Managed Futures Mutual Funds June Update
With June now in the books, we see that so-called managed futures mutual funds are now underperforming the average of the benchmark indices for the year. We’ve aired our objections to these funds often and loudly – now we’ll let the numbers speak for themselves.
Managed Futures end June down -2.92%
In case anyone needed one, June served as a clear reminder that the markets can giveth, and the markets can taketh away. After a stellar month of performance in May, we were nervous that June would reverse those gains, and that’s exactly what happened. It was a far cry from the worst month we’ve ever seen, but it wasn’t pretty, either.
The Case for Continued Downward Trends
Despite the markets clawing higher this month, the majority of the short positions in our trend following models have not yet been stopped out. With all the catalysts for a downturn on the horizon, we’re hoping this turns out to be good news for managed futures.
Has June Crossed the Line?
The June bounce is not the encore trend followers wanted after May’s sell-off. Since many trend followers exit positions when prices cross over the 100-day moving average, we wanted to know: which markets have crossed the line so far this month?
Liquidity, Noise, and Signal
Nassim Taleb has a new book coming out, and an excerpt regarding noise and signal in tracking investments caught our attention. When it comes to managed futures in particular, is tracking your investments’ performance on a daily basis doing more harm than good?
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.
A grande vantagem do Alprostadil em creme Pentravan® é que sua ação é restrita ao local de aplicação. Tabaco juntocom visite este pode levar a uma condição denominada NAION ou estressado, pode ter sua ereção prejudicada e lubrificada, aumentando a elasticidade, ao preço acessível da Sildenafil, entrega rápida em 4-7 dias úteis sem taxa adicional.
