Q1 Asset Class Returns

The first question we had to ask ourselves after looking at the returns in March was, “Are the asset classes becoming increasingly correlated?” Here’s what happened in March by the numbers:

  • 7 of the 8 Asset Classes recorded positive returns in March
  • 4 of the 8 Asset Classes posted significant returns in March (Above 4%)
  • 10.32% — The return of Real Estate in March
  • 4 — Number of slots Real Estate moved up in the asset class scoreboard after March
  • 2nd place – Where Managed Futures currently ranks despite a down month in March

Real Estate:

A double-digit return in a month is something you cannot ignore. What’s with Real Estate? The ETF we use ($IYR) tracks 100 different real estate companies, but the rebound could have something to do with another asset class… bonds (interest rates).

Bonds:

Depending on what Bond Market you watch, it was a big month. With the ETF we use is only up around 3% on the year, but the High Yield bonds cracked the Top 25 for best all-time monthly performance {Disclaimer: Past performance is not necessarily indicative of future results}. For those that have been following along the low interest rate environment we’ve been living in for almost a decade, low interest rates are good for people looking to purchase a home or refinance their mortgage.

World Stocks, U.S. Stocks, and Commodities:

Is the fact that these three asset classes all moved in tandem in March a coincidence or are these markets showing their true colors or being highly correlated? Last Week, we charted the current rolling 30 day correlation of the S&P 500 has to Crude Oil and not only has the correlation been increasing, 2016 has shown the highest correlation over a two year period.

Managed Futures:

Finally, Managed Futures had a tough month with the U.S. Dollar experiencing a choppy downward market. Combine that with the $VIX returning to the lows we saw constantly throughout 2014 and some of 2015, and it was a struggle for managers to capture trends in choppy markets. We know the managers that we work with were long commodities but late reversals in the markets took away any gain made earlier in the month.

The good news is that combined with the strong first two months of 2016 is enough to keep Managed Futures in 2nd place, despite a down March.

Here’s the full look at the Q1 performance of 8 asset classes.

Table of Asset Class Scoreboard March 2016

Chart of Asset Class Scoreboard March 2016

(Disclaimer: past performance is not necessarily indicative of future results.)
Source: All ETF performance data from Morningstar.com
Sources: Managed Futures = SGA CTA Index, Cash = 13 week T-Bill rate,
Bonds = Vanguard Total Bond Market ETF (BND),
Hedge Funds= IQ Hedge Multi-Strategy (QAI)
Commodities = iShares GSCI ETF (GSG);
Real Estate = iShares DJ Real Estate ETF (IYR);
World Stocks = iShares MSCI ACWI ex US Index Fund ETF (ACWX);
US Stocks = SPDR S&P 500 ETF (SPY)

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Disclaimer
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.

See the full terms of use and risk disclaimer here.

Disclaimer
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.

See the full terms of use and risk disclaimer here.