Day: 11 December 2017

CTAs Continue Positive Monthly Performance

Following the improvement in performance in October, the Societe Generale Prime Services CTA Index continued its positive run as it was up +0.30% in November, increasing gains for the year to 1.77%.

Trend followers also made further gains, as the SG Trend Index posted the strongest performance in November, up +0.59% and now +0.75% for the year.

However, short-term strategies continued to face challenging market conditions and ended on average, down -1.07%, pushing losses this year to -6.23%. Performance was mixed across all CTA strategies, as approximately half of trend following, and non-trend CTA managers generated positive returns in November; and despite the dip in index performance, three out of the 10 short term strategies ended the month positive.

RBA, ANZ Commits to FX Global Code

The Reserve Bank of Australia and ANZ have announced that they have signed a statement of commitment to the FX Global Code of Conduct.
At the beginning of the month, Profit & Loss reported that 15 central banks had signed this statement of commitment to the Code and in a separate article, noted comments from Mark Carney, governor of the Bank of England, in which he said that the Code may become “more firmly embedded” in the UK’s Senior Managers Regime (SMR), a move which could potentially lead to tangible penalties for firms that do no comply with the Code.

CBOE Claims Successful Bitcoin Futures Launch

CBOE Global Markets (CBOE) has issued a release hailing the first day of trading on its new and highly anticipated bitcoin futures contract as a successful launch.

“XBT futures posted a strong start in the global trading hours, which began as planned at 5:00 pm CT on Sunday, December 10, 2017,” says CBOE in the release.

The first full day of trading continues today, December 11. At 5:00 pm CT on Sunday, XBT futures opened at $15,000 and 890 contracts were traded by 7:15 pm CT.

US Regulators Eye Algorithmic Trading

Justin Slaughter, a partner at Mercury Strategies, warns that US regulators are examining if they need to take further action around algorithmic trading. 

Talking about how the Commodity Futures Trading Commission (CFTC) has not necessarily given up on “Reg AT”, which included a controversial provision that trading firms hand over potentially proprietary source code related to trading to the regulator, Slaughter highlighted broader questions about what data regulators should have access to. 

“What should the government do to make sure that we have access in an emergency to critical data but not give it so much access that we’re then in danger of leaking our critical proprietary knowledge?” he says.

Bitcoin Futures Launch But The Song Remains the Same

CBOE officially launched trading on bitcoin futures on Monday morning in Asia and while the event was much anticipated, price action has generally conformed to that of the past year with the price of the cryptocurrency rising steadily.
Trading on the front month contract started at $15,460 with the cash exchanges trading around $15,000, but after some early whippy price action that saw the price rise to $16,630 and then fall back to the opening level, buyers re-emerged, sending the futures to $18,700 and a trading halt on CBOE.

And Finally…

My second Irrational award is an old favourite – the Regulator of the Year – however it has to be whispered that the ammunition isn’t quite there in the quantity it used to be. The CFTC in particular, which has always been a favourite hunting ground for this column, has become particularly sensible since the change of leadership when discussing the appropriate level of market regulation. Thankfully, there are, however, still moments when regulators do something that makes you scratch your chin.

FX Futures Have “A Bright Future”: Greenwich Associates

A study published by Greenwich Associates looking at the costs associated with trading FX futures and cash OTC FX products argues that some buy side traders can achieve “significant” savings by using futures over cash.
The firm says it employed a proprietary quantitative model, which calculates the cost of opening, maintaining and closing out a position. To validate key inputs into the model and gather feedback on current demand and pricing, Greenwich says it spoke with 51 FX traders on the buy and sell side.