Asset Class Scoreboard: July 2013
We’re half way through August, but it’s worth looking back at how the asset classes stacked against each other in the month of July. Managed Futures remains in the middle of the pack, but its still positive YTD. Meanwhile, stocks make big gains, and commodities are no longer in last place.
John Henry buying the Newspaper Drawdown?
John Henry must not be hurting too bad from his eponymous managed futures program’s closing down in 2012, as the futures industry hall of famer recently made headlines for buying the Boston Globe from the New York Times for $70 Million. And while the days of hearing John Henry’s name mentioned alongside managed futures or commodities trading are most likely done with, it was nice to see a few publications thrust managed futures into the spotlight
The Death of Orange Juice? 30 Years after Trading Places…
It seem like just yesterday Eddie Murphy and Dan Aykroyd were in the old Comex pits making millions off of Frozen Orange Juice Concentrate. Now 30 years after Trading places, it looks like the hype surrounding Orange Juice is fastly fading, with only 20,000 outstanding contracts. So what’s the reason?
Managed Futures to find a Hero in 10yr Notes?
Managed Futures could sure use a good outlier move from somewhere. They are roughly even YTD, and everyone is holding our for a hero til the end of the night to be the catalyst to jump start performance. So who is this knight in shining armor? It just might be the bond market, spurred on by 10 Year Treasuries.
MAR and Calmar Ratios: Identical twins with Opposite Personalities
With the stock market at all time highs, It’s easy to forget about risk adjusted performance. Enter the Calmar and the Mar Ratios. At first glance you may think there wouldn’t be much of a difference between the two risk adjusted metrics, but all we need to do is consider the stats from our old friend the S&P 500 to see how different these metrics can be.
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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