What started off looking like another solid month for the asset class went sour near the end, leaving managed futures with a loss of -1.51% for May per the Newedge CTA Index. The YTD performance, which reached as high as +5.82% during May, now stands at +2.78% (Disclaimer: past performance is not necessarily indicative of future results).
So what happened? The trend stopped being a friend. Two of the best long-term trends that many managers were enjoying – the rising Nikkei and the falling Yen – reversed in a big way in the last week and a half. The Nikkei plunged more than 15% from the mid-month intraday highs, while the Yen reversed its decline, rallying more than 3%. The S&P 500 and US Dollar sported similar, if less dramatic reversals, as well.
The question now is what happens going forward. The markets may shake off the last couple of weeks and resume their recent trajectory, in which case CTAs could hold on to (or re-initiate) their positions. Or, this could prove to be the beginning of a new trend in the opposite direction, in which case CTAs could put on long or short positions in the opposite direction and enjoy the new trend. The worst case scenario would be to resume the kind of markets we suffered through last year – choppy, sideways markets that stop out trades over and over again. Here’s hoping the next seven months look more like the first four.
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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