Our weekly newsletter is out, and sadly we must add 2012 to the list of poor managed futures years. It wasn’t supposed to be this way. 2012 was supposed to the bounce back year for managed futures after a negative 2011. Managed futures as an asset class had never had back to back losing years, so it surely wasn’t going to happen this time… right?
Wrong. As the disclaimer says – past performance is not necessarily indicative of future results. Managed futures did indeed put in back to back losing years, with the main managed futures indices finishing down between –1.65% and –3.21%. And the bigger problem – that’s three out of four losing years for the poster child for portfolio diversification after 2008. What’s worse, it’s not like managed futures losses came in the context of larger losses for stocks or bonds or real estate. Nope, they performed poorly on a relative scale too, coming in last among the asset classes we track.
The main culprit, a lack of trends – with our Average % Trending Days indicator clocking in at the lowest level in 13 years:
Disclaimer: past performance is not necessarily indicative of future results.
The question is – what’s next? What does 2013 hold? Do we give up? Is trend following really dead? Has high frequency trading (HFT) really changed the game for non trend followers?
Well, it’s pure folly to pretend we can say with any accuracy where managed futures will end up over the next 12 months. We’re not interested in playing that game. No, we’re interested in analyzing the conditions which caused managed futures as an asset class to perform the way it did in 2012, and discussing whether those conditions will persist in the new year, reverse course, or yield to different conditions. Click through to see what we found.
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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