As 2011 draws to a close and everyone begins to reflect over the happenings of the past year, those with money ‘at work’ usually become particularly pensive. Could I have done better? Could I have done worse? Does my portfolio need adjusting? The self-examination process this year is perhaps even more strenuous than usual. With managed futures set to round out the year with losses overall, those invested in CTAs may have more questions than usual as they look at what worked (if anything), and what didn’t amongst the managed futures programs they follow.
These are loaded questions- especially in the chaos that has been 2011- so we took some extra time to make sure the perspective here was what we needed. Plus, there will be no newsletter the next two weeks with our offices closed Mon. the 26th and Mon. the 2nd. We typically end the year by breaking down how individual programs had performed throughout the year, but usually end up repeating ourselves quite a bit through that process (i.e. this program, like the rest of the trend followers, did xyz because of the same market environment). To avoid this repetition, we instead looked this year to break down managed futures performance by strategy type.
The difficulty in this kind of analysis is establishing what categories are most appropriate to use. There are a wide variety of factors that can differentiate one program from another. That being said, in our analysis of a wide universe of managed futures programs, we found a series of elements that created unique enough distinctions to warrant specific categories.
To learn about the categories we decided upon, and how managed futures programs within those categories performed during 2011, click here.
The performance data displayed herein is compiled from various sources, including BarclayHedge, 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.
Benchmark 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.
Managed futures accounts can subject to substantial charges for management and advisory fees. The numbers within this website include all such fees, but it may be necessary for those accounts that are subject to these charges to make substantial trading profits in the future to avoid depletion or exhaustion of their assets.
Investors interested in investing with a managed futures program (excepting those programs which are offered exclusively to qualified eligible persons as that term is defined by CFTC regulation 4.7) will be required to receive and sign off on a disclosure document in compliance with certain CFT rules The disclosure documents contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA, as well as the composite performance of accounts under the CTA's management over at least the most recent five years. Investor interested in investing in any of the programs on this website are urged to carefully read these disclosure documents, including, but not limited to the performance information, before investing in any such programs.
Those investors who are qualified eligible persons as that term is defined by CFTC regulation 4.7 and interested in investing in a program exempt from having to provide a disclosure document and considered by the regulations to be sophisticated enough to understand the risks and be able to interpret the accuracy and completeness of any performance information on their own.
RCM receives a portion of the commodity brokerage commissions you pay in connection with your futures trading and/or a portion of the interest income (if any) earned on an account's assets. The listed manager may also pay RCM a portion of the fees they receive from accounts introduced to them by RCM.