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.