Some of us in the Managed Futures space were pretty darn close to losing patience here in 2017…. With programs seemingly waiting for the other shoe to drop, be it a market sell off, volatility, drought, or oil war – to no avail. But sometimes, even we in the Managed Futures space need a reminder that crisis periods are only one way these types of strategies find returns. Sometimes they can grind out some returns when markets are just chugging along. Queue October, where Managed Futures posted an almost +4% return with nary a vol spike around. There weren’t any major breakouts in the futures markets. But the U.S. Dollar was up for the first time in 2017, which directly impacts other commodity markets and crude prices are back to highs seen at the beginning of the year (while still very much struck in a range), and there’s of course, a continued run in the equity markets.
Here’s how the rest of the asset classes faired in October:
Source: All ETF performance data from Morningstar.com
Sources: Managed Futures = SocGen 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)
