In Defense of Managed Futures Indices – Part 1
When we begin to explain an asset class as complex as managed futures to investors, the first place many turn is the world of managed futures indices. Problem is, there’s a long list of academic papers calling into question the validity of indices, essentially saying they upwardly bias the results in one way or another. We have long promised to take a look at the reported bias is the managed futures indices, and the arguments made against them, and after poring over the literature – found the time has come for just such a defense.
A Turbulent ’12 – The Best Managed Futures Newsletters of the Year
As the year draws to a close, we find ourselves reflecting on all that has happened, and the research and reports we’ve published throughout the year. So as you prepare to celebrate the holidays and head into the New Year, we’ve prepared a list of the most popular Attain newsletters in 2012 based on reader favorites, staff picks, and the amount of views each newsletter had. So for those doing some managed futures research, those looking or more education, or just in case you missed one of our research pieces – here are 10 of our most important managed futures discussions of 2012.
Second Guessing the Wintons of the World
This week our newsletter is taking a look at size and CTAs. Specifically, why do the very large programs tend to see performance flatten out over time? The Wintons of the world may have hundreds of times the assets, but that doesn’t necessarily translate into hundreds of times the performance…
John W. Henry – An Autopsy of One of the Greats
The news that John W. Henry was shutting down his eponymous managed futures shop was the kind of story that draws us like a moth to a flame. This was an industry stalwart in every sense of the word. This isn’t quite Paul Simon hanging up his guitar, or Steven Spielberg deciding to get out of the movie business – but it’s close in terms of shock factor in the managed futures space. And it raises one huge question: what in the world happened?
Consider Your Options: Avoiding the Fate of the Thanksgiving Turkey
Our weekly newsletter is out, and we have Thanksgiving turkey on the brain. We’re not just thinking about succulent roast, but also Nassim Taleb’s use of the turkey as a metaphor for the black swan event in your portfolio. And no one is more familiar with the risk of sudden, sharp losses than investors in options programs. Nevertheless, there’s a good reason they haven’t yet called it quits…
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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