The Trevinci Liquid Ag Strategy had a very successful June, returning an estimated +6.32% net of fees to bring it to +9.98% YTD. Since Trevinci began trading for CTA accounts in June 2014, it’s Sharpe ratio has been 2.14.
All of Typhon’s agricultural strategies are having excellent years with the Plutus Grain Strategy up +2.75% through June month-end and an additional +2.19% thus far in July and the Tauros Livestock Strategy up +6.56% through June and an additional +1.58% so far in July.
Trevinci entered June having built a fundamental outlook that the grain markets were almost uniformly under-priced, driven to unjustifiably low levels by overly bearish fund managers. These traders were building larger and larger short positions while ignoring indications that the growing season was not getting off to a terribly good start across a wide swath of the country.
Persistent wet weather in the Southeastern part of the Corn Belt was causing major planting delays for soybeans, slowing winter wheat harvest and likely damaging crop quality, and making it difficult for farmers to properly fertilize the corn crop. Meanwhile, we also noticed that commercial interests were accumulating long futures positions at a time when they are normally large sellers, indicating to us that the market participants most “in the know” about the supply and demand balance appeared to think grains were cheaper than they should be.
Our market outlook proved to be very accurate all month, as volatility began to increase early in June and prices began working upward. On June 30, USDA released reports that not only implied that corn and soybean planted acreage is likely to fall well below levels many had predicted earlier this year, but also that demand earlier in the calendar year was larger than expected. Not to mention, weather reports still appear to be wetter than desirable for much of the Corn Belt.
We believe that the bullish kick the markets took at the end of June was only the beginning, and the summer will bring highly volatile grain markets with multiple excellent trading opportunities from both the bullish and bearish sides.
