Putting Trading System Filters to the Test
Nobody likes to lose… least of all us. Don’t get us wrong- we know that drawdowns are a part of the game when investing in a trading system, but that doesn’t mean we have to be content to stare those losses in the eye. As such, we’re constantly looking for ways to minimize losses and […]
The Curious Case of Natural Gas Futures
With Natural Gas down about -3% today and roughly -6% for the month, we were reminded of some former posts on the ‘other white meat’ of energy. It was back in March that we noticed an interesting pattern emerging in natural gas futures, where the former high flier and poster child for volatility was actually […]
Weekend Reads
Another week… another seven days of MF Global drama. Positions and margin were transferred from the CME’s custody to new clearing firms (so functionally, just a name change on a form that caused a major traffic jam in trading), but for many, that transfer was incomplete or held up. The CME has come out and […]
And the winning loser is…
We have been anxiously waiting to see what market would be the first to break down to new 2011 lows- that is, below the Oct 3rd/4th lows made in nearly every ‘risk on’ market. And the winner of that first place in the race to last in pricing is… (drum roll please) Cocoa. Not sure […]
An October to Forget
As we compiled our newsletter for this week, we looked back over the month of October with a wistful sense of “if only.” Ahh, to be back just a short month ago on October 4th. Global markets were in a pronounced down trend, with the S&P 500 down below 1100, Crude Oil down near $75, […]
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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