IMPORTANT RISK DISCLOSURE

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Feature | Week In Review: Market Activity picks up

Overview

Price appreciation was seen in Index futures and some sectors of commodity futures as another round of supportive economic reports not only domestically, but abroad led to more risk capital heading into derivative investments. After a 1-week respite in most sectors heading into the Labor Day holiday positive influence came back to the marketplace with news of consumer sentiment reaching a 3 month peak and better than expected industrial figures for the month of August.  The favorable news was backed up by comments from U.S. Treasury Secretary Geithner that banking conditions were on the improve enough to consider bringing to a close emergency support programs. Asian news was also a harbinger of support as China indicated economic growth still had strong momentum despite weaker export demand from foreign interest hurt by the recent credit meltdown. The lineup for economic reports this week is heavier headlined by the PPI and CPI with housing numbers and a few Industrial numbers mixed in. Stock Index futures were the most active sector with the small caps leading a strong rally with Russell 2000 futures +4.46% and Mid-Cap 400 futures +4.11%. The tech heavy NASDAQ futures +3.08% lead the larger caps followed by S&P 500 futures+2.75% and Dow futures +1.87%.  

Currency activity during the past week was a bit more brisk as the U.S. Dollar -1.98% took on water after strong worldwide stock market rallies helped push the greenback to lows new 1+ year lows. The U.S. dollar was also under pressure on indications from the G-20 meeting that officials were all on board to maintain higher government spending and lower interest rates to keep the global economy from reverting back into a recession. For the week Japanese Yen +2.84% led other currencies higher followed by Swiss Franc +2.21%, Euro +1.87% and British Pound +1.56%. The rate sector was again supported by favorable 10-year note and 30-year bond auction results as 30-year Bond futures ended +0.96% and 10-year Note futures were +0.26%.       

Commodity and Food sectors posted mixed results last week as weather concerns and the release of the monthly USDA supply/demand reports were the main market moving factors.  The Corn +4.38% was led higher favorable USDA numbers and lingering concerns of cooler weather given that the crop remains behind the usual growth stages. The Soybeans -2.06% and Wheat -0.63% found pressure from the possibility of additional acres next year due to higher CRP standards. The livestock arena posted advances as higher cash and product prices set the stage with Lean hogs +3.66% and Live Cattle +0.66%. The Soft arena was again mostly mixed, although Cocoa +4.73% and Coffee +1.97% posted strong rallies on weather concerns. Cotton +2.70% ended higher from favorable data from the USDA. OJ -2.24% and Sugar -0.81% remained in a corrective phase after recent strong rallies. 

Price activity in the Energy complex was firm in most cases as seasonal support from stocks building by retailers heading into the winter months was the main feature. For the week Natural Gas +8.50% led the way followed by Crude Oil +1.87% and Heating Oil +0.60%. RBOB Gasoline -0.93% was under pressure from inter-market spreading.    

The metals complex was mixed as investors remained fixated on the precious metals as an inflation hedge with Platinum ending +4.89% followed by Silver +2.55% and Gold +0.97%. Industrial metals remained in a more corrective phase as lower export news from China held buyers at bay as Copper ended -0.70% and Palladium finished -0.51%.

Managed Futures

Fall doesn’t technically start until September 21^st , but summer market conditions seemed to officially finish as traders from New York to Chicago got back to work last week.   Already, we have seen increased market activity across all market sectors, most notably in natural gas which saw a big rally last week.   It is encouraging to see the improved trading conditions and hopefully this leads in to improved performance for multi-market managers as 2009 has been a rough year for many CTA’s.

Despite the increased movement the results so far have been mixed.  Short term and medium term managers have seen success jumping on new trends, but longer term trend followers have seen the markets move against profitable trades.  The top performer so far this month is Clarke Capital Management which has started to bounce back from a disappointing summer as the Global Basic program +13.70% est. and Global Magnum +3.68% est. enjoying nice starts to the month.   

Integrated Managed Futures Global Concentrated +4.40% est. and Dominion Capital Management Sapphire +2.09% est. continue to trade well. Both of these programs performed well in August and the momentum has carried over into the beginning of this month. 

Other managers in the black include Lone Wolf Investments LLC Diversified +2.06% est., GT Capital +1.10% est., Attain Portfolio Advisors Modified Program +0.52% est., and Quantum Leap Capital Management +0.41% est. 

Mesirow Financial Commodities Absolute Return, Mesirow Financial Commodities Low Volatility, Hoffman Asset Management ($125k) and Attain Portfolio Advisors Strategic Diversification Program are all near breakeven in September.  

Managers in the red include DMH -0.35% est., Robinson-Langley -1.60%, Futures Truth MS4 -2.27% est., Dighton USA Aggressive Futures -2.38% est., and Futures Truth SAM 101 -9.60% est. have all started out slow this month.

In short term index trading the Paskewitz Asset Management 3X Contrarian Stock Index program has started out at +2.39% est. for the month.

In general, Option Trading Managers are right back to their winning ways after struggling to find profits in August.  The top performer month to date has been FCI OSS which is ahead an estimated +1.42%.  Should September go on to end positive OSS will have 7 out of 9 winning months for 2009 and 8 out of 12 over the past year.  Other mid month Option estimates are as follows: Ace Investment Strategists +0.98%, Cervino Diversified Options -0.18%, Cervino Diversified 2x -0.35%, Crescent Bay PSI +1.01%, Crescent Bay BVP -2.77%, FCI CPP -1.70%, Oak Investment Group +2.39%, Raithel Investments +0.56%, and Zephyr Investment Group +1.64%.

Finally, Specialty Managers have historically had a tendency to zig while others zag, and in what appears to be an increasingly opportunistic market for trend followers we expect that managers in this group will find uncorrelated opportunities.   So far in September the results are mixed and are as follows: Emil Van Essen +0.02%, NDX Abednego -2.28%, NDX Shadrach -2.78%, and Rosetta +0.34%.  Stay tuned…

Trading Systems 

Trading system results were nothing to write home about last week with swing systems finishing mixed while day trading systems were mostly negative.  Adding to the already quiet trading conditions was rollover in the equity index futures, putting most of the trading volume in the spread markets vs. the outright futures. As of last Thursday, December is now the lead month for U.S. stock index futures.

Beginning with the swing trading systems, the top performer for programs that can hold positions overnight was Jaws US 60 which finished the week ahead +$1,440 on two closed out trades. Ultramini ES was in and out of a trade in the same day for +$463.75 while Bounce ERL managed to squeak out a small winning trade early in the week for +80.  On the losing side, AG Mechwarrior ES dropped -$27.50, Strategic ES -$517.50, Waugh Swing ES - $892.50 and Strategic SP - $2,925.

Moving on to the day trading systems, BetaCon 4/1 ESX and Clipper ERL were the only systems able to finish above water +€60 and +$70. Most other day trading systems finished the week with small losses including Freedom ES -$255, Compass SP -$300, Waugh ERL -$330, Upper Hand ES -$630 and ATB Trendy Balance v2 Dax -€435. Rayo Plus Dax experienced larger losses totaling -€2,752.50 on four trades.