• Commodity Trading Advisors (CTAs) in Perspective

    | | Commodity Trading Advisor

    Spring Valley
    The following is a guest post from Spring Valley Asset Management: Commodity Trading Advisors (CTAs) are a class of hedge funds that trade primarily in liquid global futures markets. These include currencies, fixed income, equity indices, and commodities. CTAs pursue many different types of strategies. However, research has shown that they predominantly follow trends. Trend following buys assets that have risen in price and sells assets that have fallen in price. The strategy has been robust historically and consistent across asset classes. Using the approach in [1], we construct a proxy trend following strategy. In Exhibit 1, we confirm that … Read more Commodity Trading Advisors (CTAs) in Perspective
  • November Flash Report

    | | Flash Report

    What’s Up The stock index trader index lead the pack last month, up 1.19% and 5.05% for YTD led by Kinkopf Capital Management’s S&P Select program. What’s Down The trend was not your friend for the second month in a row, as the trend following strategy index dropped 2.32% anchored by Mulvaney Capital Management’s Global Markets Fund’s 12% slip. CTA Spotlight: Tianyou Asset Management. In February 2018, markets looked pretty dire for many option writers. The VIX had spiked 250% in less than a week and options sold a few days before were selling for many multiples of their original value. The … Read more November Flash Report
  • Everyone Loves a Comeback

    | | Spotlight

    In February 2018, markets looked pretty dire for many option writers. The VIX had spiked 250% in less than a week and options sold a few days before were selling for many multiples of their original value. The biggest firm in the space, LJM Partners, went under and some of the best names faltered. Tianyou reduced risk as any good manager should but not in time to stave off a 25.46% drawdown, the worst in their history. Most of their customers stuck with the program and by the end of the year they were down just 4% and now are … Read more Everyone Loves a Comeback
  • NuWave Investment Management – Politics & Markets

    | | Politics

    While only time will tell if the potential impeachment of President Donald Trump is more sideshow than substance, the fallout from the impeachment inquiry and any subsequent hearings will likely pale in comparison to the potential ill effects of a destabilizing escalation in the trade war with China, an unanticipated surge in U.S. inflation data (which would, in turn, force the Federal Reserve to tighten rates in an aggressive fashion) or a continuation of the profligate spending policies of a spendthrift Congress. Ultimately, markets either rise or fall based upon the underlying health of the economy – not the political drama being staged in some Congressional hearing on Capitol Hill – and it is likely that the economic policies pursued by the Trump Administration (e.g., tax cuts, jobs growth, fair trade, rising corporate earnings, deregulation, etc.) have made the U.S. economy – and the U.S. stock market – more resilient to all manner of near-term shocks . . . even political ones … Read more NuWave Investment Management – Politics & Markets