Weekend Reads
Somebody must have breathed some life back into the markets, as we’ve seen quite few larger moves this week compared to the mostly tepid action the rest of the year. Today the big story was in metals taking a steep plunge, apparently doing their best bitcoin impression. The digital “currency” also crashed hard this week, […]
Managed Futures Madness: Semi-Finals and Final
This is it. From our scrubbed database of 300+ managers we picked 64 CTAs to run the gauntlet of our tournament. Round after round, one performance metric after another, we’ve narrowed the field down to just 4 surviving CTAs. The end is in sight, and two more metrics from our database will determine which CTA gets the bragging rights as the winner of Managed Futures Madness.
Managed Futures Madness: Round 4
The first few rounds of our tournament have been determined by risk and performance metrics that evaluate a program’s entire track record. But sometimes a long track record can obscure as much as it reveals.That’s why our ranking algorithm compares programs on shorter time frames, too. And for the fourth round of our Managed Futures Madness tournament, the metric selected to determine which CTAs will advance to the final four is 3-year Compound Rate of Return.
Weekend Reads
After a relatively boring start to the year, we finally saw some volatility return this week. But we’ll see if these bigger moves persist, and more importantly (from our perspective) if they provide the kind of bigger market swings that can help managed futures thrive. Here’s hoping – and in the meantime, here’s what we’re reading headed into the weekend:
Managed Futures Madness: Round 3
Two more rounds of college basketball have come and gone, which means it’s time to narrow our field of CTAs. The first two rounds focused on returns, but this round it was a measure of risk-adjusted return that was selected to determine which CTAs would advance: Sterling Ratio.
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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