Managed Futures and High Frequency Trading
High Frequency Trading has taken the spotlight as one the most-maligned practices on Wall Street, and from time to time, people ask us what we think about all the hullaballoo. Truth is, we don’t really have much of a dog in this fight. While managed futures and HFT both use algorithms, that’s where the similarity ends.
Risk on/Risk Off Market Snapshot- August 2012
Part of staying diversified is trading in markets that are non-correlated; this can help reduce risk and volatility. Unfortunately, when the markets move up or down in unison, achieving diversification is much more difficult, and 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 the market correlations.
Managed Futures end August down -1.29%
The sideways, range-bound market behavior in August was not what most managed futures programs were looking for, and the month’s performance was less than stellar as a result. Not every market spent the month stuck in a rut, but it was enough to leave the Newedge CTA Index reporting a loss for the month.
Weekend Reads
This week wasn’t exactly boring in terms of stories to follow; with all eyes on Tampa for the Republican national convention, Hurricane Isaac making landfall in Louisiana, and Bernanke’s speech at Jackson Hole. However, in terms of market action, the low-volume, range-bound trading we’ve experienced through most of August continued. Fortunately, we’ve got just the thing to spice up your extra-long holiday weekend: our weekend reads.
Long-only Commodity ETFs vs. Futures- August 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. And 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?
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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