JPMorgan’s Gamble on Value at Risk
JPMorgan declared a staggering $2 billion loss yesterday, but we were struck by the fact that they’re still using Value at Risk, or VaR, to measure risk. We get that risk management is an inexact science, but we think they should have known better than to rely on VaR.
Morningstar Mutual Fund Categorization- Really?
It’s no secret that we’re not fans of managed futures mutual funds, but even we were surprised by the answer Morningstar gave us when we asked a simple question: “What makes a managed futures mutual fund?”
Market Dynamics and CTA Performance April 2012 Update
Two factors have received particular blame for making 2011 a difficult year for managed futures: the number of risk on/risk off days, and the correlation between markets. How have these forces played out so far in 2012?
Asset Class Scoreboard- April 2012
April’s numbers are on the books, so it’s time to update our asset class scoreboard for the first four months of 2012. Unfortunately, it hasn’t been pretty for our favorite asset class…
Long-only Commodity ETFs vs. Futures- April 2012
Time for our monthly look at how the long only commodity ETFs are performing versus simply holding the December futures contract and rolling annually. We’ve yet to receive a good answer to the question: why invest in an ETF when you can just roll December contracts annually?
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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