Managed Futures to find a Hero in 10yr Notes?
Managed Futures could sure use a good outlier move from somewhere. They are roughly even YTD, and everyone is holding our for a hero til the end of the night to be the catalyst to jump start performance. So who is this knight in shining armor? It just might be the bond market, spurred on by 10 Year Treasuries.
MAR and Calmar Ratios: Identical twins with Opposite Personalities
With the stock market at all time highs, It’s easy to forget about risk adjusted performance. Enter the Calmar and the Mar Ratios. At first glance you may think there wouldn’t be much of a difference between the two risk adjusted metrics, but all we need to do is consider the stats from our old friend the S&P 500 to see how different these metrics can be.
Weekend Reads
This week’s theme in news revolved all around animals… This week, people crowded around whatever device was near to watch the Discovery Channel’s famous, “Shark Week.” Speaking of sharks, did you know a two foot shark was found on the NYC subway? If that wasn’t enough, a bear was caught on camera on a jet ski. In the world of managed futures, there were no bull or bears to be had, but we decided to go with the theme, with a post about cows and the New Zealand Dollar. What animal will make the next headline? Until then, here are some weekend reads.
Who’s Meddling with Metals?
Don’t look now, but it appears as though everyone’s favorite sector, metals, is on the move in a major way. Of course all these metals are down major from their all time highs two years ago, meaning this could be just a ‘dead cat bounce’
Commodity ETF Under Performance – July
We’re adding to our monthly look at how bad of an investment Commodity ETFs are, by including three additional ETFs, as well as the BarclayHedge Ag Trader Index for comparison. Commodity ETFs suffer from a little problem known as only being able to make money when commodities go up. Read ’em and Weep:
Disclaimers
Managed futures, commodity trading, forex trading, and other alternative investments are complex and carry a risk of substantial losses. As such, they are not suitable for all investors. You should not rely on any of the information as a substitute for the exercise of your own skill and judgment in making such a decision on the appropriateness of such investments.
The entries on this blog are intended to further subscribers understanding, education, and – at times – enjoyment of the world of alternative investments. Unless distinctly noted otherwise, the data and graphs included herein are intended to be mere examples and exhibits of the topic discussed, are for educational and illustrative purposes only, and do not represent trading in actual accounts. Opinions expressed are that of the author.
The mention of specific asset class performance (i.e. +3.2%, -4.6%) is based on the noted source index (i.e. Newedge CTA Index, S&P 500 Index, etc.), and investors should take care to understand that any 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.
The performance data for various Commodity Trading Advisor (“CTA”) and Commodity Pools are compiled from various sources, including Barclay Hedge, 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.
The mention of general asset class performance (i.e. managed futures did well, stocks were down, bonds were up) is based on RCM’s direct experience in those asset classes, estimates of performance of dozens of CTAs followed by RCM, and averaging of various indices designed to track said asset classes.
The mention of market based performance (i.e. Corn was up 5% today) reflects all available information as of the time and date of the publication.
The owner of this blog, RCM Alternatives, may receive various forms of compensation from certain investment managers highlighted and/or mentioned within the blog, including but not limited to retaining: a portion of trade commissions, a portion of the fees charged to investors by the investment managers, a portion of the fees for operating a fund for the investment managers via affiliate Attain Portfolio Advisors, or via direct payment for marketing services.
Managed Futures Disclaimer:
Past Performance is Not Necessarily Indicative of Future Results. The regulations of the CFTC require that prospective clients of a managed futures program (CTA) receive a disclosure document when they are solicited to enter into an agreement whereby the CTA will direct or guide the client’s commodity interest trading and that certain risk factors be highlighted. The disclosure document contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA.
See the full terms of use and risk disclaimer here.
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