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.
Category: Education
24
Mar
2014
19
Mar
2014
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).
12
Mar
2014
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.
11
Mar
2014
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.
10
Mar
2014
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
11
Feb
2014
The Efficient Frontier
The Efficient Frontier sounds like something out of Star Trek, but it is actually an investment/asset allocation concept put forth by those who believe in Modern Portfolio Theory. The general idea is that components of a portfolio should be selected based on what they do to the portfolio’s overall risk and reward profile, not on their own merits. We’ve updated the Efficient Frontier curve to see how stocks, bonds, and managed futures mix together.
11
Sep
2013
Sortino Ratio: Are you calculating it wrong?
The group over at Red Rock sure thinks so. Red Rock states the real definition of the Sortino ratio uses not the standard deviation of negative returns, but instead the ‘target downside deviation’, which is the deviations of the realized return’s underperformance from the target return. What does that mean to the normal person who has trouble reading math equations?
12
Aug
2013
MAR and Calmar Ratios: Identical twins with Opposite Personalities
With the stock market at all time highs, It’s easy to forget about risk adjusted performance. Enter the Calmar and the Mar Ratios. At first glance you may think there wouldn’t be much of a difference between the two risk adjusted metrics, but all we need to do is consider the stats from our old friend the S&P 500 to see how different these metrics can be.
23
Mar
2012
The Reformed Broker Reforms Financial Lit
If you follow the our blog, you know it’s no secret that we’re fans of Josh Brown over at The Reformed Broker. He tells it like it is with a sense of humor and humility, and that same refreshing writing style has transferred over to his new book- Backstage Wall Street: An Insider’s Guide to […]
19
Sep
2011
The Sortino Solution to the Sharpe Ratio
This post is part of an ongoing series on the Attain Capital blog that seeks to help investors understand the various metrics we use to evaluate managers. Stay tuned for future pieces! * * * * * * * * We recently did a post that explained everything you’d want to know about the Sharpe […]
