After three consecutive above average Risk On/Risk Off months, the collective markets dipped back below the trend line in July – with just a single Risk On day coming a day after Fed Chairman Bernanke announced the Federal Reserve was delaying the end of QE. All in all – managed futures (despite the three months of losses) would prefer not to see too high of a percentage of risk on/risk off behavior, as many markets moving in tandem reduces the benefit of market/sector diversification traditional managed futures programs rely on for a portion of their risk control.
(Disclaimer: Past performance is not necessarily indicative to future results)
The 6-month moving average is hovering in the 5-7% range, below the 2002-2008 range (10% to 20%) and significantly below the typical levels from the last couple of years (20% to 35%) We define risk on as an average gain of over 1% for “risk” assets; risk off is an average loss of over -1% for “risk” assets. (Click here for a more detailed breakdown.)