Managed Futures as an asset class closed out a strong second half of the year with gains of +3.27% in December to push the Newedge CTA index measuring managed futures performance to a gain of +9.20% for the year. [Past performance is not neccessarily indicative of future results]
As you can see from the plot of daily returns for the Newedge index presented here, it looked more like a repeat of 2009’s poor performance (the first ever losing year for the Newedge CTA index) in the first half of the year, with the index making lows in February and hovering on either side of zero throughout July as most markets took their cue from US stock indices which were locked in a range.
But a rally in global bond prices (yields lower) in August took most systematic managed futures programs long that sector, and prefaced a return of trends in several markets including grains, foreign currencies, softs, and especially metals. Then it was short dollar/long everything else that was working in September and October, then losses in November as the Dollar rebounded, before longs in metals and commodity currencies (CD, AD) carried programs in December.
Coming off of a down year, and considering the continued drop of volatility as measured by the VIX (back to pre financial crisis levels), and the reversal of bonds and the US Dollar later in the year against most manager’s positions, and that stock indices were ahead for the year – to see gains of 9.20% is none too shabby in our opinion. We will get into more detail in our 2011 Managed Futures Outlook newsletter next Monday.
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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