(Non) Correlated November

Depending on your perspective, November proved to be a rather correlated or non-correlated month. U.S. Stocks and Managed Futures are the only two asset classes we track with positive results in November (likely from unique return drivers), while Long-Only Commodities continues to plummet and Managed Futures is positive on the year.

Those that know that Managed Futures can find return drives when markets are moving up, down, and from various different sectors won’t be surprised to see that Managed Futures was also able to make a +2.84% gain, when the The GSCI Index ETF ($GSG) had another big downward move in November, down -9.03%, bring the YTD performance to -27.34% {Disclaimer: Past performance is not necessarily indicative of future results}. As FT Alphaville points out, this is the 5th worst November the index has ever had. Believe it or not, November 2014 was worse, as was its full calendar year performance.

As for the actual return drivers from Managed Futures in November, a trending Dollar is Managed Futures friend. Many are speculating that if the fed decides to raise interest rates, it could push the dollar higher, and in doing so, give Managed Futures that extra help before the year draws to a close.

Many are waiting to see what happens to the markets in December pending the fed decision. It will be a nail-biter to the end.

Asset Class Scoebaord Table_November 2015

Asset Class Scoebaord Chart_November 2015

(Disclaimer: past performance is not necessarily indicative of future results.)
Source: All ETF performance data from
Sources: Managed Futures = Newedge CTA Index, Cash = 13 week T-Bill rate,
Bonds = Vanguard Total Bond Market ETF (BND),
Hedge Funds= IQ Hedge Multi-Strategy (QAI)
Commodities = iShares GSCI ETF (GSG);
Real Estate = iShares DJ Real Estate ETF (IYR);
World Stocks = iShares MSCI ACWI ex US Index Fund ETF (ACWX);
US Stocks = SPDR S&P 500 ETF (SPY)