The Yen Bounce Fails to Stick
We were a little nervous this week when one of the bigger trends of the moment – the falling Yen – looked like it was getting ready for a bounce. Such bounces had repeatedly erased open trading profits for trend followers throughout 2012, but the last couple days has given us reason to let out a cautious sigh of relief.
A Lie That Won’t Die: The 60/40 Portfolio
January always plays host to a wide variety of ideas about portfolio construction for the coming 12 months. Usually, we brace ourselves for a wide swath of regurgitated nonsense, and try not to let it get under our skin. Except, sometimes, the people talking should know better- a lot better- and we find ourselves in need of rant.
Today is one of those times. Frank Kinnrey, one of Vanguard’s principals, spoke with InvestmentNews, and some of what to say qualified as fightin’ words.
Managed Futures 2012 Performance: Strategy Breakdown
As the curtain opens on a new year, investors usually can’t help evaluating their performance on the year gone by. But we don’t invest in an index in the managed futures space, but individual programs utilizing different strategies. And before we judge any individual programs in our portfolios for inclusion or exclusion, we find it helpful to analyze how each of these strategy types performed.
Managed Futures Mutual Funds 2012 Performance
It’s been almost a year since we expanded our look at managed futures mutual funds to consider the new entrants into the space, and now we have a year’s worth of data to test our hypothesis that these funds would, in aggregate, underperform the broader managed futures indices. So far, we’ve been right.
Final Score: Asset Class Performance for 2012
2012 is officially in the books, and in terms of asset class performance, the rankings remain similar to what we’ve seen over the past several months. While we will get into the specifics about what generated the managed futures performance numbers in our newsletter this week, and will cover what to expect in 2013 next week, here’s how things ended up.
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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