We finally got the Dow Jones/Credit Suisse Hedge Index data from December, enabling us to update the asset class scoreboard for all of 2010. The results are as follows… [past performance is not necessarily indicative of future results]
Key: Managed Futures = Dow Jones Credit Suisse CTA Index, Cash = 3 mo T-Bill rate, Bonds = Vanguard Total Bond Market ETF, Hedge Funds = Dow Jones Credit Suisse Hedge Index, Commodities – ishares GSCI ETF, Real Estate = ishares Dow Jones US Real Estate ETF, World Stocks = MCSI World Index (ex USA), US Stocks = S&P 500 Index
You can see that Managed Futures more than held their own despite their own struggles in 2010, beating out hedge funds, world stocks, bonds, and (surprisingly) commodities. But how was real estate up for the year, and commodities down, you may be asking…. Wasn’t Palladium up 95%, and Sugar up 92%. And don’t we keep hearing on the news how real estate remains in a deep funk?
The answer to those questions is in the tracking mechanism we’re using for commodities and real estate. For commodities, we’re using the ishares GSCI ETF, which tracks the Goldman Sachs Commodity Index. The problems with long only commodity indices has been well documented, and this ETF is no exception to those issues (Read our past newsletter: Are commodity ETFs bad for managed futures? for more). Further, the GSCI is heavily weighted in energy markets (78%) – with nearly 40% in Crude Oil, which did very little for the year; has no exposure to Palladium and Sugar; and has very little exposure to the other high fliers of the year (Wheat = 3%, Silver = 0.3%) [GSCI fact sheet]
As for real estate, the ETF we use a a proxy for performance there tracks the stock market value of several publicly traded REITs specializing in US real estate. With stock markets forward looking, these stock prices have appreciated faster than the real estate underlying them, especially residential – which continues to make new lows per the Case Shiller index. Suffice it to say this number should be taken with a grain of salt, although it is investable.
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.
Managed futures accounts can subject to substantial charges for management and advisory fees. The numbers within this website include all such fees, but it may be necessary for those accounts that are subject to these charges to make substantial trading profits in the future to avoid depletion or exhaustion of their assets.
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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