Author: JonPaul Jonkheer

  • Why does momentum investing work?

    | | Strategy

    Momentum
    Conventional wisdom says that once any stock-picking strategy nears “sure thing” status it should be doomed. If everyone knows the secret to vast riches, how could the strategy possibly work anymore? But there is a successful strategy that has been followed — and widely discussed — for decades, yet somehow persists as a relatively reliable money-maker: “momentum” investing, which is betting that the stock market’s recent winners will remain winners in the near term and, likewise, that the recent losers will remain losers. The strategy also is known as “relative strength” investing. Read Momentum Investing: It Works, But Why? on … Read more Why does momentum investing work?
  • Sortino: A Sharper Ratio

    | | Financial Ratios, sortino ratio

    Many traders and investment managers have the desire to measure and compare CTA managers and / or trading systems. Risk-adjusted returns are one of the most important measures to consider since, given the inherent / free leverage of the futures markets, more return can always be earned by taking more risk. The most common risk-adjusted performance indicator is the Sharpe ratio. While the Sharpe ratio is definitely the most widely used, it is not without its issues and limitations. We believe the Sortino ratio improves on the Sharpe ratio in a few areas. However, the purpose of this article is … Read more Sortino: A Sharper Ratio
  • The Case for Proprietary Trading Style CTAs

    | | Commodity Trading Advisor

    The CTA space has struggled mightily over the past 10 years.  We believe a CTA manager with a proprietary trading skill set, proven over time throughout various market regimes, is the necessary future of the industry.  Trading proprietary firm capital under an SMA structure can have multiple benefits.  This way, firms do not have the overhead and headache of bringing on a new trading team.  Both parties are free to focus on what they do best; trading and managing risk.  … Read more The Case for Proprietary Trading Style CTAs
  • August Calm Gives Way to Limited Opportunities for Managed Futures

    | | Investment Strategies

    September came and went with a relative whimper. It was our view that various key macro events scheduled throughout the month coupled with uncertainty over monetary policy, had the potential to produce significant moves across global markets. As it turned out..with the exception of the commodities sector…this was not the case. U.S. equities ended the month flat (+0.02%), however turned in a good quarter with the S&P 500 returning 3.8%, bringing gains for the year to a +7.8%. Once again with all eyes and ears tuned to central banks..policy uncertainty had a virtual choke hold on markets, and as a … Read more August Calm Gives Way to Limited Opportunities for Managed Futures
  • CTAs Stung by Low Volatility in August

    | | CTA Summary, Performance

    Following a flat July, CTAs struggled in August. A concomitance of low volatility, range bound markets, lack of follow through on existing trends, as well as an emergence of new trends, resulted in negative performance for several managers. The extremely low volatility environment was challenging for most systematic managers as their strategies had little to work with. This absence of any meaningful follow through resulted in a portion of previously accrued gains being absorbed back into the markets … Read more CTAs Stung by Low Volatility in August