Newsletter: Rethinking the Efficient Frontier
Our weekly newsletter is up at: https://bit.ly/hZw0Dc, and covers the oft quoted but probably more often misunderstood efficient frontier. We start by updating the CME’s woefully out of date efficient frontier graph (it only goes through Feb 2008, right before one of the biggest risk/reward shifts in modern history, leading to our well received comment: […]
That was fast…new 2010 highs for some commodities
That was fast…. After a sharp commodity sell off mid November from annual highs, last week saw several markets push back above their early November high points. Palladium started the ball rolling on Thursday (putting in a high 25% above its low just 12 trading days ago), followed by Silver, Gold, Crude Oil, Heating Oil, […]
Time to get into a quality Managed Futures program at a discount?
While most investors can’t stomach investing in something which is on a losing streak, we have long been proponents of trying to break the “in at the highs, out at the lows” cycle by trying instead to “get in at the lows”. And even have some good data on it in our past newsletters: Managed […]
Managed Futures Down –2.75% to –3.25% in November
After a nice run of three consecutive up months, we are estimating that Managed Futures as an asset class were down between -2.75% and 3.25% in November (The Newedge CTA Index is showing a preliminary number of -2.78%). Systematic Multi-Market programs which were mostly long commodities and foreign currencies suffered the most due to mid-month […]
The $100 Billion Forex Hustle via FT
With the backdrop of the planned FXCM IPO tomorrow and pending Gain Capital IPO – we ran into a good article from the ft.com/alphaville blog pointed out by Barry Ritholz on the Big Picture Blog today, mirroring what we’ve been saying for years – that retail Forex trading is a scam. (they use slightly more […]
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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