The weather has finally started to heat up here in Chicago, and with the stock market having tanked thus far in June, many investors we talk to are repeating the old investing maxim:
Sell in May, then go away…
The logic is that the gains for the year have already been made, and keeping money in the market through the 2nd half of the year will only result in giving back some of those gains. While that appears it may (no pun intended) be working in the stock market so far (although there is a long way to go til the end of the year) – we have found the exact opposite to be true in managed futures over the years. Managed futures tend to have better performance in the second half of the year usually. [past performance is not necessarily indicative of future results]
The table below shows graphically an interesting statistic which gives us a lot of confidence in managed futures heading into the second half of the year. Looking back over the past ten years, the Down Jones Credit Suisse CTA Index has performed much better in the second half of the year in comparison to its first half performance. On average, over the past ten years, managed futures has delivered returns of 2.80% in the first half of the year, and returns of 4.95% in the second half of the year.
[Past performance is not necessarily indicative of future results. Managed futures = DJCS CTA Index. Data from 2001-2010]
Whether this second half outperformance is due to trends tending to emerge more in the latter part of the year, as investors flock to what’s working and dump what’s not (causing trends to extend), or due to volatility tending to pick up in the Sep-Nov period each year in anticipation of an October crash, or less competition for quick day trading profits due to lower volume in the summer months, or due to money coming out of the stock market via the sell in May and go away myth – we can’t say. But it makes you think…
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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