February 15, 2019
rcm-alternatives
Like
We’re out with our annual Managed Futures/Global Macro Outlook, reviewing what went down on a macro level in 2018, while peering into what the market environment may look like for this asset class in 2019. For a sneak peek, check out our attempt at boiling down the last 10 years of experience in the asset class to a view simple sound bites:
To hear our thoughts on how Ag markets may be due for a turn, if we’re headed towards a higher volatility regime, and why AI hasn’t quite dominated the space like we thought it would (yet). Download the whitepaper here.
PS – below we’ve got a look at how our 2018 Outlook fared in looking at what might transpire in the year gone by.
What we got right in the 2018 Outlook:
- As FAANG goes, so goes the market (and volatility)
We quipped, “Alexa, can you give me some volatility?” And boy did they deliver, with most of the volatility spike in equities in 2018 being driven by big sell offs in Apple, Facebook, and the like as they faced profit warnings, privacy concerns, and more.
We were: Right (about it causing vol), Wrong (about that vol helping managed futures)
- A Short VIX bloodbath hurting Managed Futures
We noted that “an outright market sell-off which sees the VIX spike 100% or more in a day, wiping out most of the value of inverse VIX ETFs such as $XIV. There will be some blood in the streets there, to be sure (especially among the weekly option sellers). And the size of the suite of exchange traded VIX products could exacerbate things – pushing VIX higher and higher as leveraged VIX ETFs keep buying to match the move higher.”
We were: Right (see the LJM autopsy for more)
- Some equity heavy managed futures programs under performing
Here was the line in our 2018 outlook: “beware the managed futures programs who have ‘cheated’ a little over the past few years to get additional return by adding short vol exposure to their models. They’ve been smarter than their peers for doing so the past few years but may under perform should we see a more normal vol pattern.
We were Right, with vol exposure exacerbating losses seen elsewhere.
What we got wrong in the 2018 Outlook:
- We’re way overdue for a correction
We thought a correction was coming, that it would cause volatility expansion among a lot of markets, and that the combination would be a positive force for managed futures.
We were: Wrong (about it driving profits, it caused losses as a reversal of the trends), but Right (about the correction).
- More crypto craziness
We thought the fever pitch of crypto might bleed into manager portfolios and drive some profits due to the volatility there.
We were: Wrong (Bitcoin and other cryptos went essentially straight down, with hardly any multi-market portfolios adding the futures to their trading).
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.
