December 31, 2018
rcm-alternatives
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This might be a humble brag, but 2018 was a great year for our Attain Alternatives blog. Content was pushed out covering non-correlation, backwardation, the world cup and the crazy year for managed futures. We put together the top 10 blogs of 2018 — based on the number of reads. If you haven’t already, take a look at your favorite posts of the year.
- None of Us Understand Probability
Algorithms don’t produce absolute certainties. But what really is the difference between a 56% chance and 64% chance that your team is going to win, aside from the obvious +/-8%. We took a look at the 2017 World Cup and tried to use that to explain the probability of understanding probability.
- LJM – The Autopsy
We put our internal RCM-X quants team to work, digging up the numbers on the LJMIX SEC filing and took a look at the risk profile of this thing heading into February.
- Real Estate as a Portfolio Diversifier
“Investors say they want non-correlated assets, but what they really want is non-correlated assets that don’t get crushed when stocks fall.” We had our own reservations when reading his work, but we couldn’t deny the facts that Carlson brought to the table on the implied protection of real estate, and that it may not be as reliable as it seems.
- Infographic: The Top 100 Managed Futures Programs
We show the top 100 unique managed futures programs by their average monthly assets under management from inception through the end of 2017. The unique part means you won’t see Man AHL’s flagship program and their newer Evolution program – which are both within the top 20. We further grouped this list by strategy type, and again by geographic location to get an idea of what the breakdown of assets looks like among these titans.
- What’s wrong with AQR – Part II
This is the follow up to our first post “What’s wrong with AQR.” But nearly a year later, part II talks about the essential copy and paste movements we saw with the AQR from the year prior and our thoughts on why it’s happening again.
- Three Alternative Funds Walk into a Bar
Let’s talk about what happens when three alternative funds “walk” into your everyday 60/40 portfolio and compare the risks when adding those three different alternatives. We also threw in a killer joke at the end that’s at least worth the effort to read.
- Where’s the Non-Correlation?
Managed futures generally under-perform during the first part of a crisis and outperform during the second part. But back in February, there was no “second part.” Instead, alternatives essentially mirrored the stock market, even though they’re a non-correlated investment. In this post we cleared up our thoughts on why this went down.
- Commodities in Backwardation – Cheers
Backwardation: a period where contracts that are further out are priced lower than the near-term contracts. And in May of 2018, more than half of the commodities in the GSCI Commodity index were in backwardation – which meant potentially good things for CTAs.
- Managed Futures Crazy 2018
We went back into our data to find out how crazy the first plunge of 2018 was compared to that same week in years past. Turns out, the SG CTA Index downturn was an outlier being one of just 3 out of 945 weeks that was below -5%.
- Innovation in Changing Hedge Funds
With it’s history of innovation, the future of hedge funds is always in limbo. But this year the AIMA put out a nine-piece explaining the future of hedge funds from industry experts. We pulled out the important stuff in our post, talking about smart beta and alternative beta, quants and the growth of data, conscience focused investments and hedge fund distribution.
Check out the best of 2019 posts – as they come out! Subscribe to the Attain Alternatives blog to get posts just like the ones above delivered directly to your inbox.
Disclaimer
The performance data displayed herein is compiled from various sources, including BarclayHedge, 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.
The programs listed here are a sub-set of the full list of programs able to be accessed by subscribing to the database and reflect programs we currently work with and/or are more familiar with.
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. Individuals cannot invest in the index itself, and actual rates of return may be significantly different and more volatile than those of the index.
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.
Limitations on RCM Quintile + Star Rankings
The Quintile Rankings and RCM Star Rankings shown here are provided for informational purposes only. RCM does not guarantee the accuracy, timeliness or completeness of this information. The ranking methodology is proprietary and the results have not been audited or verified by an independent third party. Some CTAs may employ trading programs or strategies that are riskier than others. CTAs may manage customer accounts differently than their model results shown or make different trades in actual customer accounts versus their own accounts. Different CTAs are subject to different market conditions and risks that can significantly impact actual results. RCM and its affiliates receive compensation from some of the rated CTAs. Investors should perform their own due diligence before investing with any CTA. This ranking information should not be the sole basis for any investment decision.
See the full terms of use and risk disclaimer here.
