Our weekly newsletter is up at: http://bit.ly/hZw0Dc, and covers the oft quoted but probably more often misunderstood efficient frontier.
We start by updating the CME’s woefully out of date efficient frontier graph (it only goes through Feb 2008, right before one of the biggest risk/reward shifts in modern history, leading to our well received comment: “not sure what their 2300 employees are doing with the Billions in revenue they take in”), and move into alternative looks at the efficient frontier, including optimal allocations for best return with lowest drawdown, skew, kurtosis, and downside deviation.
Read the whole thing here: http://bit.ly/hZw0Dc
As a sneak peak, the updated (through Oct 2010) ‘normal’ efficient frontier for managed futures, stocks, and bonds:
Past performance is not necessarily indicative of future resuts
Source: Stocks = S&P 500/MSCI World Index ex USA, Bonds = Citi World Govt. Bond Index, Managed Futures = DJ/Credit Suisse Managed Futures Index
The performance data displayed herein is compiled from various sources, including BarclayHedge, 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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Investors interested in investing with a managed futures program (excepting those programs which are offered exclusively to qualified eligible persons as that term is defined by CFTC regulation 4.7) will be required to receive and sign off on a disclosure document in compliance with certain CFT rules The disclosure documents contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA, as well as the composite performance of accounts under the CTA's management over at least the most recent five years. Investor interested in investing in any of the programs on this website are urged to carefully read these disclosure documents, including, but not limited to the performance information, before investing in any such programs.
Those investors who are qualified eligible persons as that term is defined by CFTC regulation 4.7 and interested in investing in a program exempt from having to provide a disclosure document and considered by the regulations to be sophisticated enough to understand the risks and be able to interpret the accuracy and completeness of any performance information on their own.
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