7 Commodities in Contango and Backwardation
One of the more unique aspects of futures contracts compared to other investment styles, is that there are fixed term contracts which expire at specific dates, and many different ‘contract months’ for each commodity futures market. Charting these different prices for the different contract months gives you what they call the price “curve” of either backwardation or contango.
Will Simple Beat Complex in the Next 5 Years?
One of our favorite bloggers almost made us cry yesterday… It’s Barry Ritholtz, who grabbed the charts out of our own post on various markets movements and asset classes both before and after March 9th, 2009 (the equity low), and used them to kick managed futures while their down — claiming Cheap and Simple (stock) beats (present tense) Expensive and Complex (managed futures).
Revealing the 10% in the Sterling Ratio
We truly love hearing what our readers think about our research and writings. We love it even more when they can help provide additional information, and start a conversation. Today, we got an email from Curt Breitfuss offering not only new information on our post yesterday, but a little bit of history on the Sterling Ratio that we couldn’t resist sharing with all of you.
The Sterling Ratio Explained
The Sterling Ratio measures return over average drawdown, versus the more commonly used max drawdown. We break down the formula, its history (or lack of), how it’s used, and its criticisms.
23 Commodity, Equity, and Currency Markets since the 2009 Low
It seems like only yesterday we had 700 point down moves in the Dow, Lehman going bankrupt, and billions and billions in bailouts being handed out as the stock market made new lows seemingly every week, dragging down most commodity markets with it. But can you believe it’s actually been 5 years. Here are 23 commodity, equity, and currency markets since the March 9, 2009 low
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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