Risk On/Off Market Snapshot: August 2013

Despite some big moves (especially the beginning of the month) in several markets such as Crude Oil +2% on three separate days (1st, 9th, and 27th), Grain markets up over 4% on the 26th, 30 Year Bonds seeing some sell offs (down -1.53% on the 1st), and stocks seeing big moves (SP down -1.57% on the 27th, up 1.17% on the 1st), there we no risk on/ risk off days…  as we define it (past performance is not necessarily indicative to future results).

This presents itself as a rather unique situation as there was a pattern of increased volatility in these markets. However, even though the sub-groups (energies, grains, bonds) all moved, they didn’t move together. On a day Crude Oil was up 2.72%, Corn was down -2.51% (the 1st), essentially cancelling each other out.

Typically, this is a performance we’d enjoy watching, as it’s the right environment for portfolios looking for unique trends across multiple markets. But it didn’t bear any fruit in August for whatever reason, and we know the reason. Managed futures don’t just need markets moving on their own – they need them moving on their own in a consistent direction.

Anyway, the continued decline in risk on/risk off days is something that should benefit managed futures over the longer term in our opinion.

Risk OnOff August

(Disclaimer: Past Performance is not necessarily indicative to future results)

For context, the 2002-2008 range of risk on/risk off days was 10% to 20%, which spiked up to 20% to 35% following the financial crisis (’08 to ’12). 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.)


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Forex trading, commodity trading, managed futures, and other alternative investments are complex and carry a risk of substantial losses. As such, they are not suitable for all investors.

The entries on this blog are intended to further subscribers understanding, education, and – at times- enjoyment of the world of alternative investments through managed futures, trading systems, and managed forex, and is not intended as investment advice, or an offer or solicitation for the purchase or sale of any financial instrument. 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 and self reporting biases, and instant history.

The mention of general asset class performance (i.e. managed futures did well, stocks were down, bonds were up) is based on Attain’s direct experience in those asset classes, estimates of performance of dozens of CTAs followed by Attain, and averaging of various indices designed to track said asset classes.

It should be noted that past market performance is not indicative of future market movement.No market data or other information is warranted by Attain Capital Management as to completeness or accuracy, express or implied, and is subject to change without notice.

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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.