Debunking Trend Following’s Dead Theories with Kathryn Kaminski on The Derivative
Is trend following too big? Can managed futures do it without the bond tailwind they’ve had for 30 years? Does globalization take away diversification? We’re debunking these trend following myths/truths (?) in today’s podcast – and today’s guest is ideal to take us through the ins-and-outs of these trend following theories. We’re joined by Kathryn […]
Asset Class Scoreboard: September 2020
Ouch – after months of rallying classes, September was a rough one (almost a callback to our red wedding in March, but a little better). The September sell-off was all we needed to make nearly all the asset classes head right back into the red, and with anticipated volatility surrounding the election, and now with […]
Sequencing, Skew, and (Option) Strikes with Hari Krishnan on The Derivative
We’re joined by option guru and author of ‘The Second Leg Down’ in this episode to talk through the real-time test of market crashes and volatility dynamics we’ve witnessed since February. Is our guest’s theory on volatility sequencing proving its worth in this environment of bigger VIX spikes, oil going negative, and retail trader flow? […]
Nowhere to run… Nowhere to hide
September has been rather nasty (so far) not just in equities, but across the various asset classes purporting to provide diversification from such down turns. After today’s sell off, the S&P 500 is down around -9% for the month. Gold is off about -3%, Commodities down about -5%, and bonds and TIPS are likewise slightly […]
A Professor, Prop Trader, & Risk Manager Walk Into a Bar, with Victor Canto on The Derivative
The “bar” we walk into in this episode is one that specializes in blending the unique flavors of beta and alpha, and our mixologists are Victor Canto, Chief Economist of Cadhina & Co, and Donn Stobierski & Jim Kleinops, the Founders and Managing Members at Black Bear Capital Advisors joining us to talk about convexity […]
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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