Sign Up

Managed futures newsletter


Sign up now to receive our   free newsletter

Click here to gain free access. Build portfolios, set watchlists, and view more data and statistics.

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

Where does volatility go from here?

August 17, 2009

 

The 2% sell off in US stocks stole our thunder a little bit today....as we were all set to talk about how a correction was due any day now with market volatility as measured by the CBOE’s VIX index having fallen by more than 74% since its October 2008 peak.  

 

This 74% decline is a somewhat significant number, in our opinion, as the VIX has only declined that much two other times in the past 20 years.  Both times signaled a volatility spike was in the not too distant future, but knowing just when that spike will happen is anyone’s guess. The first time saw a spike 156% higher just 5 months later, and marked the low in volatility for the next 10 years as volatility steadily increased for the first 8 of those. The second time saw volatility basically stay at those low levels for another two and a half years (with a 114% higher spike 18 months later) before spiking dramatically to the all time highs in October 2008.

 

What will this time bring?

 

Date Drop Subsequent Spike
Sep 90 - Dec 93 -74.49% 156% - 9 months later
Aug 02 - Dec 04 -75.29% 114% -18 months later
Oct 08 - Jul 09 -74.31% ?? ??

 

What is the VIX? The VIX is a measurement of sentiment on U.S. equities that the CBOE introduced in 1993. Derived from S&P 500 index options prices, the VIX is designed to reflect investors' consensus view of stock market volatility over the next 30 days. For the more technically inclined, the VIX represents the implied volatility of a hypothetical at-the-money OEX option.

 

Because investors buy protective puts in droves when the market is in a steep decline to protect from further declines in their portfolio's value, a high VIX reading usually represents increased investor fear and occurs during times of market turmoil. A low VIX reading implies everything is rosy, and investors are getting complacent in their need to buy protection against declines.

Positioning yourself for what lies ahead:

We don’t know where the so called “market” is headed. Some clients I speak to believe the recent rally was just a bear market rally and we’ll soon return to the March lows. Others think the worst is behind us and we’ll be marching higher in US stock indices just like we did from 2002 through 2007.

Making and educated guess on where the market is heading is your job as an investor. Finding the investments which should do well if your vision comes to fruition is ours.  But how can we know what will do well in which sorts of environment with any certainty? Unfortunately managed futures are an absolute return vehicle, which means they don’t perform just because an underlying market or index is up for the year. While that can be frustrating at times, it is this very independence which allows managed futures to outperform during times of market stress such as last year.

We can tell you with some certainty that systematic programs such as Clarke Capital and Attain Portfolio Advisors should do well in times of higher volatility such as 2007 and 2008; and that option selling programs such as FCI and Cervino should do well in times of low volatility such as 2005 and 2006.

But the first half of this year has shown that there is more to volatility than just the absolute level – there is the slope of the reading, or put another way, whether it is increasing or decreasing. A high volatility may be good for some programs, but perhaps it is not if that high reading is lower than the previous month’s reading, or lower than the 12 month average of VIX readings.

To begin our testing, we created our own type of VIX reading which was an average of the monthly open, high, low, and closing values. This allows each facet of the VIX reading to come into play, especially spikes which can be missed when looking at just monthly closing levels of the VIX.

We then took a 12 month average of this special VIX, and plotted the difference in the current reading versus the 12 month average to determine whether the VIX was in an increasing or decreasing mode. If the current reading was greater than the 12 month average, we considered the VIX as increasing, and if the current reading was less than the 12 month average, we considered the VIX as decreasing.

Armed with this data, we were able to define 8 different market environments which are possible over the next 12 to 24 months, and then measure the performance of 40 CTAs and trading systems on our recommended list with at least 3 years of data against similar periods in the past to see which should do well if that period returns in the future.

We then ranked each program in each environment by comparing the average rolling 12 month rate of return during each environment to each program’s average rolling 12 month rate of return across all environments. If a program performed twice as well, on average, than it did normally in a certain environment, it would earn an improvement score of 2. If it did half as well, it would earn a score of .50,  and so on.

[please note, the trading system results herein are calculated using hypothetical model accounts. Please see the important hypothetical results disclaimer below]

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

High VIX:

The traditional method of thinking about volatility and managed futures is to say, do they do well in high volatility, low volatility, etc.?  Taking this traditional approach leaves a little to be desired, as who is to say what “high” volatility is? Does that mean higher than the previous month, or higher than historical averages? We took a stab at defining high volatility as a VIX reading over 30, which has happened in roughly 48 out of the 240 months over the past 20 years.  The VIX dipped below 30 recently, but could easily live between 30 and 40 over the next few years as we work our way out of this financial crisis, in our opinion. If you think we’re not out of the woods in terms of housing, unemployment, a recession, too much US debt, and so on – it’s likely any pain those problems bring will show up in spikes in the VIX over 30. The best programs when the VIX has been over 30 have been two volatility craving trading systems, and three systematic managed futures programs – lending credence to the notion that most systematic programs have a long volatility profile.

 

VIX Above 30
Program Improvement Avg 12mo Rolling ROR
During VIX > 30
First Month of Results
AG Mechwarrior ES (cg) 5.05
41.96% 211.78% 10/1997
Compass SP (cg)
2.49
55.06% 137.32% 3/2000
NuWave Investment Corp
1.89
20.16% 38.07% 6/2001
Meyer Capital Management 1.48 14.07% 20.79% 1/1999
Quantum Leap Capital Management
1.46 60.66% 88.61% 1/2006

(cg) = hypothetical model account performance using computer generated fills

12mo avg VIX > 30 from 9/98-9/99, 9/01-12/01, 8/02-8/03, 10/08-7/09 

Low VIX:

What about the opposite case? What if Bernanke, Obama, and Geithner wrap up the financial crisis so smoothly that they literally do away with fear and panic in the financial markets. There is already 75% less fear than last October according to the VIX, so its not hard to believe they could push it down a little further.  Without any uncertainty or surprise rate hikes, bankruptcies, etc. – there is nothing to panic about and no volatility spikes. If the government can keep a lid on surprises and panic, the VIX could remain below 30 and even challenge the 2006 lows.  The market has had two long spells where the VIX remained below 30, one between 1991 and 1998, and again between mid-2003 and the end of 2007. The best programs during periods when the VIX has been below 30 have been.

 

VIX Below 30
Program Improvement Avg 12mo Rolling ROR
During VIX < 30
First Month of Results
Crescent Bay Capital Management Premium Stock Index 2.19
6.11% 13.40% 10/2005
FCI Option Selling Strategy 1.42
26.07% 37.12% 7/2004
DMH Futures Management 1.32 23.02% 30.33% 9/2006
Cervino Capital Management Diversified Options 1X 1.25 7.70% 9.65% 1/2006
Claughton Capital
1.21 14.29% 17.31% 9/2005
 12mo avg VIX < 30 from 12/94-8/98, 10/99-08/01, 1/02-7/02, 9/03-9/08

Increasing Volatility:

What if we have a jobless recovery, or an end to the recession at the cost of higher inflation? Such contradictory events could keep volatility below the record levels of last year, but rising none the less.  As mentioned above, it isn’t just whether volatility is high or low for many programs. Whether it is increasing or decreasing is just as important. Increasing volatility simply involves a period in which the VIX moves higher, with monthly readings above the 12 month moving average of readings.  That could be periods such as 1994 through 1998 when the VIX was low (averaging about 15) but increasing throughout that time from a low of 9 to a high of 38.  The top programs in terms of improvement over their averages during periods of increasing volatility were:

 

Increasing VIX
Program Improvement Avg 12mo Rolling ROR
During Increasing VIX
First Month of Results
Compass SP (cg)
1.50 55.06% 82.55% 3/2000
AG Mechwarrior ES (cg)
1.48 41.96% 61.90% 10/1997
Clarke Capital Management Worldwide
1.43
19.13% 27.29% 1/1996
Clarke Capital Management Global Basic 1.39
34.83% 48.41% 2/1996
Attain Portfolio Advisors Strategic Diversification
1.38
15.52% 21.49% 5/2004

(cg) = hypothetical model account performance using computer generated fills

12mo avg VIX increasing from 12/94-3/95, 3/96-8/99, 1/01-2/02, 8/02-7/03, 7/06-10/06, 3/07-7/09

Decreasing Volatility:

What if the next three or four years is like the ultra low volatility period of 2003 through 2006, where the VIX forms a curving bottom over several years by decreasing bit by bit month after month as the fears surrounding the 2008 financial crisis fade into history. Such a scenario could be the result of continued low interest rates (no volatility around rates = no volatility around investments relying on those rates), or again due to a steadily rising stock market. The top programs during periods of decreasing volatility are in the following table. We’re not surprised to see option sellers such as Crescent Bay and FCI in this list, as they are in the business of selling volatility. But we were intrigued by discretionary traders Mesirow and Dighton in the list of programs which should do better than normal during decreasing volatility. 


Decreasing VIX
Program Improvement Avg 12mo Rolling ROR
During Decreasing VIX
First Month of Results
Crescent Bay Capital Management Premium Stock Index 3.77 6.11% 23.04% 10/2005
FCI Option Selling Strategy 1.78 26.07% 46.30% 7/2004
Strategic Bonds (cg) 1.60
25.49% 40.66% 12/2001
Mesirow Absolute Return Strategy
1.54 18.65% 28.72% 6/2005
Dighton Capital USA Aggressive Futures Trading
1.40 49.50% 69.47% 7/2003

(cg) = hypothetical model account performance using computer generated fills

12mo avg VIX decreasing from 4/95-2/96, 9/99-12/00, 3/02-7/02, 8/03-6/06, 11/06-2/07 

Combinations:

What if the future isn’t so cut and dry as the simple environments of increasing/decreasing volatility, above 30/below 30 VIX? What about periods like the one we’ve been in since the beginning of the year where the VIX is above 30, but decreasing at the same time? That is seemingly a contradiction, but the past six months are living proof that it is possible. Another combination to consider is increasing volatility, but with a VIX reading below 30. Do long volatility programs need the higher volatility readings and spikes, or do they merely need the volatility to be increasing? Likewise, do option sellers need volatility to be low, or can it be high and decreasing?

The following tables shed some light on these different combinations, and show some interesting names.  Dominion Capital and NuWave, for example, like the VIX above 30 so much, they don’t seem to be affected by it increasing or decreasing.  And names like Clarke Capital and Attain Portfolio Advisors, which we would perhaps expect to see struggle when the VIX is below 30, actually do better than average when the VIX is that low, as long as it is in an increasing pattern.

 

VIX Above 30 & Increasing
Program Improvement Avg 12mo Rolling ROR
During VIX > 30 & Increasing
First Month of Results
AG Mechwarrior ES (cg) 5.05
41.96% 211.78% 10/1997
Compass SP (cg)
2.49
55.06% 138.12% 3/2000
Dominion Capital Management 1.97 8.44% 16.61% 5/2005
NuWave Investment Corp 1.91 20.16% 38.07% 6/2001
Meyer Capital Management 1.48 14.07% 20.79% 1/1999

(cg) = hypothetical model account performance using computer generated fills

12mo avg VIX >30 and increasing from 9/98-8/99, 9/01-12/01, 8/02-7/03, 10/08-7/09 



VIX Above 30 & Decreasing
Program Improvement Avg 12mo Rolling ROR
During VIX > 30 & Decreasing
First Month of Results
AG Mechwarrior ES (cg) 1.99
41.96% 83.57% 10/1997
Dominion Capital Management 1.34
8.44% 11.28% 5/2005
NuWave Investment Corp 1.24 20.16% 24.90% 6/2001
Rosetta Capital Management
1.23 71.51% 88.16% 4/2000
Quantum Leap Capital Management 1.21 60.66% 73.66% 1/2006

(cg) = hypothetical model account performance using computer generated fills

 12mo avg VIX >30 and decreasing from 4/95-2/96, 9/98-12/00, 3/02-6/06, 11/06-2/07, 10/08-7/09



VIX Below 30 & Increasing
Program Improvement Avg 12mo Rolling ROR
During VIX < 30 & Increasing
First Month of Results
Clarke Capital Management Global Basic 1.55
34.83% 53.96% 2/1996
Attain Portfolio Advisors Strategic Diversification 1.43
15.52% 22.25% 5/2004
Clarke Capital Management Worldwide 1.41 19.13% 26.91% 1/1996
DMH Futures Management 1.36 23.02% 31.25% 9/2006
Paskewitz Asset Management 1.23 27.78% 34.21% 12/2003
 12mo avg VIX < 30 and increasing from 9/94-3/95, 3/96-8/98, 1/01-8/01, 1/02-2/02, 7/06-10/06, 3/07-9/08


VIX Below 30 & Decreasing
Program Improvement Avg 12mo Rolling ROR
During VIX < 30 & Decreasing
First Month of Results
Crescent Bay Capital Management Premium Stock Index 2.19
6.11% 13.40% 10/2005
FCI Option Selling Strategy 1.42 26.07% 37.12% 7/2004
Cervino Capital Management Diversified Options 1X 1.25 7.70% 9.65% 1/2006
Claughton Capital 1.21 14.29% 17.31% 9/2005
Strategic Bonds (cg) 1.20 25.49% 30.53% 12/2001

(cg) = hypothetical model account performance using computer generated fills

12mo avg VIX < 30 and decreasing from 4/95-2/96, 9/98-12/00, 9/01-12/01, 3/02-6/06, 11/06-2/07, 10/08-7/09 

At the end of the day, ask yourself what sort of environment you believe the stock market is going to go through over the next 12 to 24 months. We know most managed futures programs are lowly correlated with the stock market by design, but the volatility readings of the stock market (while not perfect) are as good of a reading on global volatility across all of the markets CTAs deal with we’re going to get.  So, given that environment, what do you think that will do to volatility readings via the VIX?  From there, we can help you identify programs which should do well in such an environment, and programs you should look to avoid.

If you have no idea what is coming down the pike….here are the three programs which had the least amount of variance between their readings; meaning they didn’t see a great deal of better or worse performance no matter the environment.

Strategic AG Grains

Paskewitz Asset Management

Claughton Capital

 

  -          Jeff Malec

 

Important Risk Disclaimer

Managed futures accounts can subject to substantial charges for management and advisory fees. The above numbers 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.

The rates of return above represent only the listed period (i.e 12mos, 36mos, 5yrs, 10 yrs). The rates of return for periods longer than the period shown may be higher or lower than those shown. Investors interested in investing with any of the trading programs referenced above will be required to receive and sign off on a disclosure document in compliance with certain CFTC rules. The disclosure document 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 performance of accounts under the CTA's management over the most recent five years. Investors 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.

The percentage returns above are hypothetical in that they represent the percentage returns experienced in a model account.

The model account rises or falls by the hypothetical single contract profit and loss of trades generated by the system's trading signals over the test period. The hypothetical model account begins with the initial capital level listed, and is reset to that amount each month. The % returns reflect inclusion of commissions, fees, and the cost of the system. Commission and fee cost = # of monthly trades * $50.00 ($30 for eminis). The monthly cost of the system is subtracted from the net profit/loss prior to calculating the % return. For systems with one time purchase costs, the monthly cost is calculated by dividing the purchase cost by the number of months in the reporting period.

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 participation (whether or not all signals are taken) in the specified system, and money management techniques.

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.

THESE PERFORMANCE TABLES AND RESULTS ARE HYPOTHETICAL IN NATURE AND DO NOT REPRESENT TRADING IN ACTUAL ACCOUNTS.

 

IMPORTANT RISK DISCLOSURE


No Yes Was this article particularly interesting or helpful to you?

No Forward this email to a friend who might find it useful.

Not on our mailing list? Sign up now to receive this weekly newsletter.

Feature | Week In Review: Sugar powers higher, while stocks & grains pull back

Overview

The recent upward trend in most stock index futures and commodities had a pause during the past week as most sectors experienced a corrective structure during the past week. The main market moving topic for the week was the August FOMC meeting which other than stating short term rates could remain lower than originally anticipated did not veer much from recent meetings. On the economic front most reports seemed to be near pundit expectations until the end of the week when a much weaker than expected consumer confidence reading was unveiled which quickly turned strong bids into heavy offers. The biases in other sectors seem to weaken as well as other commodities seemed to reflect a price structure of supply and demand instead of hanging on every move of the global stock indexes. The energy sector was one that seemed to take a cue from a fundamental structure that has continued to show abundant inventories with excess refining capacity and the price activity during the past week reflected this story. With energy stocks levels running very high for this time of the year price pressures were in force led by Natural Gas futures -11.87% followed by Crude Oil futures -2.13%, Heating Oil futures -3.72% and RBOB Gasoline futures -3.49%.   

Weaker price activity was also seen in the Commodity and Food sectors as anticipation of heavy production continued to weigh on the Grain and Livestock markets. The Soft arena turned mostly soft during the past week as the recent run up was met by profit taking and ideas that improving world economic conditions could stall in light of weaker economic data in the U.S. late week. For the week Coffee -6.13% led the decliners followed by Soybeans -5.49%, Cotton -2.10%, Wheat -1.39%, Lean Hogs -0.89%, OJ -0.86%, Live Cattle -0.64% and Cocoa -0.60%. The Sugar +5.62% was the lone bright spot for the sector as near shortage levels in India and the surrounding region continue to be a cause of concern.                 

The metals complex was a mixed bag as the worrisome U.S. economic inputs from the past week sparked a corrective phase in products such as Gold -1.13%, Palladium -0.61% and Platinum -0.54%. Recent positive developments in the manufacturing sector continued to support some of the industrial metals with Copper +1.83% and Silver +0.37%.     

Activity in the currency arena was again fairly subdued, but the dip in the latest consumer confidence readings did initiate slight pressure in the U.S. Dollar index futures -0.13%. The developments from the FOMC meeting indicating a longer period of lower rates supported the balance of the with Japanese Yen +2.79% leading the way followed by the Swiss Franc +0.88% and the Euro +0.13%. The FOMC news along with better than expected results from a recent 30-year bond auction prompted positive action in both the 30-year Bond futures  +2.74% followed by the 10-year Notes +2.44%.       

Stock Index futures experienced a slight setback during the past week as worries that consumers are becoming more reluctant spenders after a brief spending period kept the marketplace on edge for most of the week. The news seemed to confirm the weaker retail figures from earlier in the week which caught investors a bit off guard especially after several weeks of friendly releases. Next week’s reports will see results from several areas of the economy and could prove to be a defining moment of the recent historical rally the sector has experienced. For the week Russell 2000 Futures ended -0.53% followed by NASDAQ futures -0.29%, S&P 500 futures -0.06%, Mid-Cap 400 futures -0.06% and Dow futures -0.04%.           

Managed Futures

Those that follow the managed futures space know that 2009 has been a tough year on multi-market style CTA’s.   Both systematic and discretionary managers have had trouble making money in what can best be described as whipsaw markets. Sustained trends have been few and far between, and market volatility remains historically high.  However, after two weeks of trading the early returns in August are showing signs of improved performance on the horizon.  Markets like Sugar, Wheat, and Soy Meal have all provided ample trading opportunities for programs to take advantage and thus far the early returns are promising. 

Integrated Managed Futures Global Concentrated at +7.41% est. continues to lead the pack in August with profitable trades in the softs, grains, and treasury sectors.   This is the fourth month of profitable trading for this program which is a derivative of the larger Integrated Managed Futures Global Investment Program.   Another newer manager to Attain that has had a good start to August is Dominion Capital Management whose Sapphire Program is up approximately +2.12% this month.  The Sapphire Program has been trading live since 2005 and for Attain clients since June of this year.

Other managers in the black thus far in August include Robinson-Langley Capital Management at +1.64% est., Lone Wolf Investments LLC Diversified +1.38% est., Attain Portfolio Advisors Modified +1.20% est., Attain Portfolio Advisors Strategic Diversification +0.96% est., and Dighton Capital USA Aggressive Futures Trading +0.26% est.

Managers who have had a slightly slower start to the month include Mesirow Financial Commodities Low Volatility -0.13% est., DMH -0.31% est., Mesirow Financial Commodities Absolute Return -0.46% est., Futures Truth Co. MS4  -1.02% est., Hoffman Asset Management -2.56% est., Clarke Capital Global Magnum -6.52% est., and Clarke Capital Global Basic -10.83% est.

Short-term stock index traders have had mixed performance in August with Paskewitz Asset Management Contrarian 3X Stock Index climbing a bit at +0.03% est., while MSLO is down at -2.12% est.

Option Trading Managers performance has remained mixed thus far in August with Index Option Managers outpacing their diversified counterparts.  Ace Investment Strategist is the current top performer with an estimated gain of +2.19%.  Ace has long been reviewed as one of the most aggressive Option Managers on the block with a compounded Rate of Return of 20.34% and maximum drawdown of -69.54% (2008) since its inception in October 2001.  Bottom line - use extreme caution when investing with ACE and DEFINITELY diversify!

Other Option estimates for August are as follows: Cervino Diversified 1x -0.35%, Cervino Diversified 2x -0.77%, Crescent Bay PSI +0.77%, Crescent Bay BVP -1.14%, FCI OSS -4.06%, FCI CPP -1.99%, Raithel Investments +0.47%, and Zephyr Investment Group -2.82%.

Specialty Manager performance has also remained mixed.  Emil Van Essen’s Spread Trading Strategy has remained the top performer in this category with an estimated return of +0.81% - the minimum investment for this strategy is $500,000.  Elsewhere, NDX Abednego and Shadrach are break even for the month and Rosetta Capital is down -1.17%.

Trading Systems 

Trading systems struggled last week as a slew of economic reports whipped up some choppy trading conditions. Day and swing systems were equally affected by the market gyrations but at least a few of the day trading systems closed the week out above water vs. the swing systems which all finished in the red.

Beginning with the day trading systems, Rayo Plus 2130 Dax and Rayo Plus 1815 Dax were leaps and bounds ahead of the rest of their peers +3,142.5€ and +2,677.5€ for the week. Two other programs that took a step in the right direction were Clipper ERL +$210 and PSI ERL +$130. Moving in the opposite direction were the following: ATB TrendyBalance v2 Dax -257.5€, ATB Welcome v2 Dax -1,132.5€, BetaCon 4/1 ESX -40€, Compass SP -$1,300, Freedom ES -$477.50, Rayo Plus Dax -1,840€, Upper Hand ES -$652.50 and Waugh ERL -$298.89.

Transitioning over to the swing programs, there was no silver lining among the programs that can and will hold positions overnight. AG Mechwarrior lost -$260 on two trades, Jaws US 400 lost -$1,233.13, Strategic ES lost -$127.5, Strategic SP -$975 and Ultramini ES -$417.50.

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.