Question: “What percentage of the futures industry is represented by CTA’s?”
We received this question from one of our readers the other day, and it’s a deceivingly simple little question that’s a lot more difficult to answer than you might think. For starters, do you mean how much AUM does managed futures hold? Is that after applying notional funding? What about Managed futures compared to the rest of the futures industry when it comes to trading volume? We break down the numbers.
2 Charts of the Day: The 1790’s Credit Default and Crude Oil Self Correlation
It’s a great day for our weekly chart of the week. Business Insider features the most important charts in the world, one comparing the correlation of three separate WTI Crude Oil contracts, and a chart comparing the alleged debt ceiling “crisis” with our nation’s situation in the 1790’s. Enjoy.
The 2 Important Drawdown Measurements: How Deep, How Long?
We’ve been frequently discussing drawdowns in the managed futures space… and that got us thinking, even though the finance world commonly tosses around the word drawdown, does everyone know the difference between the Drawdown figures commonly tossed around (-25%, -12%, etc) and the Drawdown Duration – which is measured in months, not percentages? And even then, are they using the Max Drawdown Duration in the right context?
Active vs Passive Commodity Exposure — September
Our monthly chart tracking various commodity futures and their ETF’s counterparts is out. We compare them side by side as if you were buying and holding each one since the beginning of the year. But the key for us is looking at how long/short commodities (or tactical commodities, or active commodities – as they are sometimes called) fared against this buy and hold strategy . Take a look.
3 Reasons XLE isn’t the Inflation Hedge you’re looking for
We’re not regular readers of the Seattle times, but when a client saw managed futures mentioned in a recent Q&A in the investing section – they pointed us to the piece… The reader says they were considering investing in managed futures, but wanted the columnists’ advice first. The columnist responds by stating that managed accounts are only good for managers and not for anyone else, instead suggesting investing in the XLE energy based ETF. Let’s take a look at a side by side comparison to see which one is better, shall we?
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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