We’re back baby

September 5, 2019 rcm-alternatives 0 comment  Like
Alternative Investments, Investing Insight, Managed Futures, Markets, Trend Following and Systematic Strategies, Why Alternatives?

It’s hard to concentrate too hard in Chicago today, you know – with the Bears and Packers facing off for the 195th time at Soldier Field tonight and the NFL taking over half the city in the hours-long buildup. If you want to talk a good long term investment, Halas bought the Bears for about $100 per a CBS video hyping the rivalry a few years ago:

 


But as excited as we are for the Bears to be back, what we’re really more excited about is systematic programs like managed futures and global macro staging their best run in years. How good?  Well, this is the best YTD return the SocGen CTA index has posted through August since 2000 (your basic 20 years).

August 2019 12.28%
August 2002 11.94%
August 2003 10.44%
August 2010 4.65%
August 2014 4.08%
August 2008 3.45%
August 2001 2.68%
August 2016 2.17%
August 2012 1.04%
August 2007 0.06%

 

That’s impressive in and of itself, but more so when you consider that the average YTD performance as of August over the past 4 years has been a dismal -0.64%. It’s hard to put in a great year when you’re not even above water after eight months, even if the asset class is known to out perform in the second half of the year. Now, we’re as hesitant as any to say this is the start of something real, and that all the too big, too automated, too whipsaw’y, too everything theories on why trend following type strategies won’t work anymore has been permanently debunked. Mostly, we don’t want to jinx it. But as we’ve said many times before. Multi-market systematic trading that relies on directional momentum isn’t magic. The big star hedge fund managers in this space didn’t suddenly get their groove back a la Stella. The simple truth is that trends have emerged. Especially in fixed income, as global interest rates have been decimated through the first eight months of the year in a global rush to go negative. Here’s the SocGen trend indicator with the breakdown, showing Bonds a huge YTD contributor, offsetting losses in commodities and equities.

 

And all of this happening while stocks have been a little shaky, well – again that’s confusing non correlation with negative correlation, but we’ll take it.

via GIPHY

 

P.S. Check out our Football Fan’s Guide to Investing. Nothing more fitting for a day like today..

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.

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.

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