Managed Futures News

average monthly vix price

When Does the VIX (Volatility Index) Spike?

Oct 12, 2017
As the bull market recovery started in 2009, the S&P500 has risen steadily higher each year achieving a compounded rate of return of nearly 18%. The strong growth in the market, coupled with extremely low interest rates, has motivated investors to remain invested in the equity markets without making major changes to their portfolios. Furthermore, investors and advisors are selecting passive investment vehicles, such as ETFs, versus building a portfolio of individual stocks.
where the working class can afford to live

Global Economic Review: August 2017

Sep 21, 2017
The US Forges Ahead as Q2 GDP growth was revised up from +2.6% to +3.0% on better consumer spending and non-residential (i.e., business software and factory) investment. Q3 GDP growth is currently projected at +2.6% by the Atlanta Fed lower than a month ago but still decent.
new oil and gas projects

August 2017 Commodity Snapshot

Sep 21, 2017
As hurricane Harvey swept through the key refining zones of Texas and western Louisiana during the last week of August. The market concerns were not centered on oil production (though 98 oil and gas extraction rigs were evacuated of the 737 manned platforms in the Gulf), but on oil refining and the related distribution.
Top Performing CTA List

Top Performing Commodity Trading Advisors: YTD 2017

Jul 26, 2017
The top performing commodity trading advisors of the first half of 2017 has been a mixed bag of varying strategies, and market sector specialists.
eurozone unemployment rates

Global Economic Review: June 2017

Jul 25, 2017
US Q1 GDP growth was further revised up to +1.4% from +1.2% annualized on quite better consumer spending while the Q2 forecast trend by the Atlanta Federal Reserve slipped lower to below 3%.
breakeven for oil wells

June 2017 Commodity Snapshot

Jul 20, 2017
If there is one takeaway from the oil market, OPEC oil output in June increased by about 280,000 bpd per Reuters – and total production can be seen in the graph to the right (including June’s estimate).
US Unit Labor Costs

Global Economic Review: May 2017

Jul 12, 2017
US Q1 GDP growth was revised up to +1.2% from +0.7% annualized (due to higher business investment and consumer spending) and the Q2 forecast has held in the high 3% range for most of the quarter by the Atlanta Federal Reserve, setting the expectation for a decent 2017.
oil export revenues by country

May 2017 Commodity Snapshot

Jun 21, 2017
US exports of crude oil and products are increasing as production continues to tick upward. U.S. energy firms added oil rigs for a record 20th week in a row – eleven oil rigs in the period ending June 2, bringing the total count up to 733, the most since April 2015.
SP 500 index annual sharpe ratio

The S&P 500 Index Sharpe Ratio in 2017 is 3.5

Jun 14, 2017
Year-to-date, the S&P 500 Index is up 8 basis points per day on average (which translates into a 20% annual return) while its daily volatility is 42 basis points. These two data points translate into a year-todate annualized Sharpe ratio on the S&P 500 Index of a staggeringly high 3.50
2017 Quarterly GDP growth

Global Economic Review: April 2017

May 17, 2017
The US economy disappointed in Q1 2017 by growing only +0.7% at an annualized rate. Q1 has been disappointing over the last five years, with growth an average of +1% versus +2.5% for the other2017 Quarterly GDP growth quarters.
Oil Rig Counts May 2016

April 2017 Commodity Snapshot

May 08, 2017
OPEC and non-OPEC cuts are at or exceeding their stated goals as Russia finally reached its 300,000 barrels per day (bpd) target. However, their efforts have been undermined by three primary factors.

What is APS Pricing in Managed Futures?

Apr 26, 2017
APS stands for average price system or average pricing system. The average price system averages the price across all fill prices within a specific contract, and then assigns one average price to each contract. The contracts are then distributed to each client based on their investment account size.
China Freight Turnover

Global Economic Review: March 2017

Apr 25, 2017
The Federal Reserve did indeed raise rates as expected at the March meeting, setting the pace for three hikes this year. In the meeting minutes released in early April, the Fed also indicated that they may also change monetary policy to allow for gradual reduction of the bond stockpile bought during Quantitative Easing.
A Summary of CTA Indexes

Benchmark Your Performance with CTA Indexes

Apr 19, 2017
This article summarizes the most commonly used CTA Indexes in managed futures and information on how each of them are calculated. This article is useful for both CTA managers and investors.
total crude oil production

March 2017 Commodity Snapshot

Apr 12, 2017
The OPEC cuts are holding (thanks primarily to Saudi Arabia) as early indications for March exports have been assessed at 25.27 million bpd in March, almost flat compared to February levels.
SP 500 chart

What did Trump do to Volatility?

Mar 23, 2017
The election has come and gone, and Donald Trump, the presumed catalyst to return volatility to the markets is now the next President of the United States. But, to everyone’s surprise, volatility has not returned. In fact, volatility has decreased even more than the levels we witnessed prior to the presidential election. Conversely, the S&P500 has seen a steady increase since the presidential election, and has increased close to 10% since the end of the election day.
italian bank debts

Global Economic Review: February 2017

Mar 21, 2017
The Federal Reserve went into reverse on interest rate direction with multiple governors indicating that at the March meeting there will be an increase based on low unemployment rates (headline number at a low 4.8%) and steady to higher GDP growth (currently +1.8% annualized per the Atlanta Fed, on par with Q4 2016 GDP of +1.9% annualized).
saudi arabia output cut

February 2017 Commodity Snapshot

Mar 15, 2017
Month two of the grand OPEC (and friends) experiment of how long compliance can stay in place while Saudi Arabia attempts to get the oil market higher before its IPO late this year.
chinese bank loans

Global Economic Review: January 2017

Feb 22, 2017
The Federal Reserve kept rates steady at its end-of-January meeting and gave no indication that one was offing in March. Yellen will run out of time soon if she wants to make it three increases this year, though we still hold onto our forecast of two.
2016 Top FCMs

2016 Top FCMs

Feb 14, 2017
List of the top futures commission merchants of 2016 based on customer funds.


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