently, foreign investors have limited access to Chinese markets except through programs such as the Qualified Foreign Institutional Investor, or QFII, program.
Regulators Move to Take Over Pension Funds at New York Law Firm Dewey & LeBoeuf LLP
The Pension Benefit Guaranty Corp., which oversees U.S. private-sector pension plans, wants to terminate three Dewey & LeBoeuf plans that it says are underfunded by about $80 million.
The move highlights the firm’s deteriorating financial condition. Dewey & LeBoeuf has only $127 million in assets to cover $214 million in obligations, according to a person familiar with the matter.
**JK – All kinds of Dewey names to attach here.
Taxpayers deserve facts, not spin, on Fort Worth pension program
Mitchell Schnurman, Fort Worth Star-Telegram
A year ago, the Fort Worth pension fund issued a news release to trumpet a big improvement in its financials. “It was good news,” a spokeswoman explained. Last month, a new report showed a sharp reversal in the same measure, and officials didn’t send out anything.
*DA: A must-read for anyone concerned about the future of municipal pensions. But first, please remove sharp objects from the vicinity.
Alternative investments continue to dominate Australia’s Future Fund portfolio
Alternatives still dominate Australia’s Future Fund portfolio, with its 1st May publication of end March figures showing the A$77bn ($77bn) fundʼs alternatives allocation remained steady at around A$14.48 billion ($14bn).
In Search of Better Returns, Insurance Companies Dial Up the Risk
Victims of the same low yields that are plaguing other investors, insurance companies of all stripes have had to move further out of their comfort zone. Besides chasing the higher returns that come with riskier assets, many of them are outsourcing their alternative investment portfolios.
Regulators at odds over longer CME grain cycle
Reuters via Yahoo! News
Jill Sommers, a commissioner at the Commodity Futures Trading Commission, said CME Group should be allowed to increase trading of its grain futures and options to 22 hours a day. In a Reuters interview, Sommers said the CME’s request is similar to other markets that trade nearly around the clock.
Regulations on the Horizon for the Hedge Fund Industry
Managed Funds Association
With the passage of the landmark Dodd-Frank Wall Street Reform and Consumer Protection Act, hedge funds are regulated today as never before. Recently, some of the largest hedge fund managers were required to register with the Securities and Exchange Commission, an important section of regulation that was included in the Dodd-Frank Act.
**DA: Also released by MFA this month is a presentation on the impact of the JOBS Act on Regulation D.
Hedge Funds Are Shadow Banks in Need of Regulation, Bafin Says
Hedge funds act as shadow banks and should be added to the list of organizations in need of regulation, according to Raimund Roeseler, head of banking supervision at Germany’s financial regulator Bafin. Shadow-banking definitions by the Financial Stability Board and the Basel Committee are too narrow, Roeseler said. Bafin is working on its own proposals to regulate the sector and will provide them for the discussion at the FSB, he said.
Form PF: Know your RAUM, consider who will view the report, but ultimately ‘Be prepared’ says GlobeOp’s Barback
Hedge funders managing north of USD5billion in assets face a rapidly encroaching 15 June 2012 deadline to file Form PF.
Oil, commodity price swings not driven by funds: ICI
Fighting back against the widespread notion that speculation has driven commodity and in particular oil prices, the Investment Company Institute on Wednesday released a study showing that fundamentals rather than fund flows drive commodity prices.
**DA: Perhaps this is what scares politicians and regulators the most. I shudder to think where we would be if fundamentals were truly reflected in asset prices.