Managed Futures/Trading Systems Week in Review
We took the liberty of extending the Thanksgiving holiday through yesterday for our research team, resulting in no Monday newsletter this week. But we actually did do the week in review write up as if there were a newsletter, and are happy to share it with you here: Summary: With only two day’s remaining in […]
US Dollar/Commodity Divergence
Interesting to see the US Dollar up about 0.75% today, and commodities NOT following that move with a huge sell off. Palladium, Silver, and Crude are all up around +2% today in spite of the dollar rally, while Cotton is up more than +5%. While this divergence may be too little to late for managed […]
Don’t be a Turkey, protect option selling gains
We love it when Thanksgiving comes around, because we get to post one of our favorite charts of all time: 1000 and 1 days in the life of a Thanksgiving turkey This wonderful image was recreated from the turkey analogy used by Nassim Taleb in his equally wonderful book The Black Swan. Mr Taleb tells […]
Newsletter: Comparing Managed Futures/CTA Indices
We expanded what was to be a blog post on how the BarclayHedge CTA Index was only up 4% through Oct., while the Dow Jones/Credit Suisse Managed Futures Index is up about 11% YTD – perhaps meaning larger CTAs are doing better in 2010… into a full newsletter comparing the various managed futures/CTA indices. Read […]
CTAs Keeping a Close Eye on Margin Requirements
Could part of the recent sell off (excluding yesterday) in commodity markets be related to increases in margin requirements? We have seen a very volatile month of trading across commodity exchanges around the world, and exchanges have responded by aggressively raising margins. Some might say they are trying to curb speculation…. but exchanges like ICE […]
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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