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Author Archives: Andreas Clenow

Tough First Half of 2012

The first half of 2012 has been challenging for trend followers and the results of most CTA funds is in the red. The problem this year has been the lack of proper trends across asset classes and the single mindedness of the market’s risk-on / risk-off approach. There has really only been one core trend this year, which is long ...

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Core Strategy Betting on the Downside

There has been some rather interesting volatility so far this year in the trend following business. As of end of April several funds hit their all time largest drawdowns and an overwhelming majority of all the trend funds were heavily down. In May things looked a little better, where the long bond trade really paid off for those who dared ...

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Bonds Making the Difference

It’s been a tough year so far for trend following futures traders and quite a few CTA funds are at or near their maximum drawdown levels. With the large moves for many players in the past few months and the big discrepancy between the top and bottom performers, one has to stop to ask what’s going on here. Let’s start ...

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Equities Rising

You may have noticed that we are getting more and more long equity positions lately. We are now up to a total of 9 markets in this sector in this category for quite an aggressive long equity exposure. Seemingly contradictory, we still hold a large allocation of long rates as well and it is likely that one of these bets will ...

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The Long Everything Portfolio

The current trend following portfolio has a very clear tilt towards the long side of, well, just about everything. We are long rates, long equities, long metals, long energies and even a little bit of long agriculturals. To be fair, we also have a few short positions but they are rather the exception at the moment. There is also quite ...

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Unnatural Gas

Supposedly there are no exploitable market anomalies since they would all have been destroyed by hedgers the instant they appeared. Well, that is at least what many text books would claim but if you are working in this business you already know better. One of the most oddly persistent anomalies and therefore one of the more interesting trade situations for ...

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Portfolio Diversification Increasing

It has been a tough year for diversified futures traders. Most big name funds lost money last year and the whole industry suffered from the binary risk on/risk off scenario we have been seeing during much of last year. Our core DFT strategy had a less than stellar run but it kept up with competition and it never saw any ...

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Are we starting to decouple?

Decouple. The most overused word in financial analysis letters. An in hard competition at that. We are not looking at a full decouple for sure, but what we see lately is a little bit less correlation between asset classes and possibly the beginning of the end or at least at respite in the whole ‘risk on/risk off’ regime. For the ...

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Long Rates? Really? On these Levels?

The observant reader may have noticed that we have been scaling out of the short agriculturals lately, as several stops have been taken out. That theme was dominating the portfolio in December and we still hold some exposure to it, but it no longer is the core driver of the portfolio. It is in the nature of a trend following ...

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Year Review 2011

Year Return: -5.91% (after commissions, slippage, 2% fixed fee) Historically, years with turbulent equity markets and global crises has meant strong performance for diversified futures but this year was different. Clearly the trend followers struggled during 2012 and we have to ask ourselves what went wrong and why. The performance is not in any way out of proportions in regards ...

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Strategy Moves into the Red

The past few days we have seen a general counter trend market where practically all trends were bucked. The dollar attempted a break on the upside but was pushed back down, the agricultural commodities gained on the dollar weakness as did the non-agricultural ones and as the equity markets saw a couple of positive days the rates futures declined. This ...

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Slow Markets – Don’t Expect it to Last

The performance is moving slowly these days with 20-40 basis points up or down per day for most of December so far. Meanwhile the exposure in the portfolio is building up more and more and while the risk level is not on extremely high levels, it is certainly above average. The trending theme out there is clear and consistent. We ...

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Trends Emerging Again

After the hit we took in October it has been very quiet in the markets. Sure, we have seen plenty of spectacular headlines and some large daily moves, but there has been a lack of clear trends and diversified futures managers are just idling along sideways. What we see now is a building up of positions again as more and ...

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Short Agriculturals it is

I mentioned before that the strategy is building up more and more exposure towards short agricultural commodities and this bet is now the overall dominating theme in the portfolio. Out of a total of 25 positions held, 13 are in agricultural commodities and only three of those are longs. The shorts include everything from soybeans to lumber, wheat and sugar ...

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A Tough End of November

After the highly volatile October, this month turned out to be mostly calm and quiet. The declines last month forced many positions to be liquidated and the overall risk level of the portfolio was greatly reduced. The risk levels stayed quite low for much of October but fresh exposure started building up the last two weeks, particularly in short agricultural commodities and ...

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Performance Update

This has been a choppy year for diversified futures traders and with only one month left on the year we only have a little over two percent to show for it. On the other hand, the traditional approach of buying and holding global equities would have lost close to ten percent this year and at substantial volatility. Overall this is ...

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Portfolio Comment – 2011-11-24

The exposure towards short agriculturals has been building up over the past couple of weeks and is now the dominating theme of the portfolio. We are short everything from wheat and oats to sugar and orange juice for a total of ten short agricultural positions. It’s quite a large bet being built up here so expect some larger moves in ...

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