QE3- What would it mean for Managed Futures?
With the Fed releasing their comments on the potential for round three of quantitative easing later today (QE3 in the popular vernacular), we decided to take a look at just what the past two QE’s have accomplished. To get a good picture, we compared managed futures to stocks and bonds, using indices as proxies for […]
Interpreting Proprietary Results
An investor called us yesterday asking what it meant in some CTA materials he was reading through that the performance was proprietary. Good question. On occasion, you’ll see performance denoted as “proprietary results.” This means that the numbers reflect the performance of money (their own or money they have an interest in) invested by a […]
Financial Product Innovation Barreling Past 2008 Objections
I was lucky enough to attend a mini-seminar on setting up managed futures based mutual funds last week, and was shocked by most of what was being said. Looking around the room, most people were drooling over the possibilities present for raising assets, but a select few (myself included) seemed to be thinking- Is this […]
The Hidden Max Drawdown
As you read this week’s newsletter, we may sound like a broken record, but when it comes to investing managed futures, understanding risk is the single most important component of success, in our opinion. The cornerstone of risk analysis, for many investors, is the dreaded drawdown. A drawdown is the “pain” experienced by an investor […]
The Sortino Solution to the Sharpe Ratio
This post is part of an ongoing series on the Attain Capital blog that seeks to help investors understand the various metrics we use to evaluate managers. Stay tuned for future pieces! * * * * * * * * We recently did a post that explained everything you’d want to know about the Sharpe […]
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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