Time-series Momentum: Venerability, Vulnerability and Scholarship

Oct 7th, 2015 | Filed under: Academic Research, Alpha Hunters, Alpha Seekers, Commodities, Today's Post

Baltas and Kosowski begin a recent paper with the observation that time-series momentum strategies have compiled an unsatisfactory record in the years since the global financial crisis. They ask why, and suggest how the strategies can be re-jiggered to improve performance.

The Canary in the Coal Stocks and Fossil Fuel Divestment: the Portfolio You Save May Be Your Own

Sep 14th, 2015 | Filed under: Climate change, Commodities, Energy, Today's Post

A Wall Street analyst recommends bottom fishing in fossil fuel stocks and does an excellent job in analyzing all the market forces EXCEPT the primary one, rapidly increasing climate change. If he is typical of Wall Street expert analysis on fossil fuel stocks, be afraid. Be very afraid.

CFTC Exempts ASX Clear from DCO Registration

Aug 25th, 2015 | Filed under: Alpha Hunters, Alpha Seekers, Commodities, Hedge Fund Industry Trends, Today's Post

The CFTC has issued its first exemption from the CDO registration mandate under 5b (h). The successful petition for that exemption, from ASX Clear, has the additional merit of having inspired an idiosyncratic seeming, but concise, comment letter, quoted in full here.

Eurekahedge: The Markets are Reading the Headlines

Aug 18th, 2015 | Filed under: Alpha Seekers, Alpha Strategies, Commodities, CTA, Currencies, Hedge Fund Strategies, Today's Post

In the three month period that ends with July, Eurekahedge’s Greater China Index (which has 85 constituents) is down 9.39%. That has come about for precisely the reasons that a reader of the pertinent headlines would guess.

Commodities & Currencies From May to August: How Much Has Changed

Aug 12th, 2015 | Filed under: Commodities, Currencies, Insolvency, Today's Post

What a difference a summer makes! In May of this year it was still taken for granted that the "normalization" of Federal Reserve policy and so of U.S. interest rates approached. Now, that cannot even remotely be taken for granted.

Overtrading and the Danger of Pro Rata

Jul 30th, 2015 | Filed under: Algorithmic and high-frequency trading, Commodities, Currencies, Derivatives, Forex, Today's Post

Guest columnist Ginger Szala looks at pro rata and what happens if...

Vindication for Pirrong and Irwin: Why Are Trafigura’s Profits Up?

Jun 22nd, 2015 | Filed under: Commodities, Derivatives, Indexes, Media Coverage of Hedge Funds, Today's Post

Trafigura has done quite well from the decline in crude oil prices in recent months. So well, in fact, as to throw a harsh light on a story that appeared in The New York Times in December 2013.

House of Saud Retains Plenty of Clout

Jun 11th, 2015 | Filed under: Commodities, Macroeconomics, Today's Post

A measured view of the underlying reality of the world market in crude oil suggests that the price may have gone as low as the Saudis want it to go. For traders there may be little if any further gain on the downside.

Are CTAs mumbo jumbo or additive for a diversified hedge fund portfolio?

Jun 9th, 2015 | Filed under: Commodities, Hedge Fund Industry Trends, Hedge Fund Strategies, Today's Post

Guest columnist Don Steinbrugge looks at the value of trend-following CTAs in a portfolio.

Copper Prices: Why the Downslope?

May 26th, 2015 | Filed under: Commodities, Hard metals, Risk management, Technology, Today's Post

How long will it take before the world again sees copper at around $10,000 a ton, the going price it touched (though briefly) in early 2011? Perhaps several more years and another full business cycle. There may be a lot of down before an upturn gets us there.

Down Memory Lane: That WTI-Brent Divergence

Feb 18th, 2015 | Filed under: Academic Research, Asset pricing, Commodities, Infrastructure, oil, Today's Post

For one professor, the surprising divergence in the prices of WTI/Brent crude in the period 2010-2012 was a case study in how commodity prices can teach us about supply chain conditions. Faille looks back at his article, and forward past today's calmer but still-fluctuating spread.

ECB Beats SNB in race for the Bottom

Jan 19th, 2015 | Filed under: Algorithmic and high-frequency trading, Commodities, Currencies, Today's Post

An SNB announcement caused wild market moves Jan. 15th, not only in Forex but in commodity and equity prices as well. In the wake of the commotion, one key question has to be: why the announcement? Why this sudden change in the policy of Switzerland's central bankers?

Top 5 Alpha Stories of 2014

Dec 30th, 2014 | Filed under: Alpha Hunters, Commodities, Emerging markets, Today's Post

In the middle of the year now ending, the U.S. Supreme Court delivered as complete a victory as it could manage to the hold-out bondholders in the Argentine-default dispute. Enforcement efforts plod on, and it seems likely a related story could make our top five list next year, too.

Case study: Straits gives managed futures a facelift

Dec 18th, 2014 | Filed under: Commodities, Retail Investing, Today's Post

As alternative investments become more mainstream, managers who traditionally have operated in the alternatives arena face a number of questions, including what is the right offering, the proper structure and how do we market the new vehicle. Guest columnist Ginger Szala examines the thought processes of one group as they made the leap to retailization.

Qatar and the QIA: When the SWF Is Also a Family Office

Dec 10th, 2014 | Filed under: Commodities, Institutional Investing, Technology, Today's Post

The royal family in Qatar, the House of Thani, just took direct control of the emirate's sovereign wealth fund. Also, that fund just invested big in Uber, confirming its reputation as perhaps the worlds most aggressive deal-hunting institution.

Don’t Blame the Swiss: Results Discounted Days Before Vote

Dec 8th, 2014 | Filed under: Commodities, Currencies, Forex, Gold, Hard metals, Today's Post

The price of gold took a swan dive as November ended, just as Swiss voters formally nixed an initiative that would have required the central bank to buy a lot of the stuff. Faille argues that this is not a matter of cause and effect. It is, on the other hand, a fascinating case study in the discounting machinery that is a market.

The Building of an Infrastructure for Renewables: A Report

Nov 5th, 2014 | Filed under: Alternative energy, Alternative energy investing, Commodities, Infrastructure, Private Equity, Socially responsible investing, Today's Post

In 2012, [as the crude oil price was settling in to $110 and low vol,] the renewables’ infrastructure space for private funds reached an aggregate estimated deal value of $132 billion. In 2013, that fell to $95 billion. It now seems unlikely that 2014 will match last year.

The Undead Enron Model Returns to the World above Ground

Nov 2nd, 2014 | Filed under: Commodities, Energy, Legislation/Court rulings, Regulatory, Today's Post

Enron was once the leader in a category of merchant traders that mediated in the world of energy commodities. Enron died, and banks largely took it over. Yet in spirit, at least, Enron is back.

Central Clearing and the Bank of England

Oct 29th, 2014 | Filed under: Commodities, Risk management, Today's Post

A Bank of England paper discuses the "cover 2" standard for the adequacy of the default funds of central clearing houses, an issue of increasing importance as the push to centrally-clear everything picks up steam. One question it raises somewhat incidentally is the proper pronunciation of the acronym SLOIM, for "stressed losses over initial margins."

The Bubble This Time: Oil & Gas Energy Stocks?

Oct 15th, 2014 | Filed under: Commodities, Energy, Indexes, Today's Post

If we look for the recent peak in Dow Jones U.S. oil & gas stocks we’ll look to the start of the summer. In June of this year the energy sector got above $850. The fall from that height puts the size of our correction in the neighborhood of 16%. It is possible these stocks are leading the rest of the market down.

Exemptions and Pools: CFTC Harmonizes with the JOBS Act

Sep 17th, 2014 | Filed under: Commodities, Hedge Fund Regulation, Today's Post

Two rules within the CFTC rulebook that offer exemptions for certain CPOs from certain regulatory requirements mirrored the original pre-JOBS Act Reg D on the SEC side. But of course we are now in a post-JOBS Act world, and the CFTC staff has now acted, not through a rule change but by staff letter, to harmonize with its sister agency and with the JOBS Act mandate.

Improving the Odds with Managed Futures

Mar 19th, 2014 | Filed under: Alpha Hunters, Commodities, CTA, Today's Post

Guest columnist Diane Harrison looks at the basics of managed futures.

Are We in the Golden Age of Gas? What is the Reality of ‘Fire Ice?’

Feb 10th, 2014 | Filed under: Commodities, Energy, Featured Post

Maria van der Hoeven, Executive Director of the International Energy Agency talks to James Stafford,

Two Troubled Strategies by the Numbers

Feb 9th, 2014 | Filed under: Alpha Strategies, Commodities, CTA, Hedge Fund Industry Trends, Hedge Fund Strategies, Today's Post

Managed futures are performing quite poorly. They also have a higher standard deviation than the HF industry aggregate, so it seems that if you're invested there your losses are at least buying you greater risk. [Wait. That can't be right.]

AlphaMetrix: We did nothing wrong!

Jan 22nd, 2014 | Filed under: Commodities, CTA, Insolvency, Institutional Investing, Legislation/Court rulings, Retail Investing, Today's Post

In 2010 AlphaMetrix held a conference in Miami with Harry Markopolos as the keynote speaker. Markopolos' claim to fame is that he told the regulators about Madoff''s Ponzi Scheme, but his words fell on deaf ears. In 2013 AlphaMetrix, which claimed to the be the transparent antidote to Madoff stood accused by the CFTC of moving money in ways it ought not and in 2014, the principals of the firm are asking for a jury trial. It is indeed a tangled web and it is unlikely to be un-weaved any time soon.

New EPA Rule Requires Chemical Disclosure for Offshore Fracking

Jan 16th, 2014 | Filed under: Commodities, Energy, oil

Nick Cunningham , columnist, looks at new U.S. EPA regulations and the effect they may have on fracking and future oil prices.

Mother Nature Sends Oil Sector Strong Message

Jan 14th, 2014 | Filed under: Commodities, Energy, Featured Post, oil

Daniel J. Graeber, columnist, on the environment and oil prices.

Coal Makes a 2014 Comeback

Jan 13th, 2014 | Filed under: Commodities, Energy, Featured Post

Guest columnist Nick Cunningham looks at the prospects for coal.

Causality in Commodity Prices: The Debate Gets Personal

Jan 7th, 2014 | Filed under: Commodities, Media Coverage of Hedge Funds, Today's Post

Two academics had the nerve to question a thesis dear to the heart of David Kocieniewski of The New York Times. So he struck back.

Ukraine & Turkey: The European Energy Coup

Oct 29th, 2013 | Filed under: Commodities, Energy, oil, Today's Post

Special to AllAboutAlpha from on energy in Turkey and the Ukraine

Not All that Sparkles Is Gold: A Word on Platinum

Oct 9th, 2013 | Filed under: CAPM / Alpha Theory, Commodities, Hard metals, Today's Post

A new paper addresses a group of industrial metals, the platinum group, and suggests that its components might be a wise addition to many portfolios on CAPM grounds.

Has Electronic Trading Ruined Crude Oil Prices?

Sep 29th, 2013 | Filed under: Commodities, Energy, Today's Post

Dan Dicker talks to Futures Magazine's Ginger Szala about oil trading.

Normal Backwardation Foiled Going Forward

Sep 16th, 2013 | Filed under: Academic Research, Commodities, Derivatives

A forthcoming paper suggests that the old risk premium in crude oil futures has essentially disappeared, at least as averaged out over (rather modest) spans of time, and proposes commodity index funds as an explanation of the disappearance.

The CFTC/HFT Rumors and Some Reflections

Sep 2nd, 2013 | Filed under: Algorithmic and high-frequency trading, Commodities, Regulatory, Today's Post

The CFTC is said to be close to issuing a concept release on high-frequency trading, pushing the regulatory process beyond the agency's earlier talkfests. Christopher Faille muses about an approach the concept release will almost certainly not advocate.

CTAs: Diamonds during the rough

Aug 27th, 2013 | Filed under: Commodities, CTA, Today's Post

CAIA Curriculum Director Keith Black looks at CTAs.

After the Bottom Fell Out of Copper: A Private Equity Story

Aug 21st, 2013 | Filed under: Commodities, Institutional Investing, Private Equity, Today's Post

An opinion by Chief Judge Lynch, of the 1st Circuit Court of Appeals, should have private equity managers in that Circuit reviewing their portfolios, and thinking in a more expansive way about their potential ERISA liabilities for companies they control.

Building a Successful Fund Firm From the Start

Aug 21st, 2013 | Filed under: Best Practices, Commodities, CTA, Hedge Fund Industry Trends, Hedge Fund Operations and Risk Management, Performance, Analytics & Metrics

Grant Jaffarian, AlphaTerra LLC, discussed the importance of messaging

Alpha Hunter James Rickards on Gold and the U.S. Dollar

Aug 20th, 2013 | Filed under: Alpha Seekers, Alpha Strategies, Commodities, Currencies, Gold, Hard metals, Today's Post

Christopher Faille talks to James Rickards about U.S.-Russia relations, as Russia reaches parity with the U.S. in the gold-to-GDP ratio.

Are CTAs Simply Broken? A Short Critique

Aug 19th, 2013 | Filed under: Commodities, CTA, Performance, Analytics & Metrics, Today's Post

Guest columnist Andrew Beer looks at CTA performance.

PrevInvest on The Taper and the Summer Lull

Jul 30th, 2013 | Filed under: Alpha Strategies, Commodities, Currencies, Hedge Fund Industry Trends, Today's Post

The key to an equity hedge strategy in the U.S. at present is that “the basket of those stocks generating healthy profits becomes clearer to differentiate from those that are having trouble doing so” through the earnings season. PrevInvest is moderately bullish on this, but not bullish on an event-driven strategy.

CME Section 8 Data Wants to be Free!

Jul 21st, 2013 | Filed under: Algorithmic and high-frequency trading, Commodities, Derivatives, Today's Post

Summary/excerpt: If Clark-Joseph is wrong in his worries about the "exploratory trading" of high frequency traders, he should be shown to be wrong with the use of facts and reason. He shouldn't be shushed, directly or indirectly.

Producing Energy: The Closest Thing to a Perfect Asset

Jul 7th, 2013 | Filed under: Alpha Seekers, Commodities, Energy, Today's Post

Guest columnist Paul Thomas looks at the energy markets.

After You Go as Low as You Can Go

Jul 2nd, 2013 | Filed under: Commodities, CTA, Today's Post

Welton has modeled an investment approach, specifically a multi-asset class trend following approach, and has measured how it would have performed if back-fitted into certain periods of sustained and sharp interest rate increases in the decades since the death of Bretton Woods.

Marc Rich: A Life, Not Just a Pardon

Jul 1st, 2013 | Filed under: Commodities, Currencies, Today's Post

We pause to mark the death of a man who, more than any other, was responsible for the creation of a spot market in crude oil in the hectic period after the Yom Kippur War.

Rice Elucidates Views on Managed Futures, Retail Investors

Jun 24th, 2013 | Filed under: Commodities, CTA, Hedge Fund Industry Trends, Today's Post

To encourage further exchange and understanding, I went back to Mr. Rice, after reading a comment from our reader, and asked him to expand on managed funds and their noncorrelation with traditional (largely equity) investment strategies. Tags, Agriculture, Commodities, Derivatives

The Wind and the Leaves: Causality in Commodity Prices

Jun 5th, 2013 | Filed under: Asset pricing, Commodities, CTA, Derivatives, Hedge Fund Industry Trends, Today's Post

Three scholars find a very real possibility that there is a cause and effect relationship between index flows in the derivatives markets, at least the agricultural index markets, on the one hand and price moves in the underlying commodity on the other.

A Plea to the Retail Investors

Jun 2nd, 2013 | Filed under: Alpha Strategies, Book review, Commodities, CTA, Hedge Fund Strategies, Retail Investing, Today's Post

This book, The Alternative Answer: The Nontraditional Investments that Drive the World's Best-Performing Portfolios is an appeal to the retail investor, to those author Bob Rice calls "typical investors," passing along the good news that they are no longer "stuck with the children's menu of investment options."

NG Futures Traders: Who’s Your Regulator?

Mar 24th, 2013 | Filed under: Commodities, CTA, Energy, Regulatory, Today's Post

As a three-judge panel of the D.C. Appeals Court saw it, there were two questions in the Brian Hunter case. First, did the CEA’s language encompass manipulation of NG futures contracts as part of the exclusive jurisdiction of intervener CFTC? Second, if so, was that repealed or modified by the 2005 legislation?

Survey: MF Global and Peregrine Have Left a Lasting Mark

Mar 20th, 2013 | Filed under: Commodities, CTA, Today's Post

Ninety-one percent of the respondents to a recent survey strongly believed there was a breakdown in audit procedures in the futures world. The comments section for that question displayed what the survey sponsor, Horizon Cash Management, calls “widespread frustration and anger.”

Dollars and Nuggets Part II: Spain, Cyprus, and the Future

Mar 19th, 2013 | Filed under: Commodities, Currencies, Hard metals, Today's Post

The present global monetary situation, plainly, is not at equilibrium. Everybody else’s currencies depend upon the dollar, the dollar depends upon petroleum, and petroleum depends upon … whatever. Changes will continue (through a succession of crises if no other way can be developed) until a new equilibrium can be attained.