John Henry and Red Sox: From Zero to Hero
For obvious reasons, it brings us much joy to watch Managed Futures Legend John Henry hoist up the World Series Championship trophy earlier this week in Boston. This is a team that finished last in the AL East last year to champions. This got us to thinking – can Managed Futures do the same thing? Can they go from zero to hero, worst to first, and all those other clichés? They sure can.
Chart of the Week: Hedge Fund Asset Growth
Last month, we spent time discussing the “real” growth of Managed Futures AUM (here). That left us wondering what the growth of Hedge Funds looks like dating back to 1995… Luckily, Dow Jones Credit Suisse has just the chart.
Managed Futures Linkfest
The Managed Futures world is in the spotlight today, as the CFTC finalizes a residual interest rule, and AlphaMetrix announces it will stop trading and will liquidate investment funds. That and more in this week’s Managed Futures Linkfest:
NYSE Margin Debt: Spooky Scary or just another number?
The financial world is abuzz lately, attempting to decipher what exactly record levels of NYSE margin debt means for the future of the stock market rally. The numbers are a little scary at first glance, but is this a premonition for a surge in the market before a flop, or a repeat of one of the best bull markets in existence?
Why Commodities Give you an Ulcer (Index)?
Next up on our quest to analyze measurement of risk is the Ulcer Index. Given its name, the index measures the downside volatility, frequency of losses, magnitude of drawdown, and length of drawdown together into one number, measuring the overall pain an investor would have felt. We then apply this index to all the asset classes to see how they compare.
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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