• Breakout Funds – Interesting days ahead

    | | Fed, Global Macro, Risk

    What a wild past 27 hours across Macro.  Yesterday was one of the most anticipated Fed meetings in memory.  Markets were looking for a cut of 25 and hoping for more – either yesterday or in the near future.  What we got was 25 and a bumbling press conference where Powell seemed to have no clue what was driving Fed policy at this point.   The best we could take away was further trade uncertainty may result in those much begged for rate cuts.  But this was just a guess, and that’s the point … Read more Breakout Funds – Interesting days ahead
  • Managing Money: It’s basically all noise, with a few exceptions

    | | Commodity Trading Advisor, Fed, Trump

    Noise and an overwhelming amount of data is the biggest challenge in managing money in 2019 (or anytime in the past decade). In the 1960s, 1970s, and even the 1980s, delivering alpha came down to having access to information others didn’t have – the process of obtaining data was a value-add. Today, we have the complete opposite problem. In 2019 we have too much information, and delivering alpha comes down to paring things back to their essence, stripping away unnecessary garbage … Read more Managing Money: It’s basically all noise, with a few exceptions
  • 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?
  • What does it mean for an investment strategy to be “robust”?

    | | Strategy, Technical Analysis

    In the business of managing money, there is a key word that often comes up but is easily misunderstood: robustness. What does it mean for an investment strategy to be “robust”? What does a robust strategy look like? Is it something that most investors find palatable? Look at the following returns for two different managers, Mr. low vol and Miss robust … Read more What does it mean for an investment strategy to be “robust”?
  • 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