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?
Will Managed Futures be the Next Asian Sensation?
A few months back we took notice when Winton led the pack on bringing managed futures to China – they were the first CTA to move into the market, which up until recently was blocked by Chinese laws. Winton may have been first, but it doesn’t look they’re going to be alone for long.
100 Years of Trend Following
When it comes to evaluating the past performance of managed futures, the major indices only go back a few decades. But AQR Capital Management recently released a research paper that goes back much further, applying a trend following model to more than 100 years of data – and their efforts have yielded some fascinating insights.
Managed Futures Mutual Funds November Update
November’s results are in, so it’s time for us to update our look at the world of the so-called managed futures mutual funds. Once again, the results aren’t pretty (for the mutual funds). We don’t think mutual funds are the best vehicle to access the managed futures asset class, and the numbers continue to back us up.
Managed Futures end November Down -0.21%
Sad to say it was another lackluster month for managed futures, with the Newedge CTA Index reporting managed futures down -0.21% for the month. With just one month left in 2012, it’s unlikely we’ll see enough of a turnaround to put managed futures back into the green for the year. We’re obviously disappointed, but it’s all part of being a managed futures investor.
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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