Managed Futures and High Frequency Trading
High Frequency Trading has taken the spotlight as one the most-maligned practices on Wall Street, and from time to time, people ask us what we think about all the hullaballoo. Truth is, we don’t really have much of a dog in this fight. While managed futures and HFT both use algorithms, that’s where the similarity ends.
Managed Futures Mutual Funds August Update
Another month is on the books, so it’s time to update our look at so-called managed futures mutual funds. Once again, the results aren’t pretty (for the mutual funds). We don’t think mutual funds are the best vehicle to access the managed futures asset class if you have the capital to stand on your own and invest in individually managed accounts, and the numbers continue to back us up.
John Henry Looking for Moneyball
One of the most famous names to come out of the CTA space is probably John Henry – and mostly for his success as the owner of the Boston Red Sox. However, just as his foray into the world of sports is having a tough year, his main CTA, GlobalAnalytics, is also suffering – with a new max drawdown and dwindling assets.
Thoughts from Atlantic’s Andrew Taylor
In a world of cold metrics and glossy brochures, there’s something reassuring about hearing it from the horse’s mouth. There’s nothing like seeing a manager laying out their approach and sentiment toward the markets to get a sense of what kind of trader they are. That’s why we love to see messages like the one we received from Atlantic Capital Advisors principal and managing director Andrew Taylor.
Timing Failures
The old adage “sell in May and go away” was looking very good for stocks this year after markets took a tumble from the April highs to the June lows. Since then, however, the markets have bounced back, leaving many investors worse off. But we wouldn’t give up on timing altogether – it’s better to have some data-backed strategy instead of just blind buy and hold.
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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