December 15, 2022

In the Frame - Issue 21, Investor updates
Managing Director

Frame Futures Fund F1 – November 22

Units of the Frame Futures Fund 1F declined by -0.16%. Commodity and equity investments detracted -0.65% and -0.46% respectively. Fixed income and currency investments added +0.39% and +0.28% respectively.

November saw a significant number of change in trends across all major asset classes. US Federal Reserve officials hinted that they may slow the pace of rate increases, however they also expect the ending cash rate to be higher for longer. Investors continued to buy the dip in fixed income markets, which in turn, led investment flow into equity markets.

Currency and commodity markets also reversed course due to the above, as well as talk of China adjusting its COVID-zero policy. The S&P 500 and Nasdaq finished up over 5%. Copper rose ~10% while the US Dollar Index was down -4.95%.

Largest contributors to performance were investments in soybean oil, lean hogs and US 30-year treasury bond futures. Largest detractors were investments in cotton, canola and live cattle futures.

In terms of fund activity, the strategies were active in 37 markets, with a large skew to commodity markets. Fixed Income and equity markets have recently reversed aggressively which means the activity levels of our trend following systems will reduce over the upcoming months until sustained trends form.

If you would like a copy of the original class track record ‘0F’, please email our office on

There will be no performance for any period outside of 1 month.

The full report can be downloaded by clicking the image below.