Everywhere we look these days we continue to see examples of widespread dispersion of prices, or large divergence from average. In this 2-part series we investigate why manager performance in the CTA space has been so widely scattered through the first half of this year.
Is there an industry out there that has not been affected by our nation's biggest challenge since WWII? Will our economy spin out of control into Great Depression II, or respond with vigor and vengeance? Perhaps something in-between? Opportunities exist everywhere right now and will be creating winners and losers. Nobody knows what comes next...
It took a global pandemic to call the Central Banks out on their excesses, and all we got was this lousy T-shirt.
There is no such thing as bad weather, just bad clothing. The windward and leeward sides of a mountain look a lot different from each other.
A 3 part serial essay on the state of markets as this decade draws to a close.
A 3 part serial essay on the state of markets as this decade draws to a close.
Following an unusually sharp collapse during the past month, our measure of market Trend activity has hit a new multi-year low. This may represent a good opportunity
to assess your portfolio and risk profile.
Our baseline trend strategy is currently flat in the S&P 500. This will not always be the case, and as a shrewd investor you should be ready for the next move when it becomes clear.
The equity market may well be at a key level which puts it at risk.
Once again, the launch of a new futures contract on the CME signals trouble for the underlying market, this time in the micro space.
One of my mentors has seen 7 distinct cycles in 50 years of trading experience, and reminds me that I am merely a member of a herd, that capital seeks quality and safety, and to always be on the lookout for changes in the game.
The addition of just a small amount of "Deep Purple" concentrate dominates the bottle of wine. SImilarly, the cap-weighted, float-adjusted market indices remain at the mercy of just a small portion of the 505 issues in the S&P 500 basket. Be mindful of what you are drinking.
In the Old Testament, after 7 cycles of 7 years, debts were forgiven and slaves freed. We imagine this process promoted a natural cleansing cycle.
Trend Following is not dead; it has just been hiding out in illiquid, unregulated and exotic places while Central Banks have their way.
Apple hits the $1T Market-Cap level and 42% of its price gains since 2013 are from debt-fueled buybacks.
Currently, many issues weigh on Capital Markets, increasing the possibility that the prevailing bias is no longer supporting the prevailing trend.
Crowded trades were forced to exit in February revealing who has been leaning heavily on the kindness of central-bank strangers.
Avoiding the big down moves may be more important than missing out on the big up moves.
A traditional 60/40 stock/bond portfolio has not endured without a 10% drawdown for as long a period as the period immediately before the Great Depression.
With the launch of the FANG+ futures this week and BitCoin in the coming quarter, it is maybe worth taking a quick stroll down memory lane.
Supertankers will cut their engines 15 miles from shore. They are so large and have so much stored momentum that it takes 20 minutes for them to stop, and they require further outside assistance to maneuver when docking. Debt-fueled Capital Markets may be subject to similar forces.
July reinforced the point that, while our trend approach tends to work well during periods of equity market stress, our uncorrelated strategies don't rely upon such conditions.
At least for now, the visit to the important technical level in the SP500 must be considered an abject failure. But, calling market tops - especially in the equities - is a difficult business.
A handful of stocks are recently accounting for the bulk of the gains in the equity indices as investors have eschewed active investing for that of really inexpensive passive investing. Just be very careful around these current important technical levels. Always have a plan just in case things don't work out as you might have hoped.
Although Past Performance is No Indication of Future Results, our program's return profile tends to thrive during Stock Market Declines and periods of high market volatility, offering sophisticated investors a cost-effective hedge for their traditional stock/bond/real estate portfolios.
Using the 1980 low and the Y2K high, the SP500 respected the 50% and 61.8% retracements absolutely. As we get to within striking distance of the accompanying 1.618 projection, how will equity markets behave around this key level amidst relentless fervor and ongoing shift to passive index?
Since October, our Trend Index went from horrible, to terrific, and back to horrible. This price action will likely be reflected in our peer group returns for Jan, and could change on "Any Given 140 Characters".
Arguably the largest upset in American political history has unleashed volatility across the board as global market participants begin guessing as to what new policies and actions affecting trade and markets are coming our way.
108 years later the Law of Large Numbers finally catches up for the Cubs, and Hell Freezes Over. What other surprises are headed our way?
In more than 4,250 observations since the year 2000, our Trend Index has only been as low as 23 on 150 days. This rare occurrence is often (but not always) followed by large profitable moves.
For some time now our position has been that the only thing that can really get rates going higher would be a collapse in confidence. Are we close to crossing some threshold?
In this age of digital consumption, it takes extra effort to fight off the cognitive biases that investors and traders are faced with.
The 4th quarter of US general election years tends to be very good for trend trading (or convex) strategies. We explore this idea using data from a bunch of names from the 90's. Are you ready?
Daily mentions of "correlation" compel us to remind you that few things can replace experience and you might just be getting what you pay for.
We are finding out about lots of interesting things that have been happening behind closed doors and we are not privy to. But when has that ever not been the case? Price is all that matters.
Fresh year lows in the equity indices are yet again matched by a massive short-squeeze as Jamie Dimon does his best J Pierpont Morgan impression and makes a widely-advertised purchase of JPM in his personal account.
"So goes January, so goes the year" is the old trading axiom, as if anything old matters anymore. On Groundhog Day, we are left once again wondering about the $4 Trillion in passive long index investments out there as discussed in our Oct '14 essay.
After getting spooked in August, the Fed finally pulled the trigger with a rate hike ending an unprecedented era in which your old textbooks are no longer valid. Draghi, on the other hand, was quite certain that he could mount an aggressive easing campaign and miscalculated the required votes.
The Fed has a notoriously bad track record of forecasting because their models are flawed. Behavioral Economics and Complexity Theory suggest that even with perfect knowledge, you cannot predict outcomes.
Does 2015 feel a lot like 1998 to anyone else out there other than me? (Except of course that Fed Funds are at zero instead of 5.50% and the Keynesian bullet has been spent...)
Some pundits have been calling for rate hikes off the emergency zero bound since 2011. After carefully and finally setting the stage for rate 'lift off', the Yellen Fed failed to pull the trigger.
Another currency peg abandoned. Catastrophic Cascading Capitulation as "Carry Trades" and "Risk" were swiftly unwound during the summer break of 2015.
Remember the Asian Crisis in '97/'98? As the 2009 commodity lows are being challenged, just how deep can these prices go? Perspective is everything.
Some mixed-signals coming from the equities indices and a difficult period in commodities as we vacillate around the 2009 low.
The CRB gaps lower and opens the door to the possibility of revisiting the 2009 lows.
Increasingly crowded Passive Index Investing and "Buy The Dip" mentality may wish to consider that Central Bank intervention might not always be there to save you.
Brazil 1:7 Germany Nobody predicted that outcome.
Trend Following has no forecasting bias. Do you?
Markets are Maximally Perverse and work in unpredictable ways. At some point volatility will return. Have CTA strategies and investors passed Capitulation and Despondency into mere Depression?