July proved to be good month for managed futures with a variety of measures showing growth for the month, while 2100 Xenon’s Managed Futures partnered with Russell. Long-term investing in managed futures got a boost from a new report by Forward Management, but a Forbes article offers nine reasons to “just say no.”

Quote of the Day

“The corn market was extremely bearish until late June until people realised it wasn’t raining. It was like a switch flipping. It was a major macro event unique to crops, primarily corn and soyabeans, that literally turned you from extreme bearishness to extreme bullishness in a matter of weeks.”

-Sal Gilbertie, Teucrium president and chief investment officer in FT’s piece Investors burnt in US grain drought.

Observations – Statistics – Commentary

The CTA Expo Chicago program has been announced.
CTA Expo Chicago
September 13, 2012, The Conference Center, UBS Tower

NFA announces webinar for previously exempt commodity pools
NFA Webinar – Today at 3 p.m. EST
On February 24, 2012, the CFTC issued final rules amending CFTC Part 4 Regulations to rescind an exemption from CPO registration for certain qualifying pools under CFTC Regulation 4.13(a)(4). This means that many entities that previously qualified for the 4.13(a)(4) exemption have until December 31, 2012, to register with the CFTC and become CPO Members of NFA.

Long-Term, Managed Futures Have Reduced Portfolio Risk
Donald Jay Korn – Financial Planning
A new white paper from Forward Management LLC, San Francisco, concludes that diversifying portfolios with managed futures may enable investors to earn better risk-adjusted returns.
**JK – Interesting tidbit: A basic 60-40 stocks to bonds portfolio would have produced annual returns over the past decade, of 5.6 percent. But with a 10 percent allocation to managed futures, would have increased returns to 5.9%, while reducing the standard deviation to 7.7 percent.

Managed Futures: Stepping Up the Quest for Portfolio Diversification
Norman Mains – managing director, Forward Management LLC

Nine Reasons To Just Say No To Managed Futures
Welcome to the wild west of managed futures. Even before the highly publicized fiascoes at Peregrine and MF Global we wondered why anyone might want a managed futures account. Our position has always been we wouldn’t touch them with a ten foot pole.
**JK – Forbes takes some strong jabs at managed futures. What are your thoughts? Email me at jimkharouf@johnlothian.com.

2100 Xenon’s Managed Futures Strategy Selected for Russell Multi-Strategy Alternative Fund
Press Release
2100 Xenon Group, an affiliate of Old Mutual Asset Management, is pleased to announce it has been selected by Russell Investments as one of the alternative asset managers in the newly launched Russell Multi-Strategy Alternative Fund.
**JK – Congrats to Jay Feuerstein, Bruce Mumford & Co. at 2100 Xenon. To learn more about 2100, see our interview last fall with Jay HERE.

CTAs seize July’s choppy markets
Macro CTA managers captured strong trending dynamics across multiple asset classes, pushing Hedge Fund Research’s HFRI Macro: Systematic Diversified Index to a gain of 2.77% in July (1.80% YTD) – whereas the HFRI Fund Weighted Composite gained 1.05% and 2.88% YTD.

Managed Futures, Credit Funds Post Best July Results
CTA/managed futures strategies returned 2.44% in July and credit strategies 1.46%, compared to a 0.7% median return for all hedge funds. Year to date, managed futures are up 1.45% and credit strategies 6.35% compared to a 3.1% gain for hedge funds overall. The S&P 500 index, by way of comparison, was up 1.4% in July and 11.0% YTD.

Barclay Hedge Fund Index gains 0.85% in July (3.19% YTD) in difficult trading environment
Opalesque Industry Update
Hedge funds gained 0.85% in July 2012, according to the Barclay Hedge Fund Index compiled by BarclayHedge. The Index is up 3.19% year to date.

CFTC’s Division of Swap Dealer and Intermediary Oversight Responds to Questions Regarding Recent Amendments to Compliance Obligations CPOs and CTAs
Press release
For CPOs of CFCs required to register with the Commission, what is their date for compliance with the Commission’s regulations?
The CPO of a CFC must register with the Commission by the later of (i) December 31, 2012 or (ii) 60 days following the effective date of final rules defining the term “swap.”

Investors burnt in US grain drought
The smart money needs to sweat more. As record temperatures first blasted the US corn belt in late June, many commodity investors seemed cocooned in air-conditioning.

Managed Futures/Managed Funds

Hedge Fund Association Launching Shanghai Bureau
The Hedge Fund Association’s China Chapter has opened a local branch in Shanghai.

Hedge Fund People Moves: Matt Auriemma Joins HighWater
Cayman-based hedge funds corporate governance service provider, HighWater Limited, is expanding to New York.

Brevan Howard Looks To U.S. To Raise Money For Currency Fund
London-based Brevan Howard filed an Aug. 9 private- placement notice with the U.S. Securities and Exchange Commission to raise an unspecified amount of assets for its Macro FX fund. The $1 billion currency fund is managed by Luke Ding, a former Merrill Lynch & Co. foreign exchange trader who joined Brevan Howard in 2007.


CalPERS just struck fear in the hearts of venture capitalist everywhere
CalPERS, the gigantic California public workers’ pension fund, has announced that it’s going to to review the venture-capital component of alternative investments in its $230-billion overall portfolio. This follows on the heels of a much-discussed paper put out by the Kauffman Foundation earlier this year, in which the organization — which is devoted to promoting entrepreneurship — revealed that its VC investments has seriously underperformed in the past decade.
**JK – Opportunity for CTAs?

Are State Pension Funds Paying Wall Street Too Much?
A recent report by two Maryland think tanks makes the case for state retirement systems to dump Wall Street investment firms for more passive equity index funds.
The study by the conservative-leaning Maryland Tax Education Foundation and Maryland Public Policy Institute outlines fees state pension funds pay investment firms, totaling $7.8 billion nationwide in 2011. This price tag is too high, the authors argue, given their meager returns in recent years.

Navigator Absolute Return Fund maintains winning streak, up 5.15% YTD
The Navigator Absolute Return Fund, co-managed by Lumix Capital and Grupo BAF, has maintained its winning streak this July with consistent positive returns since inception in March ’08 after posting +0 .72 % gains last month (+5.15% YTD). The fund has returned 51.5% since inception, annualising 9.8%.
Navigator Fund, a commodity trade finance fund that underpins South America’s leading export role in the soft commodities global marketplace, has $122.35m in assets under management as of end July 2012.

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