Weekend Reads
It was a week that started and ended with something unexpected, but as far as the markets were concerned, it was not terribly exciting. There may not be much drama in the markets – Ackman and Icahn’s ongoing grudge match notwithstanding – but there’s still plenty to read as we head into the President’s Day weekend:
Ignoring the Biggest CTA Trade in Years
Several news organizations couldn’t help but fall all over themselves this week talking about how George Soros made a billion in the Yen and other U.S. funds scored big in the Yen. But when the press started pointing out the big winners this week, we couldn’t help but notice a glaring omission: no mention of CTAs. We can’t even get a mention?
Winton Capital – Shrinking Risk, Shrinking AUM
We’ve pointed out from time to time that when a CTA grows bigger, its monthly gains and losses often grow smaller. CTAs don’t really come any bigger than Winton, and they’ve definitely been a prime example of this trend. Well as it turns out, not everyone is excited about the lower volatility, lower risk/return version of the Winton they once knew.
Corn Goes Streaking
After posting 8 consecutive days trending upward last month, corn futures are on track to post a 10th consecutive day of losses this month. We dove into the history of corn prices to see what how the market has responded to past streaks.
A Tectonic Shift in the Making: ICE vs CME
The CME has been the primary exchange for a variety of futures contracts – including energies. But recent market shifts – along with a big merger on the horizon – are positioning ICE as a major competitor for these markets. From what we’ve seen so far, this is likely only the beginning of a growing battler for a bigger share of the world’s futures markets.
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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