Take a Look: Averaging 48k Monthly Managed Futures Returns
This great question was brought to us by a prospective client the other day, and while it seems simple on the face of it, the question is actually a bit more complex. This got us thinking of the question a different way that our database can understand: what is the average monthly performance, gain, loss, drawdown amount, and so forth across all CTAs. Here’s the stats on over 48,698 monthly returns for 2,603 CTA programs going back to 1977:
Weekend Reads
For the futures industry, we covered a quick refresher on the word Contango in regards to Crude Oil. This week has been rather calm, besides the fact that metals are all in the red today. As we head into the weekend, there’s an update on the MF Global scheme to top off weekend reads.
Absolute Returns… Are you doing it Wrong?
How do you know if you’re getting the best Absolute Return? That’s the question MA Capital tackles in their latest piece. They look at it not as creating a portfolio which is good for all periods (the usual absolute return pitch), but rather creating a portfolio which changes and adds diversification based on the period it is in.
Commodity “Supercycle” Over?
The Wall Street Journal’s latest headline is claiming, “Investors, Analysts See End of Commodity ‘Supercycle.” We’re wondering if a “supercycle” was here to begin with. Regardless, recent commodity movement isn’t surprising as they typically show volatile short term swings. Here are more takeaways:
Beer, Aluminum, and the Red Sofa
Financial media is all over Miller-Coors’ frustrations claiming London Metal Exchange’s lack of regulations is leading to the banks artificially raising prices. However, what’s catching our eye is the humorous Wall Street Journal article detailing the quirky and bizarre rules, such as traders having to be attached to a red sofa.
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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