Weekend Reads
The second quarter of 2012 is now behind us, making it a good time to reflect on the year so far. The ups and downs throughout this month didn’t do much to satisfy bulls or bears, but there’s plenty of time for that to change in the 2nd half of the year. In the meantime, here are our weekend reads.
Risk On (The Atomic Green Rally, Part II)
The last trading day of June has kicked off with a risk on rally that rivals the nuclear green day we pointed out near the beginning of the month. Today’s rally has brought even more of the short positions from our hypothetical trend following model close to the point at which the trades will be stopped out, but a downturn could still benefit the positions that are still open.
Corn Escaping the Risk On/Off Trade?
We keep a close eye on the risk on/off trade, as it plays a huge role in a manager’s ability to effectively diversify. Recently, we’ve been optimistic about the decoupling of grains (especially corn) from the rest of the market. Just how has that been working out?
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.
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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