Newsletter: Between Kat and Rollinger – Blending Managed Futures and Hedge Funds
Our newsletter this week is taking a closer look at a paper, penned by Sunrise’s Director of New Strategies Development Thomas Rollinger, updating the 2001 work of Professor Harry M. Kat of the Cass Business School – one of the more thorough explanations of the benefits of managed futures in a traditional portfolio allocation. We delve into the differences and the major takeaways from the research, and how this can apply to your own investment strategy.
Managed Futures end September down -0.89%
For the second month in a row, managed futures has struggled to find the right kind of trading environment. While September wasn’t quite as bad as August in terms of choppy, sideways, markets, it offered few sustained trends for CTAs to latch on to, and saw some reversals of a few of the trends managers had been enjoying.
Long-only Commodity ETFs vs. Futures- September 2012
It’s time for our monthly look at how the long-only commodity ETFs are performing versus simply holding the December futures contract and rolling annually. Futures trading is complicated, presents a risk of loss, and isn’t for everyone, but we’ve yet to receive a good answer to the question: why invest in an ETF when you can just roll December futures contracts annually?
Looking Inside the Cotton Peak
The spike in cotton prices during the beginning of 2011 was one for the record books. And now, thanks to the CFTC, we’re learning a little more about some of the trading that was going on during that record spike.
Weekend Reads
There are only 38 days until the election, which means 38 more days of non-stop political news. This week the big commodities story was the impending (or fake, depending on who you believe) global pig shortage. Meanwhile, world leaders descended on New York for the United Nations, no one with the new Apple Maps could figure out where they were going, and Europe resumed being the mess that we’ve come to expect over the last few years. Here’s what we’re reading headed into the weekend
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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