Market Dynamics and CTA Performance- June 2012
When markets move up or down in unison, achieving diversification is much more difficult. 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.
Coming Up Roses with Managed Futures Terminology
Our newsletter for the week is up, and this time we invited several industry participants to take a look at the language surrounding managed futures, and discuss the significance (or lack thereof) of the terms we use. What’s in a name? Potentially a great deal…
Thank you, JP Morgan, May I Have Another?
News that JP Morgan’s advisers have been pushing their own products over their competitors to their clients reminds us of the hazing scene from Animal House. No matter how many times they get spanked, the investing public just keeps asking for more.
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.
Long-only Commodity ETFs vs. Futures- June 2012
Corn and natural gas futures bounced back from the May slide, while crude oil continued its downward trajectory. But in all three cases you would have been better off in December futures contracts than in long-only commodity ETFs. If you’re going to adopt a long-only strategy, 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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