July 25, 2012
Attain Capital
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It seemed as though we were watching a rerun yesterday. Stocks tumbled amid European woes and the great Apple swung and missed, and in came the white knight to save us all – a report that the Fed was about to “act.” In true Stocktwits fashion, the snark was out in full force on the stream, with one liners ricocheting around the interwebs at the speed of light.
The not-so-subtle implication was that the Fed movement was about propping up the stock market. Not a new argument, by any stretch of the imagination. The markets have been drunk off the Fed’s hooch for some time now, but even watching the indices rebound on the leak, turning just green enough today, we had to wonder how much water this assumption actually holds. How related are upticks in quantitative easing speculation or changes to the movements of the stock market? And how durable are the subsequent moves?
Obviously, market moves don’t happen in a vacuum, but that didn’t stop our curiosity. We compared Google Trend data on the search phrase “quantitative easing” to the 12 week rolling rate of return for the S&P 500. It was, admittedly, a rough comparison, with dates never exactly matching up, but here’s what we found:
Interesting chart? Maybe, but only with context. We delved a little deeper, and isolated periods of sustained above average trending for quantitative easing, which we defined as blocks of time with less than 4 consecutive weeks of average or below average trending, and the performance of the S&P before and after. One would assume that spikes in speculation would be preceeded by substantial downtrends, and if the hullabaloo is to be believed, that they would be followed by general spikes. Not so.
The first round of QE definitely follows this story line, but since then, the narrative has changed. For instance, the decline that spanned May through July 2010 did not create a subsequent uptick in QE trending. In fact, the following uptick came well after the rebound, during a period of choppy, sideways movement. In September 2011, we saw another uptick in trending and a jump in the markets, but the gains were quickly erased until the next brief uptick in October, but as we know, there was no action associated with that uptick, which doesn’t jive with the subsequent market drive.
It’s hard to deny the short-term impact of QE speculation on market moves- we’re seeing it now. But are these changes durable? Is the link between the two as strong as we’d like to think? Not so much. And it appears as though the impact has diminished substantially since the three ring circus began, with derived bounces decreasing in both strength and duration. In our minds, it’s a reflection of the fact that the Fed is quickly running out of bullets in the midst of a rapidly deteriorating global economic outlook (see here), but with the Hilsenberg reporting still so fresh, who knows? Maybe this time is different.
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.
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.