Black Monday 1987 and the 100 foot tall man
Even though it is hard to look anywhere today without seeing a piece on the fateful crash of 25 years ago today, we couldn’t resist getting in on the action. While managed futures were in their infancy back then, but lesson of that day is just as important for CTAs as for any other investor.
Morgan Stanley’s VaR Telling us the Market is Less Risky. Someone tell Google
Value at Risk, or VaR, was blamed in part for JP Morgan’s high-profile trading loss earlier this year. With a record like that, you wouldn’t think that such a model would continue to be emphasized at major financial firms… but of course, you’d be wrong.
The Cost of Scaling Mount Dodd-Frank
The Dodd-Frank plan to reform Wall Street has been the target of much scathing criticism – mainly about how long, complex, and costly the new rules will be. But now that the rules are starting to come into effect, we no longer need to speculate about the costs they will impose – we can see for ourselves.
HFT Banging the Natural Gas Beehive
High frequency trading profits have been tapering off in the equity markets, leading some to say that the industry is on the wane. But these calls might be premature, as HFT activity has already started creeping into the futures markets. Is this the start of a much larger trend, and if so, what might it mean for managed futures?
No Brakes Ahead of the Fiscal Cliff
The term “fiscal cliff” has come to encapsulate the collective fear for the future of the US economy – that we’re careening toward disaster. But recent employment figures suggest that the possibility of careening over the cliff’s edge is not being taken very seriously… yet.
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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