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Managed Futures Spotlight: Mesirow Absolute Return
August 2, 2010
As has become tradition for the week following our semi-annual Top 15 rankings newsletter (Semi Annual Top 15 Managed Futures Rankings), this week’s newsletter will highlight the top manager in those rankings – Mesirow Financial Commodities Absolute Return Strategy.
With our rankings eschewing the usual ‘who had the top performance thus far in 2010’ in favor of what we believe is a more sophisticated approach which measures not just return, but risk in the form of drawdowns, volatility, assets under management, and length of track record – it is not surprising that a manager who focuses on managing downside risk first and foremost grabbed the top spot in our Top 15.
While many managers talk about managing risk, Mesirow definitely delivers in that category – with Mesirow ‘s most impressive stat remaining their ultra-low maximum drawdown of just -1.56% on a month end basis and -2.50% on an intramonth basis. [Past performance is not necessarily indicative of future results]
And while Mesirow‘s +1.84% return through June 30th, 2010 (the date through which our Top 15 rankings were run) and 1.74% return through July 31st (July was down -0.45%) are sure not to impress those who need instant gratification; these are better than the performance of the managed futures asset class as a whole. The Newedge CTA index is up just over 1% through July, while the CSFB/Tremont Managed Futures index is up just 0.26% through June in what has been a better year than 2009, but a tough year nonetheless.
For those who follow the trading day in and day out of numerous managers, for Mesirow to have ‘kept its powder dry’ through the past 18 months has been a worthy accomplishment, and worth at least our attention in this managed futures spotlight.
Who is The Manager:
Many of you may recognize the name Mesirow, especially if you come down Clark St. in Chicago to get to work, and that is because the managed futures program Mesirow (Mesirow Financial Commodities Management) is part of the much larger and well known Mesirow Financial, a diversified financial services firm headquartered in Chicago, IL with offices across the USA and in London, with over 1,200 employees and six divisions of services including Investment Management, Investment Services, Insurance Services, Investment Banking, Consulting, and Real Estate. Additional descriptions of the services provided by Mesirow Financial can be found at www.mesirowfinancial.com .
As impressive as Mesirow Financial is, we’re not here to talk about them. We care about the commodities group (which we’ll hereinafter call Mesirow), which is managed by the father & son trading team of Thomas C. Willis, and Thomas R. Willis and Gary Klopfenstein.
Thomas C. Willis is Senior Vice President and Senior Strategist of the Mesirow commodities program responsible for research and formulation of portfolio strategy. Tom has over 30 years experience as a commodity trader and money manager, having started like many other trading legends as a lowly ‘runner’ for his uncles at the Chicago Mercantile Exchange as a high school junior. For those unfamiliar with the term ‘runner’, prior to electronic trading a person actually ran orders from phones outside the trading pit into the traders in the middle of the pit, and ran fills back out or upstairs to the clearing firms.
Tom Sr. quickly realized that he was destined to have a career in trading and eventually got his own ‘badge’ on the old MidAmerica Exchange where he purchased a membership for $2800. While at the MidAm, Tom met another young trader by the name of Richard Dennis (of Turtle Trader fame) who served as mentor of sorts to Tom and taught him some of his earliest lessons as a trader back in the early 1980’s.
Prior to joining the firm, he was President of Willis Trading Group, and cofounded Willis-Jenkins Inc. a registered commodity trading advisor in the 80’s. His trading success has been profiled in publications including the Wall Street Journal and he has frequently been quoted in industry publications. Tom is currently a member of the Chicago Board of Trade and has previously served on various governance committees of the exchange. He received his BA degree in Economics from Valparaiso University (where rumor has it he scheduled his classes on Mondays and Wednesdays so he could trade on Tuesdays, Thursdays, and Fridays when the grain reports came out)
Thomas R. Willis is Vice President of Mesirow Financial Commodities Management, LLC and responsible for making investment and trading decisions. Tom has over eight years of trading and research experience, and a lifetime of lessons from the elder Willis. Prior to joining the firm, he was a Principal with Willis Trading Group. Tom’s experience includes designing and implementing proprietary trading strategies at CMT Capital Markets Trading GMBH in Frankfort Germany and researcher with the aforementioned Willis-Jenkins.
Tom Jr. became interested in trading while growing up in Chicago, tagging along with his dad to the exchange whenever he could. His interest escalated in High School when he worked as a clerk on the grain floor at the now defunct MidAm. Like his Dad before him, Tom Jr. began his trading career while he was still in college at nearby Lake Forest College. After graduation, Tom took a job with CMT Capital Markets and moved to Germany early in 2000. Ready to set off on his own, Tom Jr. began managing client money in 2003 with his dad serving as a mentor and outside advisor to the program. A couple years later Tom Jr. joined his dad full time at the Willis Trading Group and now works side-by-side with him at Mesirow.
Gary Klopfenstein rounds out the management team, acting as Senior Managing Director of Mesirow Financial Investment Management, Inc., Chief Investment Officer of the Mesirow Financial Currency Management division, and a member of the firm’s Executive Committee. With over 25 years of industry experience, Gary is an integral part of the management team for the Mesirow Commodities program, providing general management oversight and strategic direction for the program. He graduated from Illinois Wesleyan University in May 1985, Summa Cum Laude, with a BA in Business Administration.
How Does the Program Work:
The mantra of Mesirow Financial Commodities Management (Mesirow) is to generate consistent returns with low volatility across various market environments. But they apparently did not get the memo from the rest of the futures industry on what low volatility means…. Most managed futures programs consider annualized volatility of around 10% to 12% and drawdowns between -5% and -10% as low volatility… but Mesirow would consider those numbers dizzying when compared with their program’s remarkably low -1.56% Max DD (-2.50% intramonth) and annualized volatility of just 6.34%. Perhaps their mantra should be re-written to say “generate consistent returns with very low volatility”.
They attempt to achieve this goal through rigorous risk management and what they believe is a deeper understanding of why the markets they follow move the way they do. But where they hang their hat is on risk management, which has been ingrained in the brain of head Trader Tom Willis Sr. since the beginning of his career on the floor of the old MidAmerica Exchange in 1973. According to Tom Sr., one of the earliest lessons he learned has a fledgling trader was that the best route to making money was not by trying to maximize returns, but rather by cutting your losses short. In Tom’s own words, “The name of the game is don’t lose money. It’s not how much you make, but how little you lose when you are wrong.” (Intermarket, Vol. 1 No.4 September 1984)
The discretionary, short term trading strategy employed by Mesirow is based on the decades of combined trading experience and money management by the Willis trading team. Before placing any trades the Mesirow team evaluates market price action to indentify themes in the markets they trade. This is an important first step that not only allows the trading team to assess potentially profitable trading opportunities, but also determine which markets are correlated to a singular theme. For example, in late 2008 & early 2009, Mesirow identified the global de-leveraging which drove markets lower as a theme, and attempted to profit from that theme through trading in only a few markets (metals, currencies, and grains), which they believed gave them the lowest risk entry into trades surrounding that theme (direct exposure in stock indices, for example, was more highly correlated and likely more risky).
In the manager’s opinion, correlation between market sectors typically increases when there is a dominant market force, causing that market force to impact multiple markets at the same time. This can cause a concentration of risk rather than diversification of risk, as was seen at the end of 2008 and into 2009. Therefore, rather than trading several markets that are all impacted by a singular theme, Mesirow seeks to identify a single market that presents the best opportunity (directional/strong price action) to capture a short-term winning trade while tightly monitoring risk.
Thus far in 2010 Mesirow has found the macro trading environment conditions to be challenging. According to Tom Willis Jr. “There seems to be an ongoing struggle between inflation and deflation that has made for a frustrating environment in which to trade.” In other words, Mr. Willis is saying that recent macro economic conditions have made it much more difficult for him to gauge the market and identify an overlying theme for where the markets are headed. And, it is easy to see why Mr. Willis is frustrated, as all one has to do is open up the op-ed section of the Wall St. Journal to see that there is a definite 50/50 split has to where the markets are headed. Mr. Willis also notes, “Recently we have begun to see a re-introductions of capital into the commodity markets throughout the second quarter and we anticipate that this trend will continue although volatility should remain high. Our performance data has shown that our strategy does well in these markets and we have an optimistic outlook for the remainder of 2010.”
In addition to the qualitative theme analysis, Mesirow uses quantitative analysis to help identify trading opportunities and pinpoint market entry and exit levels. The most commonly used quantitative tools used include directional analysis which the manager uses to help indentify strength and weakness within market sectors. This analysis helps filter out non-directional markets and can distinguish which individual market components within sectors are best positioned for a directional move. Another commonly used quantitative technique used by Mesirow is to indentify entry and exit points via capital flow analysis (also known as market momentum). An example of this would be a market that has accelerated in price on heavy trading volume (usually a confirming signal) or price action on light trading volume (usually a signal the move may be a false one). The manager may identify a market level based on trading volume as an opportune place and time to enter the market (either in the direction of the move or against it), believing these types of area typically represent an area of ‘immediate gratification’ as the market will quickly signal whether the trade will be profitable or not.
While the program could technically look at any futures market for an opportunity, the Willis father/son combo like to stock to what they know best, with approximately 75% of trades taken by Mesirow in so called traditional commodity markets (Agriculture, Energy, Metals, Softs) and 25% in financial futures (Currency, Stock Index, Treasury Futures).
As mentioned above, risk management is the hallmark of the Mesirow strategy and the basis by which the Willis team has based their entire trading careers on. Mesirow manages risk across the following multiple dimensions:
Price Levels: There is a pre-determined entry/exit level for every trade, including a stop loss being employed for every trade. [Disclaimer: stop orders cannot guarantee a fill at the desired price]
Theme Concentration: As mentioned previously, Mesirow theorizes that markets are often highly correlated around a singular theme, and that trading multiple markets that are moving off the same theme adds to concentration risk rather than adding risk lowering diversification. As such, the manager attempts to identify only the best one or two opportunities per a given theme, typically having between zero and seven positions on at any given time. (Other managers of similar size may have as many as 35 positions on during trending periods)
Time in Position: Mesirow looks to capitalize on short-term opportunities, period. A typical trade lasts from 2-5 days, with the team looking for the ‘instant gratification’ mentioned above. According to Mesirow, they rarely, if ever, end a trading session with a losing position in the portfolio.
Trade Structure: While the program predominantly uses futures, options will be used occasionally if they present a better risk/reward profile. For example, if risking $3,000 on a long trade in Sugar – if the at the money current contract Call is trading with no time value or volatility premium (it is merely trading 1 to 1 with the underlying), they may purchase the call instead of the outright futures. In this way, they get the same directional exposure (the Call option will rise in value equally with the futures), but they can’t get stopped out on a spike move lower. They have set their risk at the option purchase price, and can let the trade go as long as needed until it is profitable.
The following is an example of an actual trade from mid-2009 as described by the manager:
“Throughout April and May of 2009, markets were characterized by a commodity rally and US dollar weakness as large amounts of speculative capital flowed into the commodities markets. As the USD strengthened in June, commodity markets became vulnerable due to large speculative interest and retraced 40-50% of their recent gains. The one exception was sugar, which held its gains and eventually moved toward new contract highs. When commodity strength resumed and the weak USD theme reemerged, sugar had been identified [by Mesirow] as the best opportunity as it was well positioned for significant price appreciation.[based on its own strong fundamentals and involvement I the weak US $ theme]
Once Mesirow had identified sugar as being directional and the best way to trade the weak USD theme, the next step was to find an opportune point within that directional move to enter the market. Using the aforementioned “quantitative tools”, the trading team identified a key support in the market on June 23rd as sugar had accelerated from 1600 to 1675 on low trading volume. If the market were to counter-trend retrace back to this level of support, it would represent an opportunity to enter the market.
On July 8th, the sugar market, which had risen to 1800, pulled back to 1677 which is when Mesirow entered a buy order. A stop loss was placed at 1650 and a target exit of 1820 was set. The market did indeed resume the underlying directional move after the buy order was placed and the position was sold shortly thereafter at 1820, which represented a 70bps [0.70%] profit to the portfolio. While sugar continued its directional move beyond 1820, Mesirow employs a disciplined process that is happy taking aggregating small winning trades. This philosophy allows the manager to tightly manage risk and protect capital.
Mesirow Financial Commodities is also happy to announce that the have added a new member to their team; Mr. Terry Good. Mr. Good will be managing the Mesirow Financial Commodities Systematical Directional Strategy. Mr. Good comes to Mesirow with 25 years of trading experience in the futures markets both on and off the trading floor. His strategy is an algorithmic trading model specifically designed for the treasury markets including US 30-year bonds, 10-year notes, and 5-year notes. S&P 500 futures are also traded as a diversifier. This strategy uses intra-day data to analyze changes in market velocity as a function of price and time in order to capitalize on short term, impulsive market movements and has a low correlation to other asset classes such as the equities and bonds. Tight risk controls are built into the model and it uses short term, intraday intervals for exit levels as well as small position sizes to help minimize losses. Mesirow anticipates the strategy will be available to clients by early Q4 of this year.
We view Mesirow as a great program based on the following: strong manager background and pedigree, Grade A facilities and back office, and the impressive under -2% Max DD since inception (61 months); and have been honored to be one of only two firms able to offer the program outside of Mesirow Financial.
Mesirow looks to have successfully combined the ‘floor savvy’ and expertise of a legendary Chicago trading family with the risk management and execution skills needed to be successful in managing hundreds of millions in client assets. This is a rare combination in discretionary programs run by former floor traders, whom are infamous for taking big risks which just as often turn into big losses as big profits, and speaks volumes to not just the mental discipline of the manager, but also their trade execution and processing (some CTAs have trading errors larger than the -2% Max DD Mesirow has had) [past performance is not necessarily indicative of future results].
But while we like the entire Mesirow track record, we are most impressed with their flat 2009 performance, as that has proven to us that they are indeed implementing the disciplined risk management tools outlined above. In a 2009 conversation with Tom Willis Sr. he noted, “All it takes is a few good trades over the course of one or two quarters and we’ll be right back on track to hitting our performance goals…in the mean time it is all about managing the risk.” Given Mesirow’s stance that it is better to “keep your powder dry” at times, it is very important to target a 2-3 year investment window with Mesirow (or any investment for that matter).
Willis’ comments have been spot on thus far in 2010 as performance has improved steadily with 3 positive months in a row in April, May, and June, before pulling back slightly in July at an estimated -0.45%. While, it is encouraging to see some positive returns we would like to see more positive stretches out of this program. For most of 2009 and into 2010 it has been 2 steps forward, followed by 2 steps back. It is our hope that Q2 performance is a sign of good things to come. Another issue for investors to consider is that this program has grown rapidly over the last 18 months and is now managing $883 million in client assets. While the pace of growth has been controlled, it is worth noting that the program is over twice as large as it was this time last year.
Seeing this growth first hand, Attain has been closely monitoring Mesirow’s ability to trade at these much larger levels, and is happy to report that we have seen no ill effects on their management of accounts at Attain. And according to Mesirow, they have not had any execution issues thus far and have planned for the continued increase in assets by diversifying their execution across a range of different platforms and firms.
Despite the assurances, the concern remains that the performance has flattened out as assets have risen. But knowing that there are programs which manage several times what Mesirow does (in the Billions) and having met with the managers, we take them at their word on that front. The way to see for sure will be their return to double digit annual gains at some point in the future with the larger assets under management.
In conclusion, the Mesirow program is a prime candidate for nearly any managed futures portfolio based on its low volatility (in can be added to a large portfolio without much of an effect at all on portfolio wide volatility), low historical Max DD (even if it sees a new Max DD 5 times its historical one, the DD would still be less than -10%!), and strategy type (shorter term/discretionary is a nice complement to the longer term/systematic programs which make up most managed futures portfolios).
The final attractive piece is that the programs can be traded with very little cash outlay, given their average margin to equity ratio of 5%. Investors at Attain have allocated between $100K and $200k in cash to be notionally traded at the $800k trading level [Disclaimer: the use of increased leverage can substantially increase the risk of loss (in percentage terms)].
In the end, Mesirow provides access to a tried and true commodity trader who has a knack for controlling risk, and at what we feel is a bargain price (either in cash or the nominal minimum amount). While there are other programs which can provide the background, the low risk, or the bargain price – it is rare to have all three in a single program.
IMPORTANT RISK DISCLOSURE
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The heat of midsummer filtered into the majority of commodity and stock index futures last week as the continued rally off of the early July lows was aided by a strong beginning of Q2 earnings releases and better than anticipated growth stats for most economic releases not only in the U.S., but in Europe as well. Asia and Pacific rim news was also satisfactory for the marketplace as signs of expansion in areas that were a bit shaky earlier in the year aided in stronger market performance.
The strongest performing sector for July were Grains led by Wheat, which was up an astounding +36.97% due to worries that drought stricken Russia might not only lose the majority of this year’s crop, but if the dry period continues it could put a severe strain on the next crop as well. The balance of the grain complex say Soybeans add +11.37% and Corn appreciate +8.89%. The soft arena also had its shining star with Sugar +21.86% drawing interest from news of export delays out of South America due to shipping logistic problems inland. The rally in sugar aided advances in Coffee +6.30%, Cocoa +4.99% and Cotton +4.50%.
U.S. stock index futures posted their best monthly performance in more than 12 months aided by strong second quarter earnings results along with signs that some areas of the economy may be improving more than the marketplace anticipated. Economic and earnings data emanating from Europe also provided fodder for a more friendly environment, especially after consecutive weeks of sovereign debt worries which have subsided with the constructive business outlook regarding purchasing and manufacturing. The scoreboard for July had Dow futures add +7.21% followed by NASDAQ futures +7.15%, S&P 500 futures +6.98%, Russell 2000 futures +6.88% and Mid-Cap 400 futures +6.87%.
Energy futures sentiment also sustained upside momentum during July from stronger signs of growth along with ideas that refinery purchases are nearing an increase for winter refining. For the month Natural Gas +5.83% led the surge followed by Crude Oil +3.66%, RBOB Gasoline +3.37% and Heating Oil +2.15%.
Market activity in currency futures for July was a picture of change in market psychology after monthly economic reports from several European countries showed growth, especially in business and manufacturing. This led to investors seeking higher yielding assets despite the probability of higher risks from the sovereign debt issues that still plague some EU countries. The rally was led by the Euro +5.05% followed by British Pound +5.05%, Swiss Franc +3.34% and Japanese Yen +2.19%. U.S. Dollar Index -5.37% was punished by the change in attitude along with ideas that the landscape in the U.S. was still a bit shaky as far as sustained growth is concerned.
July in the Metals complex was a mixed story as the industrials experienced the euphoria from signs of manufacturing and business growth abroad, while the precious metals were hampered by asset reallocation as recent flight to quality purchases turned into investment money fleeing for better yielding opportunities. For the month Palladium finished +12.51% followed by Copper +12.18% and Platinum +2.57% with Gold -5.25% and Silver -3.78% under the weather.
The July estimates are in the books and the early returns show that short to medium term multi-market managers had a good month in July, while traditional long-term trend following strategies struggled once again.
Short-term stock index traders, in particular, had a great month of trading, with Paskewitz Asset Management 3X Contrarian leading all CTAs at +8.80% for the month. Congrats to PAM on a great month of July! Other short term traders who did well include Pere Trading Group +7.10%, Roe Capital Management Monticello Spread +5.62%, and Roe Capital Management Jefferson +3.27%.
Short-term multi market traders also did well, shooting higher last week as foreign currencies, bonds, and stock index futures all provided for nice short term trading opportunities. Leading the pack was the Attain Portfolio Advisors Modified program, which was up an estimated 6.00% for the month. APA Modified found most of its success in short term stock index trading as well as long positions in the grain, foreign currency, and treasury future sectors. Next in line in July was the Applied Capital Systems program at +5.58%. Applied Capital led the rankings for the most of July and had a great month of trading. This program is an upcoming CTA to keep an eye on.
Other programs that had a good month of successful trading include Dighton Capital USA Aggressive Futures Trading +4.80%, Dominion Capital Management Sapphire +3.42%, APA Strategic Diversification +2.56%, Auctos Capital Management Global Diversified +2.55%, Clarke Capital Worldwide +2.20%, Hoffman Asset Management +0.82%, and GT Capital Dynamic +0.78%.
Long-term traders did not have as much success. Managers in the red for July include Futures Truth MS4 -0.07%, Clarke Global Magnum -0.38%, Accela Capital Management Global Diversified -0.42%, Quantum Leap Capital -1.30%, Integrated Managed Futures Global Concentrated -1.98%, 2100 Xenon Managed Futures (2X) -3.29%, Clark Capital Global Basic -4.68%, Covenant Capital Aggressive -5.23%, Futures Truth SAM 101 -5.34%, and Robinson Langley Capital -6.74%.
Rounding things out amongst multi market managers were Mesirow Financial Commodities Low Volatility -0.26%, Mesirow Financial Commodities Absolute Return -0.45%, DMH -0.96%, amd Sequential Capital Management -2.86%.
Option trading manager results were mixed for July with index option traders finishing in the black and most diversified traders ending in the red. The positive returns by the index traders were led by the rally in equity markets quickly depreciating the value of short puts and appreciating the value of long bull call spreads while diversified traders ran into trouble in markets like Wheat and Sugar which were up 36% and 22% respectively.
Option estimates for July were as follows: ACE SIPC +0.36%, ACE DCP +1.47%, Cervino Diversified Options +0.78%, Cervino Diversified 2x +1.67%, Clarity Capital +4.51%, Crescent Bay PSI +1.21%, Crescent Bay BVP +2.77%, FCI OSS -4.52%, -0.88%, HB Capital -4.67%, Kingsview Capital +1.12%, and Liberty Funds -3.77%.
Specialty market managers had a relatively quiet month with returns oscillating between +/- 1%. One exception was Oak Investment Group which accelerated ahead an estimated +3.19% for the month – Oak trades in the Live Cattle option markets and has been on the comeback trail since facing a drawdown of -34% in March. Other estimates for the month were as follows: Emil Van Essen Low Minimum Spread -0.28%, NDX Abednego +0.09%, NDX Shadrach +0.68%, Rosetta -0.08%, and 2100 Fixed Income -0.15%.
Last month was a good month for most trading systems as the rally in the equity markets provided some expanded ranges for them to operate on. Many of the systems were able to get long right before big jumps in the markets and were able to ride the moves until their profit targets were hit.
Many of the trades Strategic SP made in July were buying near the low for the week and riding a rally for an 18-20 point gain. For example, Strategic SP got long on July 22nd and rode the 22 point rally until the profit target was hit. Strategic SP also made a nice short trade near the beginning of last week and profited from the move down in the S&P 500 market towards the end of last week. For the month Strategic v2 SP made a profit of $8,923.68. Other positive results were Strategic ES at $420.00 (it did not get one of the long trades Strategic SP did), Polaris ES at $685.00, Jaws US 400 at $722.50, AG Mechwarrior ES at $1,336.25, Turning Point X2 ES at $1,402.50, Turning Point ES at $1,470.00, Bounce ERL at $1,860.00, Bounce Filter ERL at $1,890.00, Bam 90 ES at $2,385.00, Bounce EMD at $2,400.00, and Waugh CTO ERL at $3,100.00.
On the downside, a few systems that finished in the red were caught trying to pick the top of the rally and got hurt when the markets continued to rally. For example, MoneyBeans S started off the month really well on a solid run of trades from June and made a good long trade to start July but then got caught short as the Soybeans market continued the run up to price levels last seen in January 2010. For the month of July, Moneybeans S finished at -$2,112.50. Other negative results were Strategic ERL at -$178.32, Moneymaker ES at -$215.00, Strategic NQ at -$861.00, Waugh Swing ES at -$1,272.50, and Jaws US 60 at -$2,212.50.
On the day trading side, Beta-DT ERL made some nice trades during the trending moves in the mini Russell 2000 market last month. Most of the time Beta-DT would get in mid day and benefit from a big move that would occur after Beta-DT was in the market. For example, on July 16th Beta-DT got short and the market went onto drop 5 more points before the close. Then on July 17th, Beta DT got long near mid day again and the market jumped 10 points in the next 90 minutes. For the month Beta DT finished with a profit of $2,553.90. Other positive results were NPI Trader US at $128.75, NPI Traders C at $182.50, Compass ES at $206.87, Waugh ERL at $280.00, BounceMOC EMD at $330.00, NPI Traders EC at $515.00, BounceMOC ERL at $992.50, Clipper ERL at $1,180.00, PSI! ERL at $1,840.00, Compass SP at $2,291.67, and UpperHand ES at $2,412.50.
There were a few trading systems that finished in the red last month. ViperA EMD was among the systems in the red for the week. ViperA EMD did make some good trades last month but ViperA EMD would often be in a trade that it was profitable only to see the market suddenly reverse and go onto hit the stop. For example, ViperA was short on July 15th and was up nearly 2 points in the trade before the e-Mini Midcap 400 market reversed and shot up resulting in ViperA getting stopped out. For the month ViperA lost -$1,285.09. Other negative results include NPI Traders GC at -$33.33, BalancePoint ES at -$69.17, BetaCon 4/1 ESX at -$240.00, EVP 1 US at -$433.16, ATB TrendyBalance v2 DAX at -$522.50, NPI Traders CL at -$649.93, and Rayo Plus DAX at -$782.50.
IMPORTANT RISK DISCLOSURE
Futures based investments are often complex and can carry the risk of substantial losses. They are intended for sophisticated investors and are not suitable for everyone. The ability to withstand losses and to adhere to a particular trading program in spite of trading losses are material points which can adversely affect investor returns.
Past performance is not necessarily indicative of future results. The performance data for the various Commodity Trading Advisor ("CTA") and Managed Forex programs listed above are compiled from various sources, including Barclay Hedge, Attain Capital Management, LLC's ("Attain") own estimates of performance based on account managed by advisors on its books, 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.
The dollar based performance data for the various trading systems listed above represent the actual profits and losses achieved on a single contract basis in client accounts, and are inclusive of a $50 per round turn commission ($30 per e-mini contracts). Except where noted, the gains/losses are for closed out trades. The actual percentage gains/losses experienced by investors will vary depending on many factors, including, but not limited to: starting account balances, market behavior, the duration and extent of investor's participation (whether or not all signals are taken) in the specified system and money management techniques. Because of this, actual percentage gains/losses experienced by investors may be materially different than the percentage gains/losses as presented on this website.
Please read carefully the CFTC required disclaimer regarding hypothetical results below.
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN; IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK OF ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL WHICH CAN ADVERSELY AFFECT TRADING RESULTS.