Industry Benchmark Performance Our very early look at Industry returns shows that CTAs performed slightly lower than our programs, with gains of between 1% and 2% compared to 1% to 3%. Equity programs had modest gains and are posting only about 1/3 of the performance of SPY. We are sympathetic because a strategy needs to have risk control, which means giving up some … [Read more...]
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Jun, 2016 May 2016 Performance Review
June 3, 2016 by
Industry Benchmark Performance We have preliminary performance for May, but the Barclays Hedge Fund Index seems to be at odds with the Fund of Funds. We have always considered the Fund of Funds as a realistic return to the investors, and an aggregate of all funds. It now differs by about 1.5%. We’ll need to see if there are any adjustments going forward. Similarly, Barclays CTA Index was flat … [Read more...]
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Oct, 2015 September 2015 Performance Report
October 3, 2015 by
September Overview In 1776, when Thomas Paine said “These are the times that try men’s souls” he was talking about the American Revolution, but he might have been talking about the stock market. Prices collapse one day and jump up the next, only to collapse again. Normally, when volatility spikes, it comes down in an orderly manner (as seen in the VIX chart below). Less often, it can spike again, … [Read more...]
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Jan, 2015 December Performance Report
January 18, 2015 by
Even the good equity performance pales next to futures for 2014, proving that economic forecasts are not as good as diversification. Was it possible to predict the drop in oil prices? Even with pundits talking about a strong dollar, no one could put a time frame on it. Then there’s sugar, a drop from 22 cents to nearly 14 cents, about 28% from the first of the year. With a contract value of more … [Read more...]
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Dec, 2014 November Performance Report
December 6, 2014 by
November was another good month for equities and an exceptional month for futures. Our equity programs added good returns but not quite as good as the benchmarks. The market had a remarkable and unexpected recovery from the sharp sell-off in October and although it still has residual signs of weakness, it continues to move slowly higher. Money is said to be flowing into the market, now that we’re … [Read more...]