Feature   |   Week In Review   |   Chart of the Week   |  

***Overview***

The battle between a global economic slowdown and raging inflation kept many futures markets volatile last week. U.S. stock futures sold off on news of renewed problems in the mortgage sector. For the week S&P futures fell -2.33% with Dow futures not far behind losing -1.81%. The Tech sector held it’s own with NASDAQ futures ending near steady levels on renewed optimism on a Microsoft/Yahoo deal could be nearing a few final hurdles. The excitement filtered into the small-cap area with eh Russell gaining +1.53% and the Mid-cap ending near unchanged levels for the week.

Economic jitters supported metal prices, meanwhile; as buying of hard assets based investments led a flight-to-quality rally in the precious metals. For the week gold was up +2.92%, Silver rallied +2.40%, and Platinum ended +1.19%. The industrial metals did not fare quite as well as shaky economic conditions led to losses in both Copper -5.30% and Palladium -1.22%.

Currency trading basically stayed the mostly sideways course, although the economic jitters in the U.S. led the Dollar to decline -1.34% with the gains mostly picked up by the Euro +1.35%.

The grain and food sectors took a tumble last week as worries of poor world economic conditions along with a report showing larger than expected crops sparked a round of heavy selling. In the grains Corn led the way down -8.89%, followed by Wheat -6.56%, and Soybeans -2.25%. The losses in the food sector were just as severe as Cocoa was -7.25%, Coffee lost -6.46%, OJ was -5.35%. The livestock sector ended with mixed results as Lean Hogs moved ahead +4.96% while Live Cattle lost- 2.61% due in most part from news that South Korea was upping their imports of pork at the expense of beef as their consumers still do not feel comfortable eating beef since the past outbreak of mad cow disease.

In energy futures - Crude, RBOB, and Heating Oil ended the week steady, although Natural Gas posted losses of -12.43% on reports of larger than expected supplies and on ideas that the current mild summer in the U.S. would curb consumption.

***CTAs***

Welcome to index option expiration week! With the VIX up 18.9% MTD, and options set to expire this Friday, those option selling CTAs can’t see this Friday’s option expiration come soon enough.

The top index manger for the month so far has been Zephyr Aggressive, who is posting a gain of aprox +1.01%. Zephyr has traversed through a troubled period over the past year; however to start the 2nd quarter, they have made some strategic changes to their strategy that have paid off. They earned +9.41% in Q2 on the Aggressive program. Others in the black for the month include Zenith Index, Zenith Diversified, Zephyr Moderate, and LJM Partners. On the downside, for the most part, the losses have been controlled to under 4%, with the notable exception of Ascendant S1 who is down 14% from their near term high. Others in the red include Ace Investments (-2.62%), Cervino Diversified 2x (-1.77%), Cervino Diversified (-0.77%), Crescent Bay BVP and PSI (-3.95% and -3.36%), Diamond Capital (-0.09%), and Rathiel (-1.08%).

Commodity option mangers have continue to perform well earning; Cervino COP is ahead +1.51% and FCI is ahead +0.57%.

In the grain and agriculture markets, volatility remains high and subsequently promising for mangers. Toping the charts so far this month is Rosetta which is ahead +0.89% - Rosetta is in the midst of fighting its way back toward new equity highs after suffering a drawdown of aprox 15% in the 2nd quarter. In other trading Chicago Capital is ahead 0.36% for the month, NDX Abednego is down -0.19% and NDX Shadrach is down -1.89% for the month. NDX's drawdown comes following a run up of 8.0% and 25% respectively in June.

Multi-Market & trend following CTA’s have had a slow start to the second quarter of ’08. Historic high levels of volatility across all commodity market sectors has had many managers focused on capital preservation, which has led to fewer trades being put on and less activity for us to discuss. There are a couple managers who are up slightly in July including Northside Trading at approx +3.45%. Like most other managers Northside has been quiet, but does have a couple trades on in the currency futures and metals markets that are up so far this month. Next in line is the APA Modified program which is up +1.06% this month approximately. Both the APA Modified and APA Strategic Diversification (+0.29% est) Programs suffered pullbacks last week after unsuccessful trades in currencies, stock index and energy futures markets.

A couple of our more well known managers that we track, Dighton USA and Clarke Capital, have both cut down on trading and have been very quiet thus far in July. Dighton has not taken any new positions as of Friday 7/11/2008 and neither has the Clarke Basic Program, meanwhile the Clarke Magnum Program is down slightly at approx -0.55%.

On the more active side Robinson-Langley continues to look for trading opportunities and is down slightly at -0.81% approx this month. Hoffman Asset has also had a couple new positions but is in the red slightly at -2.22%. Managers that have found the going a little tougher include Optimus which is down -6.09% and Longterm Trading Navigator at -7.75% for the month.

***Trading Systems***

In the trading system arena, the continued volatility in global futures markets has put trading strategies to the test. Robust programs that were built to handle an array of trading conditions have passed this test with flying colors, while some of the programs that were built in the low volatility period of the past several years have struggled as of late.

Starting with the day trading systems, the top performer was Rayo Plus Dax which finished the week +$1,930.75 on a single trade from Friday. Compass SP was close behind +$1,245.25 on five trades after finishing the week with three losing trades. Waugh eRL had a similar result of +$1,238 on four trades. Bounce MOC eRL did exactly what it was designed to do- catch the rebound from an oversold market-and finished the week +$1,090 from the trade on Tuesday. On the losing side, BetaCon 4/1 ESX lost -$940.19 on two trades that were both stopped out.

Moving on to the swing systems, the programs that work on a longer time frame generally held their positions while some of the shorter term systems were in and out of trades throughout the week. Tzar eRL took a new short position last week joining the ES and NQ which have been holding short for a few weeks. Signum EBL and TY held onto their respective long positions and continue to recover from a tough stretch of trades in June. SeasonalST ES was successful on its short trade mid-week for +$1,470. Bounce eRL had a similar trade to the MOC system and picked up +$1,100 on the trade from Tuesday.

Elsewhere, Ultramini ES lost -$542.50 on one long trade from Friday that was stopped out. Mesa Notes was also stopped out of its short position in the Ten Year Note for a loss of -$2,800 on the closed out trade.

Trend following programs were relatively quiet as several commodities came back to life but did not break new highs to trigger entry signals. Programs that were stopped out of long energy positions early in the week wished they could have the trades back as they came roaring back towards the end of the week. Grain markets were lower for the week but will take further downside to trigger exits on long positions.