Asset Class Scoreboard October Update
The story of October was one of fall – nearly every asset class on the scoreboard ended the month lower. Unfortunately, our favorite asset class posted the deepest loss, and with just two months left in the year, only a serious disruption could shake up the scoreboard at this point.
Risk On/Risk Off Market Snapshot- October 2012
When markets are highly correlated, it can be tough to stay diversified. If various markets are moving up or down in unison, that can quickly cause your risk and volatility to get out of hand. That’s why we’ve started keeping an eye on two statistics that illustrate how easy or difficult it has been to stay diversified in the futures markets: the risk on/risk off trade, and market correlations.
Weekend Reads
All eyes were glued to the devastation on our east coast this week as Sandy swept through, disrupting the lives of millions. The storm may be over, but an immense amount of work remains before the affected areas can return to normal. In the meantime, here’s what we’re reading headed into the weekend.
High-Frequency Traders: Better, or Just Faster?
This morning we saw another brief flurry of high-frequency trading. It won’t make any headlines, and in the end it was more of a blip than anything, but it still made us wonder: how many blips will it take before we see a real response to the HFT algos? Or will it take another flash crash to propel changes?
Managed Futures end October down -3.11%
The summer swings for managed futures were stressful – with the indices up one month, back down the next, and back up the next, we were starting to feel motion-sick. But those swings were certainly preferable to the Fall… fall. For the third month in a row, the Newedge CTA Index posted a loss. We take a look at what happened this month.
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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