In Search of Safe Assets
The risk-free rate is a common term in financial equations – it’s a part of everything from the Sharpe Ratio to the (in)famous Black-Scholes equation for pricing options. It’s simple in theory – but where to get such “safe” assets in practice… and what does “safe” mean, exactly?
In Defense of Managed Futures Indices – Part 1
When we begin to explain an asset class as complex as managed futures to investors, the first place many turn is the world of managed futures indices. Problem is, there’s a long list of academic papers calling into question the validity of indices, essentially saying they upwardly bias the results in one way or another. We have long promised to take a look at the reported bias is the managed futures indices, and the arguments made against them, and after poring over the literature – found the time has come for just such a defense.
Let’s Shake Up the NFA: Time to Vote
It’s been more than five months since the revelation of PFG Best’s accounting fraud, and over a year since the collapse of MF Global. Despite the blatant failure of the NFA to carry out its duty, and despite the steps that have been taken to prevent a repeat of these regulatory failures, we haven’t seen the full implementation of reforms the industry needs. That’s why Jeff Malec, CAIA and CEO of Attain, is contesting the 10-year tenure of John Vassalo by running for the Introducing Broker seat on the NFA Board of Directors.
Hoping for a Hot December
It may have been the hottest year on record outside, but the same cannot be said for manage futures. CTA performance has been chilly for most of the year, but as we head into the final weeks of 2012 some programs appear to be heating up. Is this the hot streak we’ve been waiting for?
Too Big to Govern?
Following the 2008 crisis, there was a guttural outcry from the public, demanding that the so-called “banksters” be brought to justice. Much to their chagrin, repercussions for those making the decisions that brought the economy to its knees have been few and far between. At the time, the general excuse was that, while many of these figures had made decisions that could be characterized as unethical, they were not criminal decisions in nature. But today, we have to come to terms with the fact that even when a law is broken, the banksters are still above the law.
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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