Rising Rates, Falling Returns?
One common criticism of managed futures seems to pop up over and over again – the idea that CTAs returns are nothing more than a tailwind from investing idle capital in T-bonds. But recently we came across a great article analyzing the effect of rising/falling interest rate environments on managed futures, stocks, and bonds… and what they found was definitely cause for a smile.
Weekend Reads
The week brought a somber note, as we were sad to learn of the passing of Liz Cheval. A member of the original group of “Turtle Traders” trained by the legendary Richard Dennis, Ms. Cheval went on to become a legend in her own right as the founder and Chairman of EMC Capital. We had a chance to talk with Ms. Cheval when we profiled her in 2011, and we can say with certainty that our industry has lost one of its brightest and most energetic personalities. Our condolences go out to the friends and family of the departed.
Managed Futures and Stocks: Iceman and Maverick
The Dow is at new highs after roaring back from the 2009 low. Stacked up against managed futures over that time frame, it isn’t pretty… but when you take a wider view, a different picture emerges. Comparing the Dow’s swings to the Newedge CTA Index reminds us of the iconic pair from one of our favorite 80’s actions flicks – one might make for great Hollywood drama, but is that really how you want your portfolio to act?
Review: Inside Managed Futures Webinar with Quantum Leap Capital
A big thanks to everyone who participated in our free webinar yesterday, Inside Managed Futures with Quantum Leap Capital. If you didn’t get the chance to participate, you missed out, but don’t worry – we have a breakdown of the key points covered, and the webinar was recorded for your viewing pleasure. Click through to check it out!
Not All Liquidity is Created Equal
Defenders of High Frequency Trading often argue that they are providing liquidity to markets, which is something we often hear about futures speculators like CTAs. But at least one veteran of the industry argues that not all liquidity is created equal, and that those HFT algos aren’t really providing the benefits that other market participants bring.
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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