The hangover of the December holidays typically lingers a few weeks into the new year and 2010 was no exception. Tight ranges in the S&P gave us very few trading setups early in the month. We spent a protracted amount of time out of the market. As the month wore on and equity prices began to deteriorate, our programs managed to find a few suitable trading situations. The late month expansion in volatility notwithstanding, opportunities remained few and far between and as such, ROE Capital turned in a positive month with below average trading volume. (For more information on our managed futures performance, please review our complete January performance report). Our correlation to the S&P has begun to reverse, which is good as I expect the S&P to be under pressure all year. Our managed futures colleagues (represented in the NewEdge CTA Index above) struggled in January as well, with trends…

The arrival of a new year affords us the opportunity to review the year which has passed and muse about the prospects of the year which has just begun. In doing so, we hope to draw some substantive conclusions about where we have been, how and why we were there and what that teaches us about where we are headed. And 2010, like its predecessor, looks to be a year of uncertainty. Before we look down that road, let us review how ROE Capital Management fared in 2009. 2009 was a tough a year for money managers, regardless of their methodology or market of choice. Just about every conceivable trading paradigm was challenged by an equity market which collapsed and bounced, inflated with unprecedented central bank and government intervention. Managed futures investments, which outperformed all other asset classes in 2008, struggled most of the year, with the Barclay CTA Index returning (0.09%) in…