12 Apr 2011
Cranwood Capital, a futures hedge fund specialising in US Treasuries ‘butterfly’ trades, ended the first quarter of 2011 up 2.25%. Investors in the Cranwood Prime fund who notionalized their investments by 5:1 ended up +11.17% for the quarter.
In an investor letter, Pete Powers CEO and CIO observed:
Much of what we have been waiting for has started to play out. The volume on a daily basis in the Treasury futures market started to look a lot like early in the past decade.
We feel this will continue and we should see volumes back to pre-crisis levels as we move to a more ‘normal’ Fed policy situation. We now have people playing both sides of the equation, some see higher rates and others see lower or unchanged rates going forward. It is this type of ebb and flow of the market that makes our strategy robust and we could see another long run of consistent positive returns.
The first quarter was not without patches of extreme volatility. We experienced geo-political unrest in many parts of the world and this rattled many different markets that all have ties to the Treasury market. We also had an unsettling situation sent from Mother Nature, as an earthquake led to a Tsunami and then caused potential nuclear reactor risk.
Navigating these unfortunate situations is a much different scenario from the credit crisis. I can only explain them as high volume volatile times, and these are markets that can be weathered and even capitalized on. During the volatile times in the past two years, liquidity dried up and we thought it was more prudent to wait the storm out and wait for better days.
We feel that our time has begun and it is only going to get better as the record federal debt will only increase our volumes on a daily basis and increase the depth of our markets as well. As with any time in my trading career, there is always the unforeseen but as long as we have liquidity, our strategy will be able to weather these events and perform well on normal ebb-flow days.
In an investor letter, Pete Powers CEO and CIO observed:
Much of what we have been waiting for has started to play out. The volume on a daily basis in the Treasury futures market started to look a lot like early in the past decade.
We feel this will continue and we should see volumes back to pre-crisis levels as we move to a more ‘normal’ Fed policy situation. We now have people playing both sides of the equation, some see higher rates and others see lower or unchanged rates going forward. It is this type of ebb and flow of the market that makes our strategy robust and we could see another long run of consistent positive returns.
The first quarter was not without patches of extreme volatility. We experienced geo-political unrest in many parts of the world and this rattled many different markets that all have ties to the Treasury market. We also had an unsettling situation sent from Mother Nature, as an earthquake led to a Tsunami and then caused potential nuclear reactor risk.
Navigating these unfortunate situations is a much different scenario from the credit crisis. I can only explain them as high volume volatile times, and these are markets that can be weathered and even capitalized on. During the volatile times in the past two years, liquidity dried up and we thought it was more prudent to wait the storm out and wait for better days.
We feel that our time has begun and it is only going to get better as the record federal debt will only increase our volumes on a daily basis and increase the depth of our markets as well. As with any time in my trading career, there is always the unforeseen but as long as we have liquidity, our strategy will be able to weather these events and perform well on normal ebb-flow days.
