2013 continues to sport far fewer risk on/off days than the last few years, with only 2 days added to the tally in May: 1 risk off and 1 risk on. The big risk off drop on the first day of the month gave way to a risk on rebound the next day, with normal trading the rest of the month. Not even the broad selloff in stocks and metals at the end of the month was enough to qualify as a risk off day, as it was offset by gains in grains.
That brings the year to date total of risk on days to 4, and risk off days to 2, with all 6 of those days coming in April and May. The 6-month moving average is hovering in the 5-7% range, below the 2002-2008 range (10% to 20%) and significantly below the typical levels from the last couple of years (20% to 35%).
(Disclaimer: past performance is not necessarily indicative of future results.)
We define risk on as an average gain of over 1% for “risk” assets; risk off is an average loss of over -1% for “risk” assets. (Click here for a more detailed breakdown.) Prior to 2008, the yearly average of risk on/risk off days stayed between 10% to 20%. So far, 2013 has gone in a very different direction, with only 4.9% of days this year qualifying as “risk on” or “risk off.”
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.
RCM receives a portion of the commodity brokerage commissions you pay in connection with your futures trading and/or a portion of the interest income (if any) earned on an account's assets. The listed manager may also pay RCM a portion of the fees they receive from accounts introduced to them by RCM.