Our Monday night newsletter is up at: http://bit.ly/cvOBAf.
Of particular interest given the current environment of systematic multi-market managers making new highs while option selling managers struggle with drawdowns for the first time since 2008 is the following paragraph:
It is interesting to note the contrast between the long volatility programs with their long drawdown/short recovery profile, and option selling programs with their short volatility profile which results in a short drawdown/long recovery type cycle. We ran the same analysis on the popular option selling FCI program, and found that their average drawdown period lasted just 3.5 months, while their average recovery lasted 9 months (or about 3 times the DD duration). Contrast that with Clarke Capital’s Worldwide program seeing an average DD duration of 19 months and average recovery of 7 months (about 1/3 of the DD time) and the differences between these two strategies really becomes clear.
And of course, there are some interesting graphs as always (Past Performance is Not Necessarily Indicative of Future Results)
The performance data displayed herein is compiled from various sources, including BarclayHedge, RCM's own estimates of performance based on account managed by advisors on its books, and reports directly from the advisors. These performance figures should not be relied on independent of the individual advisor's disclosure document, which has important information regarding the method of calculation used, whether or not the performance includes proprietary results, and other important footnotes on the advisor's track record.
Benchmark index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship, self reporting, and instant history.
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