Prechter sounds the alarm

Elliott Wave's Prechter sounds the alarm (marketwatch.com)

Watching Refco falling apart & Hedge Fund Maze

How a 4 billion $ company feel apart in one week

Refco having its ups and downs

A guide to the Hedge Fund Maze from Businessweek

Refco's painful lesson for investors

Hedge Funds get tangled with bad business cycle

The Refco Scandal and Customer Funds

In the light of the recent events customers having accounts with Refco will remove substantial funds from the broker. This is what the National Futures Association says about segregation of customer funds from that of the firm.

More Refco news from Hedgeworld

When Stock Market Models Crash

cxoadvisory.com published a resarch study about Didier Sornette, Professor of Geophysics at UCLA, who forcasts a stock market crash since 2002, and who was serially wrong. (the picture above shows his latest prediction)

Graham Stock Screen

39 stocks meet the criteria annual EPS Growth Rate >= 30 and P/E ratio <=10 at moneycentral.msn.com with STC leading the pack.

Annual EPS Growth Rate >= 30	P/E Ratio: Current <= 10

DJ Utility Index testing support

The DJ Utility Index made an all time high two weaks ago as it jumped over its highs back in December 2000. It is now testing its first support in the 390 /420 area.

EMini Biotech Futures start trading 9/26/05

The CME announced the start of the EMini Biotechnology Stock Index Futures effective 9/26/05. Traded on Globex, contract size is 50x the Nasdaq Biotechnology Index, which is a modified capitalization weighted index comprised of stocks that are classified as either pharmazeutical or biotechnology. Commodity code is BQ, Ticker Symbol BIO (Futures), BQX (undlying index)

Fed ups Fed Fund Rate to 3.75%

Stocks fell sharply after the Fed raised interest rates a quarter point to 3.75%--the 11th rise in 15 months.
(Tradingmarkets.com)

Hedge Fund News from HedgeWorld

Hedge Fund Strategies without Performance Fees

NEW YORK (HedgeWorld.com)—The mutual fund company Rydex Investments has launched two new retail vehicles that promise to replicate the performance of certain hedge fund strategies but at lower cost to the investor.

TraderSource Starts FX Fund of Funds

NEW YORK (HedgeWorld.com)—The Harbourside Multi-Manager FX Fund (SICAV) plc from TraderSource Inc. will invest with foreign exchange managers in Europe and the United States.

RMF Creates ‘Three Pearls' Portfolio for German Institution

PFÄFFIKON, Switzerland (HedgeWorld.com)—RMF, an investment manager of Man Investments, announced Monday that it has placed a 150 million euro customized hedge fund portfolio with an unnamed German institutional client.

Election in Germany - DAX and EURO drop

German stock market, euro fall after election leaves deadlock between Angela Merkel's CDU and Gerhard Schroeder's SPD.

Intergraph in strong uptrend

INGR is moving up strongly since June and shows now signes of weakness.

Hedgeworld News

ISDA Protocol Aims to Ease Derivatives Trades Transfer
(Hedgeworld)

NFA Suspends CPO Manager: Adamant Vacationer
(Hedgeworld)

Short Sellers, Emerging Markets Funds, Lead CSFB/Tremont Index in August
(Hedgeworld)

Alternative Fuel Stocks

With WTI trading around USD 70 Optionetics.com presents some alternative fuel stocks.

Possible collapse of the Bayou Group

Hundreds of millions of dollars may be missing in Bayou. Connecticut investigates the Hedge Fund for Solvency (WSJ)

Daily Treasury Yield Curve Rates

not yet inverted...
August 2005
Date____1 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr
08/01/05 3.30 3.48 3.73 3.83 4.04 4.09 4.16 4.22 4.32 4.59
08/02/05 3.35 3.49 3.73 3.84 4.06 4.10 4.17 4.24 4.34 4.62
08/03/05 3.34 3.46 3.72 3.82 4.02 4.07 4.13 4.20 4.30 4.58
08/04/05 3.34 3.47 3.72 3.83 4.04 4.09 4.15 4.22 4.32 4.60
08/05/05 3.35 3.52 3.75 3.87 4.11 4.16 4.24 4.30 4.40 4.66
08/08/05 3.38 3.54 3.82 3.93 4.16 4.22 4.28 4.34 4.42 4.68
08/09/05 3.37 3.52 3.79 3.90 4.13 4.19 4.25 4.31 4.41 4.66
08/10/05 3.38 3.51 3.78 3.90 4.13 4.18 4.24 4.30 4.40 4.65
08/11/05 3.31 3.51 3.78 3.89 4.10 4.14 4.18 4.24 4.32 4.60
08/12/05 3.32 3.52 3.79 3.88 4.05 4.08 4.11 4.16 4.24 4.52
08/15/05 3.28 3.54 3.82 3.91 4.08 4.11 4.15 4.20 4.27 4.53
08/16/05 3.32 3.54 3.80 3.88 4.03 4.06 4.10 4.15 4.23 4.49
08/17/05 3.31 3.52 3.80 3.89 4.07 4.10 4.15 4.20 4.28 4.53
08/18/05 3.30 3.50 3.78 3.86 4.01 4.04 4.08 4.13 4.21 4.48
www.ustreas.gov

Record 6527 registered Funds in Cayman Island

(HedgeWorld.com)—A record number of new hedge funds were created in the Cayman Islands during the first six months of 2005, according to a report by the Cayman Islands Monetary Authority, which registers more than 80% of the world's hedge funds. see story

Second Lyxor Fund in Germany

Lyxor opens a second fund of hedge funds in Germany that is focused on long/short equity.
Hedgeworld.com

Vega Asset Drop Approaches $1 Billion

According to hedgeworld.com redemptions and losses by Vega funds in May and June approached approximately $ 1 Billion.
Vega told investors that in the past month their portfolios were adversely affected by the yield of the U.S. 10-year Note dropping 30 basis points and the spread between the two-year maturity and 10-year maturity in the U.S. swap curve flattening. This happened while the spread between U.S. and Euroland 10-year maturity swap rates moved down to a negative 1.23% in the U.S. market.

CogentHedge on Fund Performance for First Half 2005

David Slavin, Managing Director of CogentHedge writes:

The first half of the year 2005 has been a roller-coaster ride for alternative investments. That may be good for amusement parks but most investors prefer something more consistent. Fortunately, for the year to date overall performance has been comfortably positive with all alternative investments in the CogentHedge database reporting results through June (currently 1700) showing an average gain of 1.625%.

Performance by investment strategy and sub-strategy is as varied as the policies and funds themselves. A quick review of the Cogent Dynamic Averages shows that Emerging Market Equity strategies are leading the pack - up +8.489% for the year - while the Convertible Arbitrage strategy remains the single worst-performing category for the year: down -6.797% through June. Convertible Arb funds are so far (with 48 reporting as of this moment) up +1% for the month of June. You may recall our analysis of this investment strategy in a prior newsletter.

Taken in aggregate, alternative investments have posted three positive months and three negative months so far this year. Results range from a high of 1.715% in June to a low of -1.444% in April. Rollercoaster, indeed!

The Cogent Dynamic Averages allow us to delve into these numbers. For instance, what is the range of reported June results by individual strategy? The largest standard deviations by investment strategy for the month of June 2005 are as follows:

Investment Strategy	Standard Deviation	% Change	# Reporting
Options Strategies	10.399%	0.479%	16
Currency Trading	5.408%	3.454%	38
Futures Programs	5.087%	2.821%	206
Emerging Markets Equity	3.341%	2.756	51
Global Macro	3.257%	1.463%	89
All Funds	2.935%	1.632%	1820
All Single Manager Funds	3.146%	1.720%	1477
All Multi-Manager Funds	1.598%	1.132%	339

Barclay Group & MARHedge cooperate

The Barclay Group and MARHedge Announce Database Distribution Agreement.

The Barclay Group and MARHedge, a subsidiary of Metal Bulletin plc, have reached an agreement in which MARHedge will publish, starting in September 2005, The Barclay Group's proprietary hedge fund and CTA performance data.

The Barclay Group, founded in 1985, is one of the industry's premier database companies and collects performance data from more than 4,500 hedge funds, funds of funds and CTAs worldwide.

BOSC chased higher

BOSC is chased higher today and is up 100%. If you were lucky and early enough, there was a good dummy entry at 3.58.

Put Call Ratio no leading indicator

There is an interesting article about Put/Call Ratio at the blog of CXO Advisory Group saying that "the put/call ratio is not a particularly strong or consistent leading indicator for the overall stock market. Like many other measures of investor sentiment, it is more a coincident than a leading indicator."

John W. Henry's June comment

Michel Covel published John W. Henry's June comment.
Its intersting how oppositional views can be: Reading the first paragraph of the commentary one could believe nearly all of the 11 programs managed be JWH are trading very well at present, while numbers of verious databases are showing a completely different picture with all but one strategy under water for the year.

The John W. Henry & Co Original Program currently suffers the worst drawdown in history with YTD -42.68%. Her is his performance table from IASG

Monthly Performance
	JAN	FEB	MAR	APR	MAY	JUN	JUL	AUG	SEP	OCT	NOV	DEC	YEAR
2005	(19.00)	0.59	3.88	(25.11)	5.01	(13.88)E							(42.68)
2004	8.01	14.11	(2.94)	(9.24)	(7.85)	(15.05)	(1.29)	(0.10)	10.22	22.25	5.25	(16.09)	(0.26)
2003	22.39	8.21	(9.27)	0.53	0.83	(14.08)	4.36	5.63	(14.56)	(15.69)	8.60	4.71	(5.50)
2002	(0.04)	0.02	(9.20)	1.81	5.11	14.73	10.74	6.30	11.08	(7.82)	(8.10)	(1.59)	21.50
2001	(3.18)	(4.41)	17.44	(14.34)	0.69	(9.23)	(3.31)	3.69	6.35	2.49	(12.36)	2.10	(16.79)
2000	5.96	1.44	(4.90)	(6.68)	(5.13)	(2.73)	(3.31)	5.37	(10.15)	1.57	17.29	7.74	3.43
1999	(3.88)	5.11	(2.22)	5.98	(2.84)	2.14	(2.27)	0.59	(3.78)	(11.36)	4.63	(2.06)	(10.73)
1998	(1.30)	2.22	(4.10)	(0.52)	4.41	1.68	(3.97)	3.96	2.65	5.21	(12.82)	15.37	10.81
1997	3.42	0.21	1.63	0.50	1.10	(4.43)	2.05	(0.80)	(5.99)	3.59	0.00	4.86	5.73
1996	5.28	(7.35)	1.02	3.84	(6.48)	7.99	(4.36)	(2.33)	8.24	10.37	5.19	1.11	22.65
1995	2.16	17.87	16.58	9.09	(4.43)	1.65	(0.03)	(3.89)	(3.93)	3.25	1.15	6.84	53.23
1994	(2.95)	1.53	4.36	0.21	5.53	6.64	(7.15)	(4.73)	(2.83)	(14.11)	10.21	(0.04)	(5.68)
1993	(0.75)	9.54	(3.50)	10.36	0.12	(4.05)	14.92	(3.65)	0.63	(1.53)	3.45	11.40	40.64
1992	(6.12)	(8.79)	0.72	(0.84)	(4.46)	8.27	9.09	9.12	(2.75)	2.24	3.61	2.19	10.86
1991	(0.48)	0.30	(2.07)	(5.76)	4.40	(0.73)	(7.38)	(3.60)	10.74	(3.91)	(1.26)	17.71	5.43
1990	7.12	(2.04)	18.42	12.37	(10.93)	7.17	10.94	19.11	(2.12)	(1.90)	0.98	(2.32)	66.82
1989	0.80	(19.91)	11.70	(5.09)	28.97	(3.86)	8.08	(13.66)	(13.25)	(11.97)	7.35	9.82	(10.85)
1988	(6.90)	4.65	(16.05)	(5.10)	3.60	13.90	(19.80)	(4.30)	6.35	(2.45)	1.64	(12.53)	(35.16)
1987	8.99	3.65	2.66	21.91	0.75	(3.54)	8.84	(3.13)	(10.40)	35.80	16.48	11.93	129.81
1986	(4.39)	22.22	15.44	(5.83)	(2.78)	(2.13)	11.51	7.19	(2.86)	(10.25)	(1.94)	(2.98)	19.83
1985	2.43	0.88	(8.81)	(17.11)	11.00	4.37	16.80	1.74	(15.51)	9.57	7.36	18.62	26.77
1984	5.53	(4.81)	(7.54)	(2.09)	16.55	(10.30)	28.69	(9.03)	15.98	(5.24)	(2.18)	12.54	34.66
1983	14.36	(28.56)	1.63	4.86	8.27	(9.61)	10.91	13.41	(7.31)	(3.28)	(6.40)	(2.54)	(12.35)
1982										7.11	(16.85)	2.71	(8.52)

E = Estimated
An introduction into Trend Following can be found at turtletrader.com

Dorfman's July picks

Bloomberg columnist John Dorfman selects 10 stocks combining value and growth.

Code for Hedge Funds

The trade body for UK hedge funds is considering an industry code of conduct for managers in response to the threat of more regulation. (link)

Todays Markets

Overbought stock markets are nearly unchanged today, CLQ5 recovers impressively and is back in the 60ies as another hurricane threat appers, the Euro gains ground against the US$ and looks back above 1.2200. No remarkable moves in the other markets with grains slightely lower and meats a little higher.

Daytraders are pushing CAFE today sending it up 100%.

AMTD break out?

Can AMTD break out of its recent base?

LCAV breaking down

LCAV has had its run and is now heading south with heavy volume.

TS, HANS, VPHM

TS, HANS and VPHM continue to climb higher and will probably do so for ever.
Ex post the London blast sell off has been a perfect window of opportunity to go long. European stock indices are making new highs for the year.
In his June issue Bob Prechter called the current level in the S&P and other US indices a historical shorting opportunity...future will show.

James Mound's Commodity Review

James Mound writes a weekly commodity review every Friday and came up with a mid-year issue this time.

Movers

Momentum stocks from this week are still doing well and it pays of to buy new highs.
Today LUFK powers ahead, with RL, KYPH, AGP and VPHM following - all of them have excellent short and long term charts.

Headlines

London higher as investors recoup losses

Europe rallies after strong wallstreet session

Sterling hit 18 month low against the dollar

Oil volatile as traders assess London blasts

Business as usual

Markets have recovered from terror panic and most of the futures are trading near yesterdays levels with US index futures in the green. With risk of terrorism back in investors minds i doubt that equities can move substantial higher from this level in the near term - the next days will show.

...and recovers

Crude Oil plunges

Together with stock markets crude oil futures plunge in the premarket due to fears that terror attacks could be a damper for the economy

Terror Fears

An additional bus explosion in the city of London sends Bonds higher and stock markets lower.
September Bunds are trading above 124 already, USU5 @ 118-30, the DAX is down 150 points, the US$ is losing ground against all major currencies except to the British Pound.

Stopped out in FGBLU5 Short

Spooked by a London underground explosion European Bonds spiked and i was stopped out in my FGBLU5 short position at 123.27 for a loss of 42 points.

Hedge Funds gain in June

According to HFRX most of the Hedge Fund strategies were positve for June, but stay under water for the year.

	Daily - 06/30/2005				Jun	2004	2003
HFRX Index	DTD	MTD	YTD	Value *	ROR	TOTAL	TOTAL
Glob Hedge	-0.0083	0.9148	-1.7511	1116.85	0.91	2.69	13.39
Equal Weight	0.0478	0.4499	-1.8225	1094.87	0.45	2.73	11.32
Abs Return	0.0954	-0.1262	-2.9714	994.66	-0.13	3.20	11.95
Market Dirl	-0.0666	2.2908	-1.7663	1027.14	2.29	4.84	25.22
Conv Arb	0.0997	-0.0528	-8.3388	938.32	-0.05	-0.14	8.85
Dist Sec	0.3280	0.1876	-1.9198	1231.41	0.19	8.95	20.90
Equity Hedge	-0.0860	1.8468	-1.2436	1131.49	1.85	2.19	14.47
Equity MN	0.1770	-0.0848	0.6750	981.38	-0.08	0.33	-2.38
Event Driv	-0.0084	1.1407	-0.5349	1241.19	1.14	6.93	18.74
Macro Index	0.0067	0.5424	-2.4225	1086.84	0.54	-0.32	14.61
Merg Arb	-0.1150	0.7260	2.6856	1097.79	0.73	2.80	4.26
Rel Val	-0.0251	-0.6030	-2.2512	1065.53	-0.60	1.98	9.15

Barclay CTA index up in June

The Barclay Trading Group publishes CTA performances, too. After 1/3 of the CTAs having reported the Barclay CTA Index shows an estimated June performance of 1.03% and is down -2.26% for the year.

	June ROR†	Percentage of funds reporting†	YTD through June†
Barclay CTA Index	1.03%	37.89%	-2.26%
SUB INDICES
Agricultural Traders Index	0.00%	0.00%	2.03%
Currency Traders Index	1.02%	38.37%	-1.59%
Discretionary Traders Index	0.54%	25.32%	2.51%
Diversified Traders Index	0.95%	40.47%	-4.28%
Fin./Met. Traders Index	0.87%	30.00%	0.77%
Systematic Traders Index	1.13%	40.84%	-2.94%

CTAs - Monthly Flash

IASG has a large database of Commodity Trading Advisors. A lot of CTAs have already reported their June performance. Despite the early reporters are usually the ones with a good performance, you can take the figures as an indication, that for most of them June has been a month with above average gains offsetting some of the losses piled up in the last 12 months.

Commodity Markets Today

So what are the main movers on the futures markets today: we see a grain rally again, with SX5 up 40 ct above 720, WU5 and CU5 up 13 ct to 340 and 238, we see the expected follow through at the metals to the downside, PAU5 was already down at 170.2 today! Bonds are weak and energies strong with CLQ5 approaching the 60$ mark.

Parker Drilling

PKD has found the perfect channel.

ELOS, PAY

ELOS is taking out its 12/2004 high and looks like it could make another leg up.
You can buy PAY only because of its name or its chart.

Winner List

KEYW, AMTD, UNH seem as they would only go up! TS is a beauty, so is KOSP, which continous to make new highs and looks very strong.

Trade recommendation FGBLU5 short

The SARA System is short the FGBLU5 (Sep German Bund) at 122.85 with a stop at 123.72.
Stops are adjusted daily.

Tomorrows Comment Today

John Hussman's Weekly Market Comment.

This is what i mean

Tour de France

I hope i will have some time to watch the Tour de France this year. I am desperate to see one of these 6 hour mountain stages live on TV - to miss nothing i've already stocked up with DVDs.

Further gains for US$

As i write this, the EUR trades below 1.19, down from close to 1.36 back in March - so why should it stop here?

Country Indices - Europe tops US

Comparing the YTD performance of some equity indices around the globe, the excellent performance of (mainly) eastern european countries is obvious.
For example Hungary gained 23.14%, Czechia 19.45% and Poland 12.90%. Top performer in Central Europe is Austria with a gain of 27.12 YTD.
European indices are outperforming US indices by a big margin, the Eurostoxx50 index gained 8.72% compared to a loss of -1.44 of the S&P500 and -8.06 of the Nasdaq100.

Eastern European Index Futures can be traded on the OTOB, the Austrian Futures Exchange, but only with very low volume. It's also difficult to find a broker or bank with acceptable conditions but there are a lot of certificates and ETFs available.

My opinion is, that all these top performing indices are looking very stretched but with the current momentum in the back i will definetively stay back and avoid to call a top.

Weekend ahead

Heading into the weekend now, among others to visit an excellent winegrower in our vicinity, see you.

Futures Markets Today

A lot of mentionable moves on the futures markets today, with CLQ5 up 2$ to 58.5, the US Doller up strongly against all currencies (e.g. UROU5 down 1250 ticks under 1.20 and the Rand down 2500 ticks) as a late reaction to the interst rate hike yesterday, USU5 down a full point under 118 and weak short term rates, Silver and Gold stumbeling. Only equity indexes doing well so far, S&P up 4 points at 1200 and European indexes making new highs for the year (Eurostoxx at 3212, DAX at 4637 futures basis September). A mixed picture for medium to long term trend followers.

HOC

HOC looks strong and will go up until it stops.

Hedge Funds and Managed Futures

To get a first overview about the subject matters I intend to post about, CISDM is a good start.
In its "Benefits of" series the Center of International Securities and Derivatives Markets provides an analysis of risk and return benefits of Hedge funds and Managed Futures when considered as part of an investor's overall portfolio. The risk and return performance of portfolios constructed from adding alternative investments to established U.S. stock and bond portfolios are evaluated.

Terms and Conditions

This site is presented for informational purposes only. It is intended for your personal, non-commercial use. No information or opinions contained in this site constitute a solicitation or offer by Luna to buy or sell securities or to furnish any investment advice or service.