• June 2021 Flash Report

    | | Flash Report

    Inflation remained the hot topic in June as overall CTA performance cooled for the month. Other market themes were driven by the FED and its decision to taper. Equity markets were for the most part calm in June with the VIX closing lower for the fourth straight month (see chart below).   The broader CTA space saw most longer term trends break in June predominantly in government bond futures and USD. The IASG Trend Index was -1.79% while the Agriculture Index +0.61% and Equity Index +0.86% led the way for June.    Call me a Pessimist All investors know the … Read more June 2021 Flash Report
  • Call me a Pessimist

    | | Economy

    All investors know the adage to “buy high and sell low” but few adhere to it.  We can see this with record volume to start July trading coming mostly from retail investors as the S&P reaches another all time high.  Perhaps I have been in the futures industry too long because when things are “too good” I get concerned.  Oftentimes I am right though, even for accidental reasons.   Oddly, the current period looks pretty similar to a time of recent memory.  Coming into February of 2020 the economy was on fire with record low unemployment, a rising stock market, and … Read more Call me a Pessimist
  • June 2021 Market Letter

    | | Agriculture

    Commentary provided by Chad Burlet of Third Street AG Investments Released: Wednesday, June 30, 2021 In our May Market Letter we wrote about the exceptional volatility in the agricultural futures markets. June showed us that May was just a warmup. In May corn had seen a 3.5% break and a 3.9% rally in a very short time frame, in mid-June it doubled those moves in a day and a half. However, it was soybean oil futures that were the true volatility champions. When the Supreme Court ruled in favor of petroleum refiners, soybean oil lost 6% of its value in five minutes … Read more June 2021 Market Letter
  • Hedging an equity portfolio: Volatility

    | | Strategy

    We opined in our last article that “Traditional Hedges Suck” that most traditional hedges had significant weaknesses and did not have many characteristics of a great hedge.  Volatility (long positions in VIX futures), while not perfect, has a number of these favorable characteristics for hedging an equity portfolio. The characteristics of a great equity hedge are three-fold: Makes more money in down markets that it loses in up markets; therefore, the hedge improves the risk adjusted returns of the portfolio. If the risk adjusted return is improved, the investor can either have less risk on the same investment size OR … Read more Hedging an equity portfolio: Volatility
  • May 2021 Flash Report

    | | Flash Report

    Equity market volatility surfaced again, led primarily by the tech sector with several themes continuing to work its way through this market. Is the market rally stalling out or getting set to move higher? Many of the trends observed over the last few months have continued throughout May with exposure to a variety of commodities (long) and currencies (long). The topic of inflation continues to persist as the Fed seems likely to hold rates until unemployment comes down to pre-pandemic levels while inflation will be allowed to exceed a rise above the 2% target. Inflation seems less of a concern … Read more May 2021 Flash Report