Managed Futures ‘sort of’ Participate on Bernanke Rollercoaster
Where have we seen this neon green sight before? Oh, that’s right, the last time Fed chairman Bernanke spoke about starting the end of the QE… Managed Futures experienced a risk on day, but did that equate to a larger daily return? Why/ or why not?
YTD Asset Class Scoreboard:
We’ve expanded our monthly post on asset class scoreboard for August YTD, adding the monthly change, and a nice chart. Read ‘em and rejoice/weep, depending on your asset allocation:
What Everybody Ought to Know About Managed Futures Asset Class Growth
The managed futures industry prides itself whenever assets under management is brought into the discussion. It’s grown exponentially over the years (past performance is not necessarily indicative to future results), but as we’ve pointed out before, that total AUM number includes the largest Hedge Fund in the world — Bridgewater — which we don’t consider to part of the group. This suggests that this AUM number can be quite deceiving, so we decided to recreate total AUM without the growth from Bridgewater, and managed futures’ largest program, Winton. Plus, a look at the managed futures quarterly growth numbers and why it might be just what managed futures is looking for.
Sortino Ratio: Are you calculating it wrong?
The group over at Red Rock sure thinks so. Red Rock states the real definition of the Sortino ratio uses not the standard deviation of negative returns, but instead the ‘target downside deviation’, which is the deviations of the realized return’s underperformance from the target return. What does that mean to the normal person who has trouble reading math equations?
Finding the Next Tom Brady for your Portfolio
What a fantastic first week of the NFL season. Now’s the time to make all your changes to your fantasy team. What worked? What didn’t? It’s also the perfect time to draw parallels between the drafting players, fantasy football, and investing. While it only seems natural to want to pick the biggest, strongest, fastest players who come from the most successful programs in the football world, the better method of picking talent, in our books, is to judge off of risk adjusted performance, or performance over a minimum acceptable return adjusted for risk, or best worst periods, and so on.
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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