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Call us at 800.311.1145 to speak with one of our alternative investment specialists. We answer the phone in One Ring. Try It.Sign up to view performance on 100s of Managed Futures Programs, Trading Systems, and Managed Forex Programs. Sign up FREEWhat are Managed Futures? Is this the same as CTAs? How do I invest? Click here  to learn all of this and more on our extensive managed futures education pageHow to set watchlists? Build portfolios? Find correlations? and more. Click here to take a tour of our advanced toolsUse our most popular tool to create custom multi-program portfolios. Click here to get started today by signing up for FREE ACCESSClick below to learn how attain can assist your CTA in everything from back office creation and trade execution to finding a lawyer to create your D-DocNo upfront fees for managed futures funds is one of the unique benefits of a managed futures account at AttainOur alternative investment books list includes some of the most thought provoking and interesting books on alternative investmentsLearn how family offices outsource the managed futures research, due diligence, data collection, and ongoing monitoring of accounts to AttainWhat is a trading system? Who develops them, and how are they executed for client accounts? Our trading system education explains this and moreWe assist talented traders in getting their trading ideas into an automated trading system, do testing, marketing, and more

Managed Futures Spotlight: Auctos Capital Management Global Diversified

November 28, 2011

 

The last three years have been challenging for multi-market managed futures programs, to say the least. The cycle started in 2008 with the financial crisis. Most multi-market programs thrived in the fast paced trading environment of ’08, as the just the right mix of market trends and volatility mixed to produce one of the best economic climates CTAs have seen in decades.  Since those historic days, multi-market managers have felt the full brunt of the financial crisis, with government bailouts and quantitative easing initiatives making markets more choppy (less trends) and much less volatile. The result has been average to subpar performance across the last 3 years, with multi-market managers struggling in 2009, making a moderate comeback in 2010, and down so far this year. One manager that has held up and produced consistent results during this tumultuous time for multi-market CTAs is Auctos Capital Management. Please note that this program is only available to qualified eligible participants. To see if you qualify, click HERE.

 

Who is The Manager

After spending 10+ years working as independent trader (or local) on the Chicago trading floors, Kevin Jamali launched Auctos Capital Management in August 2007 after deciding to make the transition to becoming a purely systematic trader. Kevin credits his years on the floor for honing his risk management skills, as he quickly realized that properly managing losing trades was the key to becoming a successful trader- especially one that relied on trading as his sole source of income. These experiences, as well as those learned in other business ventures, have proved extremely valuable as Kevin transitioned into becoming a CTA. In his free time, Kevin is an avid practitioner of Brazilian Jiu-Jitsu, and has enjoyed success in a variety of competitions. He is passionate about his chosen sport, and feels that his involvement provides rejuvenation of mind and body. Kevin also enjoys spending time with his family, and considers his young daughter his pride and joy.

Throughout his career as a trader and a businessman, Kevin has found the most success when establishing a strong team of individuals around him to help grow the business. At Auctos, Kevin has placed considerable emphasis on research, infrastructure, and management. Soon after establishing Auctos, the first hire was Kim Ferizi, who was brought in to be Kevin’s right hand man. Kim’s official title is Portfolio Manager of Auctos Capital Management, where he is responsible for analyzing and developing systematic programs, playing a key role in trading and client support as well.  Mr. Ferizi is also an advocate of Brazilian Jiu-Jitsu, and kiddingly mentions that, while being a Jiu –Jitsu expert is not a firm requirement, it is highly recommended. His sporting skills are not confined to the world of martial arts; Kim, born in Germany, was brought stateside for a tennis scholarship at the University of Science and Arts of Oklahoma. He later transferred to Carthage College in Kenosha, Wisconsin where he played basketball.

Other members of the research team includes a PhD, as well as successful professional traders and expert programmers who all focus their efforts on risk management and portfolio diversification. Emphasis is placed on achieving successful returns while minimizing drawdowns. With this in mind, Mr. Jamali says that approximately 80% of the firm's operating expenses are attributable to research and development.

How Does the Program Work:

The Auctos Capital Management Global Diversified program is a true multi-system program that is available to QEP investors. Strategies traded include Pattern Recognition Models, Synthetics (Calendar Spreads) Models, Medium-Term Trend – Following Models, and Short-Term Trend following models. In total there are eight models traded across seventy markets worldwide. 

The program started in October of 2007 as an ultra long-term trend following program with an average hold time of 250 days and a volatility (risk / return) target of 20%. While launching the trend following portion of the program, the research team at Auctos was already hard at work designing and testing the spread trading and pattern recognition models to help further diversify the trading and decrease the volatility of the portfolio. From October 2007 to June 2009, the track record reflects the trading of the trend following models only. Looking at 2008, we can see that the trend following models by themselves were less volatile than most other multi-market programs during this time period. This was a result of ultra low risk of 0.3% to 0.6% per trade that Auctos uses when initiating new positions. In addition, stops are always working in the market for the trend following models, including trailing stops on profitable trades. Mr. Jamali credits this philosophy to his days on the trading floor when he learned to cut his losses quick or face the prospect of going out of business even quicker. 

In July 2009, Auctos simultaneously added the spread trading and pattern recognition models to the portfolio. Mr. Jamali, because of his experience trading spreads on the floor of the Chicago Board of Trade,  is very familiar with fundamental factors of the spread markets, and knows which spreads typically have the most opportunity- as well as those to avoid at all costs. For example, Auctos does not trade Corn spreads because the fundamentals of the new crop spread (June /July) are much different from the fundamentals of the old crop (Nov / Dec) spread, and traders who rely on the same model to trade both spreads could be unknowingly assuming more risk than they think. That kind of knowledge can only truly be realized through hands-on experience. Thirty spreads are traded on the spread trading model, including spreads on US interest rates, European interest rates, energy spreads, and spreads in livestock. Currently, all spreads are of the calendar variety (same contract, different months), but the research team has been evaluating adding intra-commodity spreads within the next twelve months.

The pattern recognition strategy is a quasi trend following model in that it usually trades with the market trend. The key differences between pattern recognition and the trend following model is that it is much more selective (only in the market 35% of the time), and it looks to get out on market strength rather than waiting for a pullback in a trend. This model can also exit a trade and look to quickly re-enter in the same direction if conditions warrant. In comparison, most traditional trend following systems are designed to wait for a new trend to emerge before re-entering a trade.

Risk management is the hallmark of the Auctos trading program, and is a critical conisderation when comparing Auctos to other multi-market programs. First, risk per trade is low and typically ranges between 0.3% to 0.6% ($3,000 to $6,000) on each new entry across all 3 models.  Likewise, margin use is also conservative, with an average of 10% margin to equity across the portfolio. Finally, each sector has a 33% allocation in the portfolio, as it is impossible to predict which models will have the most success year in and year out. Mr. Jamali likes to stress that the spread trading model and pattern recognition models hold just as much weight as the trend following model.  They are not designed to simply trade around the trend following sector as some other managers have done.

Attain Comments:

We have been following Auctos live for the past 2 years and decided it was high time to put them in our spotlight.  This was a protracted due diligence process, as we were introduced to Kevin and his team after one of the most unusual years in trading history (2008) and saw them expand the number of models being traded soon thereafter. The first tracking account came in early 2010, and we have been impressed with what we have seen out of the program since then.

 First, the program has simply performed well since we began following Auctos. On a risk adjusted basis the Auctos program was one of the top performers at Attain in 2010, with a Return of +14.99% and Max Drawdown of 3.67%. (PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS)

Second, the evolution of Auctos over the last three years has been super,b and we especially like the focus that Kevin has put into the researching new models and markets to trade. A budget where 80% of the company’s budget is earmarked for research and development is enough to make any small CTA envious. To Auctos’ credit, they have used the resources wisely, and their investment has led to real results in the client accounts. 

As with any new CTA, we are always wary that the early returns in the track record do not reflect how the accounts are currently being traded for clients. For example, most CTAs will start out “running hot” with much more volatility than is currently being experienced in client accounts. This could be because the assumptions made in testing did not reflect reality or perhaps the manager was trying to grab attention from customers by getting aggressive out of the gate. Eventually the CTA will be forced to dial down the leverage in the accounts. Likewise, ongoing research efforts will bring new trading models, while others are phased out and discontinued. Small changes like this are often considered the “norm” in this industry, and something that clients need to be aware of when evaluating a manager’s track record.  In the case of Auctos, as we have discussed the program has evolved over time with new models being added in 2009. Investors should also be aware that the target volatility was also cut in half from 20% to 10% when the new models were brought onboard. Cutting volatility does help manage risk and drawdowns, though the downside is the profitability can be capped as well.

Overall, we have been impressed with what we have seen out of Mr. Jamali and his team to this point. Performance has been solid since we began following the trading.  The rolling 36-month drawdown currently stands at 6%, which is very impressive when considering the struggles of other multi-market programs over the past 3 years. We are also appreciative of the individuals that Kevin has surrounded himself with to this point.  We would like to see him beef up the trading operations side a little bit, but that will come with time. Finally, we would like to congratulate Auctos growing assets by 15x since we first met three years ago, with AUM climbing from $2mm to just over $30mm as of this writing. 

IMPORTANT RISK DISCLOSURE


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Feature | Week In Review: Down on the Holidays

While it may be hard to believe when surveying the bright green screen we received today, last week was a bit of a downer. Blame it on Europe, the Supercommittee failure or a rush to abandon ship before the long weekend, but it wasn't pretty. The S&P 500 was down 4.98%, followed by the Dow Jones down 4.93% and the Nasdaq down 4.54%. Treasuries enjoyed a boost, with 30 year bonds up .72% and 10 year notes up .09%. In currencies, the Dollar continued to rise, popping up 2.01%, but the rest of the pack was headed downward, with the British Pound down 2.21%, the Euro down 2.03%, the Japanese Yen down .98% and the Swiss Franc down .20%. 

Even traditional safe havens in metals were not immune to the downward pressure. Gold was down 2.28%, Platinum down 3.50%, Copper down 3.88%, Silver down 4.33%, and Palladium down 5.79%. In energies, Crude fell .92%, RBOB Gasoline was down 1.19% and Heating Oil dropped 3.47%. The lone shooting star was Natural Gas- up 5.99% on the week.

In grains, Corn fell 4.56%, while Wheat was down 3.98%, but the biggest slide was seen Soybeans- down 5.29% on the week. Meats enjoyed a small bump, with Live Cattle up 1.16% and Lean Hogs up .91%. Softs- excluding OJ being up .40%- were a different story, with Cocoa down 3.13%, Cotton down 2.57%, and Sugar down 4.46%.

Trading Systems

Trading systems had a rough go of it last week, seeming to constantly find themselves in the wrong place at the wrong time. On the day trading side of things, a few systems had a little bit of luck, with Upper Hand ES finishing up +$165.00, Compass ES ending up +$282.50, and Compass SP up +$1425.00 on one trade. Crescendo ES and ERL struggled, finishing down -$72.50 and -$200.00 respectively.

Things were uglier for swing trading systems. Bam 90 ES pulled off a winning week, finishing up +$1055.00, and Bam 90 Single Contract ES made +$895 on one trade. Aside from that, the numbers were bad. MoneyMaker was down -$1255.00, Strategic ES down -$1404.66, MoneyBeans S down -$1985.00, and Strategic v2 SP down -$6725.00. The worst of it hit BAM 90 M Squared ES. Placing 8 separate trades, the system finished down a total of -$17,965.00 on the week.

Managed Futures

Most managed futures participants were hopeful that November would be a little kinder to the asset class than October was, and, in many ways, it was. Options sellers did pretty well, and Systematic Multi-market managers were able to latch onto some of the trends with positive results. Agricultural, Discretionary and Short-term Systematic traders, on the other hand, struggled, even if not the same extent as was seen previously.

Program

MTD**

All Time MaxDD*

Strategy Type

Global AG

7.87%

-17.57%

Agriculture

Clarke Capital Management, Inc. Worldwide

6.81%

-30.83%

Systematic Multi-market

Crescent Bay BVP

6.47%

-32.69%

Option

Bluenose Capital Management LLC - BNC BI

6.32%

-5.77%

Option

Covenant Capital Management Aggressive

5.29%

-20.41%

Systematic Multi-market

White River Group Diversified Option Writing

4.95%

-15.08%

Option

LJM Partners Ltd. Aggressive

4.42%

-63.83%

Option

P/E Investments FX Strategy - Standard

3.53%

-15.01%

Systematic Specialty

Bluenose Capital Management LLC - BNC EI

2.85%

-9.98%

Option

James River Capital Corp. - Navigator

2.71%

-18.60%

Systematic Multi-market

Bouchard Capital, LLC Short Term Multi Commodity

2.36%

-13.79%

Short-term Systematic

Clarke Capital Management, Inc. Global Basic

1.87%

-46.49%

Systematic Multi-market

FCI CPP

1.84%

-18.73%

Option

Attain Portfolio Advisors - Strategic Diversification Program

1.71%

-24.39%

Systematic Multi-market

Integrated Managed Futures Corp. IMFC Global Concentrated

1.60%

-10.31%

Systematic Multi-market

FCI OSS

1.51%

-52.73%

Option

Emil Van Essen, LLC Combined (Low Min)

1.47%

-36.21%

Spread Trading

Emil Van Essen, LLC Commodity Only (Low Min)

1.31%

-36.21%

Spread Trading

Clarke Capital Management, Inc. Global Magnum

0.28%

-41.50%

Systematic Multi-market

Auctos Capital Management

0.10%

-12.25%

Systematic Multi-market

Mesirow Absolute Return

-0.03%

-1.56%

Discretionary

GT Capital

-0.11%

-11.79%

Short-term Systematic

NDX Shadrach

-0.17%

-19.38%

Agriculture

NDX Abedengo

-0.17%

-10.28%

Agriculture

Cervino Gold

-0.18%

-6.69%

Discretionary

2100 Xenon Fixed Income Program:

-0.29%

-7.46%

Systematic Specialty

Cervino Diversified Options

-0.30%

-8.34%

Option

2100 Xenon Managed Futures (2x) Program:

-0.36%

-18.40%

Systematic Multi-market

Cervino Diversified 2x

-0.44%

-17.32%

Option

Hoffman Asset Management, INC. Managed Account

-0.53%

-19.38%

Systematic Multi-market

Quantum Leap Capital

-0.57%

-24.44%

Short-term Systematic

Robinson-Langley Capital Management, LLC Managed Account

-1.16%

-23.68%

Systematic Multi-market

Futures Truth SAM 101

-1.22%

-12.62%

Short-term Systematic

Reynoso Capital Management - Small Accounts

-1.47%

-16.05%

Option

Kottke Associates, LLC Kottke - Willis Enhanced

-1.50%

-6.11%

Discretionary

Rosetta

-1.62%

-39.67%

Agriculture

HB Capital

-2.32%

-13.79%

Option

Tanyard Creek Capital

-2.75%

-14.17%

Agriculture

Futures Truth MS4

-2.84%

-9.18%

Systematic Multi-market

Bel Air Capital Asset Management

-3.10%

-24.05%

Systematic Multi-market

Dominion Capital Management

-3.82%

-15.22%

Short-term Systematic

AFB LLC FortyEighter Gold Options

-4.67%

-44.10%

Option

Paskewitz

-10.57%

-18.21%

Systematic Specialty

 

*Max DD= A drawdown is the “pain” experienced by an investor in a specific investment. As an example, an investor starting out with a $100,000 account who sees it fall down to $80,000 before it runs back up to $110,000 saw a $20,000 loss ($100K – $80K), which would equal a -20% ($20K/$100K) drawdown. The so called Maximum Drawdown (Max DD) is the worst such peak to valley down period for an investment.

**Disclaimer: Past performance is not necessarily indicative of future results.  These performance numbers are calculated using the liquidating value of a single client at Attain trading the listed program, and are believed to be representative of all similar clients invested in the program.  A 20% incentive fee and 2% annual management fee are deducted from all profitable months, regardless of whether the program is at a new equity high.  These numbers may vary from the actual performance numbers presented by the CTA upon completing their accounting for the month gone by, and should not be considered apart from the performance numbers listed in the disclosure document for the program listed.

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.