Managed Futures News

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.
us drought monitor

January 2017 Commodity Snapshot

Feb 09, 2017
The American and Canadian producers are still expanding, with the US oil-drilling rig count charging higher from 525 on December 30th to 566 on January 27th. Production is reacting as well, with January’s average production at 8.9 mbpd versus the low in 2016 at 8.5 mbpd.
non performing loans

Global Economic Review: December 2016

Jan 19, 2017
The Federal Reserve raised rates at its December meeting and projected three increases for 2017. Q3 GDP growth was good at +3.5% and Q4 GDP looks promising at +2.9% per the Atlanta branch of the Fed.
us oil exports

December 2016 Commodity Snapshot

Jan 11, 2017
In addition to the 1.2 million barrels per day (bpd) OPEC cut announced in November 2016, non-OPEC countries led by Russia in December pledged to cut an additional 568,000 bpd.

Option Selling Commodity Trading Advisors: The Good, The Bad & The Ugly...

Jan 04, 2017
A synopsis on option selling commodity trading advisors and how they should be incorporated into a managed futures portfolio.
CTA Performance 2

Managed Futures Performance is NOT like Rental Income

Dec 29, 2016
Sometimes individuals invest in managed futures and expect consistent, steady returns from month-to-month and year-to-year; similar to rental property income. The reality is quite the contrary. Managed futures and CTAs are speculative investments (similar to Equities), and should not be relied on for "income."
opec production cut

November 2016 Global Macro Recap

Dec 14, 2016
Regardless of one’s political alignment, deficit spending looks to be on the horizon (though Trump still has to get a debt ceiling increase through Congress by March 2017 as the limit was suspended until then by the 2015 budget negotiations). With the Federal Reserve all-but-certain to raise rates at their December 13-14 meeting, are we stepping off into a new economic regime?
US total auto sales annualized

October 2016 Global Macro Recap

Nov 16, 2016
Finally the US Presidential election is over and we can move on to more important things like the economy and foreign relations – of course both of those are highly politicized too.


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