Weekend Reads: Fear, Chaos, and All-Time Highs
Third is inadequate ability to diversify. This is largely a function of the two problems listed before, and benchmarking and indexing, which has been correlating the markets more and more. I’m not talking about short-term correlations — diversification applies of the time horizon of the assets, which is long. The Biggest Problems for Investors Today […]
The Man behind the Sharpe Ratio
Hearing William Sharpe talk about his namesake ratio that now reigns as one of the most quoted risk-adjusted ratios feels a little weird – like meeting Gordon Moore of Moore’s Semiconductor Law or Pythagoras of triangle fame.
The Fed’s No Volatility Mandate
Open Interest has nearly doubled since this boring rate cycle began at the end of 2015/beginning of 2016.
Energy and Oil Quants – Who Are They?
How do these pros do it? What do they think of OPEC and quants and all the rest?
INFOGRAPHIC: Honey, I Shrunk the VIX
There’s been a growing chorus lately suggesting that perhaps the record low VIX readings aren’t due to record low feelings about volatility, but instead due to the dramatic increase in VIX products and assets betting on decreases in volatility.
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.
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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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