Comments on: Renaissance to Launch New $25B Managed Futures Fund http://www.mebanefaber.com/2007/07/09/renaissance-to-launch-new-25b-managed-futures-fund/ Stock Market and Investing Blog of Mebane Faber Tue, 11 Oct 2011 15:24:53 +0000 hourly 1 http://wordpress.org/?v=3.2.1 By: Quotes http://www.mebanefaber.com/2007/07/09/renaissance-to-launch-new-25b-managed-futures-fund/comment-page-1/#comment-4253 Quotes Sat, 18 Apr 2009 10:40:15 +0000 http://www.mebanefaber.com/2007/07/09/renaissance-to-launch-new-25b-managed-futures-fund/#comment-4253 Your work is very impressive, I am impressed completely, keep posts like this coming, you seem to be quite pro at this. Bookmarking you right now!<br><br>Thank you<br>Chris Your work is very impressive, I am impressed completely, keep posts like this coming, you seem to be quite pro at this. Bookmarking you right now!

Thank you
Chris

]]> By: Quotes http://www.mebanefaber.com/2007/07/09/renaissance-to-launch-new-25b-managed-futures-fund/comment-page-1/#comment-2450 Quotes Sat, 18 Apr 2009 05:40:15 +0000 http://www.mebanefaber.com/2007/07/09/renaissance-to-launch-new-25b-managed-futures-fund/#comment-2450 Your work is very impressive, I am impressed completely, keep posts like this coming, you seem to be quite pro at this. Bookmarking you right now!<br><br>Thank you<br>Chris Your work is very impressive, I am impressed completely, keep posts like this coming, you seem to be quite pro at this. Bookmarking you right now!

Thank you
Chris

]]> By: Anonymous http://www.mebanefaber.com/2007/07/09/renaissance-to-launch-new-25b-managed-futures-fund/comment-page-1/#comment-1710 Anonymous Sun, 06 Jan 2008 10:00:00 +0000 http://www.mebanefaber.com/2007/07/09/renaissance-to-launch-new-25b-managed-futures-fund/#comment-1710 The concept of backwardation and contango have been simplified in relation to something called the "term structure of the futures price curve." Keynes et al. original concept of "normal backwardation" is based on the relationship of the futures contract to the "expected future spot price." This is a much more difficult concept for most to grasp and so is ignored because it doesn't "market" well. This paper: <br/><br/>"Is Managed Futures an Asset Class? The Search for the Beta of Commodity Futures" <br/><br/>raises the spector of something called "roll yield permutations." The paper is available on SSRN's eLibaray at: <br/><br/>http://papers.ssrn.com/abstract=1029243 The concept of backwardation and contango have been simplified in relation to something called the “term structure of the futures price curve.” Keynes et al. original concept of “normal backwardation” is based on the relationship of the futures contract to the “expected future spot price.” This is a much more difficult concept for most to grasp and so is ignored because it doesn’t “market” well. This paper:

“Is Managed Futures an Asset Class? The Search for the Beta of Commodity Futures”

raises the spector of something called “roll yield permutations.” The paper is available on SSRN’s eLibaray at:

http://papers.ssrn.com/abstract=1029243

]]> By: Mebane Faber http://www.mebanefaber.com/2007/07/09/renaissance-to-launch-new-25b-managed-futures-fund/comment-page-1/#comment-1395 Mebane Faber Wed, 11 Jul 2007 15:13:00 +0000 http://www.mebanefaber.com/2007/07/09/renaissance-to-launch-new-25b-managed-futures-fund/#comment-1395 Moom - I didn't mean to imply that short term arb wasn't a managed futures strategy (there are probably hundreds of different strategies), rather, then vast majority are long term trendfollowers.<br/><br/>Mike - It is hard to measure how much of a problem this effect causes. The Yale study showed that commodity futures are superior to commodity stocks. . . Moom – I didn’t mean to imply that short term arb wasn’t a managed futures strategy (there are probably hundreds of different strategies), rather, then vast majority are long term trendfollowers.

Mike – It is hard to measure how much of a problem this effect causes. The Yale study showed that commodity futures are superior to commodity stocks. . .

]]> By: mOOm http://www.mebanefaber.com/2007/07/09/renaissance-to-launch-new-25b-managed-futures-fund/comment-page-1/#comment-1394 mOOm Wed, 11 Jul 2007 12:50:00 +0000 http://www.mebanefaber.com/2007/07/09/renaissance-to-launch-new-25b-managed-futures-fund/#comment-1394 The descriptions I've read of Man's Managed Futures was that they made many very short term arbitrage trades. Maybe there is a third model of managed futures out there? The descriptions I’ve read of Man’s Managed Futures was that they made many very short term arbitrage trades. Maybe there is a third model of managed futures out there?

]]> By: Mike http://www.mebanefaber.com/2007/07/09/renaissance-to-launch-new-25b-managed-futures-fund/comment-page-1/#comment-1393 Mike Wed, 11 Jul 2007 11:20:00 +0000 http://www.mebanefaber.com/2007/07/09/renaissance-to-launch-new-25b-managed-futures-fund/#comment-1393 Mebane,<br/><br/>I've got a question regarding commodity investments that maybe you have an opinion or thoughts on.<br/><br/>I've had a strategic allocation to a passive commodity index since early 2004 (in varying percentages) in the form of the PIMCO Commodity Real Return Fund.<br/><br/>I am currently revisiting my strategy regarding commodities; either to a different product, or more at individual equities tied to a specific commodity.<br/><br/>My concern is this. I've read some comments on various blogs and in some articles that the large amount of money invested in passive commodity indices is distorting the futures curve and basically creating a situation where each month these funds are losing money by rolling the near-term contract, and that the floor traders on the other side are taking advantage of this.<br/><br/>It's hard to measure the specific effect of this in a broad commodity product like PIMCO's fund, but it is crystal clear in something like USO which has done a dismal job of tracking the change in crude oil. It has substantially underperformed the price change in crude oil.<br/><br/>I know Deutsche Bank is trying to get around this issue in their commodity ETFs by having some sort of different rolling strategy instead of rolling the near-term contract. I'm just not sure if this is a long-term solution.<br/><br/>I'm not even sure if this "problem/issue" is a temporary one, or something that is structural due to the magnitude of passive investment.<br/><br/>I'm starting to think perhaps the best vehicle for commodity exposure is stocks the produce the commodity. Of course, there are drawbacks to that approach.<br/><br/>Any thoughts? Mebane,

I’ve got a question regarding commodity investments that maybe you have an opinion or thoughts on.

I’ve had a strategic allocation to a passive commodity index since early 2004 (in varying percentages) in the form of the PIMCO Commodity Real Return Fund.

I am currently revisiting my strategy regarding commodities; either to a different product, or more at individual equities tied to a specific commodity.

My concern is this. I’ve read some comments on various blogs and in some articles that the large amount of money invested in passive commodity indices is distorting the futures curve and basically creating a situation where each month these funds are losing money by rolling the near-term contract, and that the floor traders on the other side are taking advantage of this.

It’s hard to measure the specific effect of this in a broad commodity product like PIMCO’s fund, but it is crystal clear in something like USO which has done a dismal job of tracking the change in crude oil. It has substantially underperformed the price change in crude oil.

I know Deutsche Bank is trying to get around this issue in their commodity ETFs by having some sort of different rolling strategy instead of rolling the near-term contract. I’m just not sure if this is a long-term solution.

I’m not even sure if this “problem/issue” is a temporary one, or something that is structural due to the magnitude of passive investment.

I’m starting to think perhaps the best vehicle for commodity exposure is stocks the produce the commodity. Of course, there are drawbacks to that approach.

Any thoughts?

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