It’s time for a managed futures spotlight, and this time, the light is shining over Rosetta Capital Management, LLC- Rosetta Trading Program. Algorithmic traders sure seem to be generating a lot of media interest of late. Look at any major financial publication or blog and you are sure to see some sort of discussion on […]
Category: Managed Futures
26
Sep
2011
A loaf of bread, a stick of butter, a managed account…
We don’t like the old school buy and hold stock approach, as many of you know. But that doesn’t mean there aren’t some smart people out there talking about stocks. Barry Ritholtz and Josh Brown, for starters. We respect them because they have long scoffed at the idea of “buy, hold and pray” as an […]
22
Sep
2011
Platforms: Same story, different continent
We recently did a blog post that delved into the ironically murky waters of UCITS funds, their regulations, and their ability to serve investors. It turns out that evaluation of UCITS performance reveals an important lesson applicable stateside as well: “platform” promotion of a program is not necessarily the best model for raising funds or […]
21
Sep
2011
QE3- What would it mean for Managed Futures?
With the Fed releasing their comments on the potential for round three of quantitative easing later today (QE3 in the popular vernacular), we decided to take a look at just what the past two QE’s have accomplished. To get a good picture, we compared managed futures to stocks and bonds, using indices as proxies for […]
21
Sep
2011
Interpreting Proprietary Results
An investor called us yesterday asking what it meant in some CTA materials he was reading through that the performance was proprietary. Good question. On occasion, you’ll see performance denoted as “proprietary results.” This means that the numbers reflect the performance of money (their own or money they have an interest in) invested by a […]
20
Sep
2011
Financial Product Innovation Barreling Past 2008 Objections
I was lucky enough to attend a mini-seminar on setting up managed futures based mutual funds last week, and was shocked by most of what was being said. Looking around the room, most people were drooling over the possibilities present for raising assets, but a select few (myself included) seemed to be thinking- Is this […]
20
Sep
2011
The Hidden Max Drawdown
As you read this week’s newsletter, we may sound like a broken record, but when it comes to investing managed futures, understanding risk is the single most important component of success, in our opinion. The cornerstone of risk analysis, for many investors, is the dreaded drawdown. A drawdown is the “pain” experienced by an investor […]
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 […]
16
Sep
2011
Will the Real Hedge Fund Profile Please Stand Up?
Hedge funds are often touted as absolute performance vehicles, which makes us wonder why they have been getting more and more of the relative performance treatment since their miss in 2008 when they were down alongside stocks. The latest comes from a Dow Jones Credit Suisse press release seen here on Yahoo news: The Dow […]
15
Sep
2011
Asset Class Scoreboard through August 2011
It’s time to update our asset class scoreboard through August of 2011. As we expected, things have changed rather dramatically since the last time we took a break to consider the numbers, with August’s roller coaster swings finally factored into the comparison. Here’s where we stand as of last month: Key: as of 8/31/2011 Managed […]
