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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

Attain's Semi Annual Top 15 Managed Futures Programs

January 31, 2011

 

We like to dive into the statistics after the end of each year to help answer that age old question: What’s your BEST managed futures program?  That question is always a tricky one, as depending on who is asking it, they may want to know any one of several variations on who is best. Best last year? Best for all time? Best risk adjusted return? Best in terms of lowest Drawdowns? 

Our managed futures program rankings have developed over the years into a comprehensive tool which ranks commodity trading advisors (CTAs) across over 25 different metrics measuring performance, risk, experience, and more.  The rankings are designed to measure which programs are the BEST across several statistics, then see which are consistently among the top ranked on each set of rankings - and therefore the BEST overall.

This semi-annual newsletter highlighting the Top 15 in our rankings goes a step further, however; listing the Top 5 managed futures programs across several metrics, including YTD performance, total return, lowest Max DD, Sharpe, Sterling, Sortino, and length of track record.

We list the top 5 programs in each category to not only show who has done well, but also to show that there is much more to being top ranked than just last year’s performance. We are not content to merely show you the best performers last year or a list of the top performers of all time, and instead want the rankings to reflect the risk of the program, consistency of returns, and experience of the manager as well.

THE MANAGED FUTURES (CTA) PERFORMANCE IN THE FOLLOWING TABLES SHOW COMPOSITE PERFORMANCE AS REPORTED BY EACH CTA. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

We begin by looking at the number most people fixate on – the latest year's returns – by showing which managed futures programs have performed BEST in 2010. This is unfortunately the measure most investors use to determine what investment is best for them, and the reason the year's hot CTA is usually regarded as the BEST. The downside to this analysis, of course, is that it ignores risk. A high return is nice, but at what cost. The BEST performers of 2010 were the following:

 

Top 5 CTAs by 2010 Return
CTA ProgramYTD ReturnInit Cap (000S)
Clarke Capital Management, Inc. Worldwide41.69%250
Rosetta Capital Management, LLC - Rosetta Program28.62%50
Cresecent Bay Capital Management Balanced Volatility28.49%25
Pardo Capital Limited XT99 Diversified25.29%1000
Dighton Capital CTA Ltd (Aggressive Trading Program) 25.13%100

While programs like Crescent Bay and Pardo enjoyed great years in 2010, a simple change to looking at total return over the life of the investment quickly inserts other, more traditional managed futures programs into the top 5 lists, such as Abraham Trading and Clarke Capital's Global Basic program, who despite below average performance recently remain big all time performers.  The BEST programs by Total Return have been the following:

 

Top 5 CTAs by Total Return
CTA ProgramTotal ReturnInit Cap (000S)
Rosetta Capital Management, LLC - Rosetta Program6977.77%50
Abraham Trading Company - Main Program6481.21%2000
Clarke Capital Management, Inc. Global Basic 1929.85%50
Clarke Capital Management, Inc. Worldwide 1012.27%250
Dighton Capital CTA Ltd (Aggressive Trading Program)  938.60%100

It’s easy to play devil's advocate when looking at the total return table and say how it unfairly treats newer programs and advisors. It admittedly takes a while to build up significant total return numbers, and for that reason looking at the compound rate of return may be more telling. This measure is more of a "what you might be able to expect" than a "what has happened" measure. And sure enough, you will see that the Best by Compound ROR includes "newer" managed futures programs (newer is relative in this case, with a 5yr old program newer than a 15 year old program) like Emil Van Essen and Covenant Capital.

 

Top 5 CTAs by Compound RoR
CTA ProgramComp RoRInit Cap (000S)Since
Rosetta Capital Management, LLC - Rosetta Program48.17%504/2000
Dighton Capital CTA Ltd (Aggressive Trading Program)36.16%1007/2003
Pere Trading Group, LLC Pere Trading Program33.38%1006/2005
Emil van Essen Spread Trading-Low Minimum31.71%5001/2007
Covenant Capital Management Aggressive27.64%2501/2004

Compound ROR = the annual ROR which, if compounded over the number of years in the period being analyzed, would yield the cumulative gain/loss for the program during that period

But what if we think of BEST not as the one that surpasses all others, but rather the one which is most suitable for me. The question in that case should not be, "What is your BEST Managed Futures program?" The question should be: "What is MY BEST Managed Futures program?", or in a more grammatically correct form: "What is the best Managed Futures program for me?"

To find which managed futures program is the BEST for you, a little soul searching is required. Are you interested in the absolute highest return? Lowest drawdown? Best mixture of the two, perhaps? Or perhaps you think the best managed futures program is the one which has been around the longest. There is surely something to be said for longevity. You will quickly find that different managed futures programs head many of these lists, showing that finding the BEST is an elusive target indeed.

To begin to filter things down, we must incorporate the riskiness of each CTA. Many investors look at Drawdown to get a feeling of the risk involved. But concentrating solely on drawdown is just as bad as looking only at return. For starters, a CTA could have a very low drawdown because it has only been trading for a short period of time. The BEST Managed Futures programs for 'lowest' maximum drawdown have been [please note Mesirow Financial Commodities Low Volatility and Absolute Return programs which Attain clients are invested in would still be atop this list with drawdowns less than -1.6%, but both closed to new investors in 2010]:

 

Top 5 CTAs by Lowest Max DD
CTA ProgramMax DDInit Cap (000S)
Cervino Capital Management LLC Diversified Options 1X5.93%50
NDX Capital Management Abednego Program6.53%100
2100 Xenon Fixed Income Program 7.13%500
Emil van Essen Spread/Index Program 7.28%1000
Futures Truth Company MS4 9.18%500

But as nice as it is too see a low drawdown, low risk doesn't really help if there is also no return. We can always invest in treasury bills at 0.13% per year if we want zero risk. The next logical step, therefore, is to evaluate which programs have the BEST return per unit of risk. This is accomplished through the use of several risk adjusted ratios. The first of these is the Sharpe ratio, which measures returns divided by risk (as measured by the standard deviation of returns, or volatility). The formula actually uses the amount of return over the risk free rate. Attain uses a constant of 2% as the risk free rate of return in its calculations, despite the recent drop of T-Bill rates to near 0%. The Managed Futures Programs with the BEST Sharpe ratios have been:

 

Top 5 CTAs by Sharpe Ratio
CTA ProgramSharpe RatioInit Cap (000S)
Futures Truth Company MS41.491500
Covenant Capital Management Aggressive1.179
250
Emil van Essen Spread/Index Program 1.0351000
P/E Investments FX Strategy - Standard1.0171000
DMH Futures Management, LLC1.016100

One of the problems with using the Sharpe ratio is that it punishes systems and CTAs for having a high upside volatility profile. For example, the Covenant Aggressive program had a 21.5% gain in February of 2008, which caused the volatility reading for the program to jump higher. But it can be argued that upside volatility is of no concern, as that means large positive monthly gains in the distribution of returns. Does it mean an investment is more risky if it has a huge monthly GAIN? Usually not - we think a huge monthly loss is much more important when measuring risk. There is a risk measure which eliminates the upside volatility skew from the Sharpe ratio by using the volatility of negative returns only. This measure is called the Sortino ratio. The BEST CTAs by Sortino ratio have been:

 

Top 5 CTAs by Sortino Ratio
CTA ProgramSortino RatioInit Cap (000S)
Futures Truth Company MS44.348500
DMH Futures Management, LLC3.318100
Emil van Essen Spread/Index Program3.2881000
Covenant Capital Management Aggressive2.533250
Integrated Managed Futures Corp. Global Investment Program2.3712000

The Sharpe and Sortino ratios have a flaw, however, in that they only view the volatility of returns as the main ingredient of risk. This speaks nothing of what sort of drawdown had to be encountered to get the return. As many managed futures investors can attest to, it is the drawdown period which represents the most risky part of the investment, not necessarily the volatility of returns. The Sterling ratio measures returns divided by risk (as measured by drawdown). The BEST Managed Futures programs by Sterling Ratio have been:

 

Top 5 CTAs by Sterling Ratio
CTA ProgramSterling RatioInit Cap (000S)
Rosetta Capital Management, LLC - Rosetta Program1.91350
Futures Truth Company MS41.642500
Covenant Capital Management Aggressive1.378250
Emil van Essen Spread Trading-Low Minimum1.362500
NDX Capital Management Shadrach Program1.308100

One last piece if information it is important to take into consideration is the length of track record. The above tables have looked at managed futures programs with at least 36 months of data, and measures such as the Sharpe ratio should have at least that much data, if not more. The shorter the length of a track period, the greater the margin of error in the statistics, thus how long a program and manager have been around means a lot. The longer someone has been at it, the more faith we can put in the stats. The BEST Managed Futures programs by length of track record are:

 

Top 5 CTAs by Length of Track Record
CTA ProgramTrack Record (months)Init Cap (000S)
Abraham Trading Company - Main Program2772000
Clarke Capital Management, Inc. Worldwide181250
Clarke Capital Management, Inc. Global Basic18050
Clarke Capital Management, Inc. Global Magnum162100
Pardo Capital Limited XT99 Diversified1401000

So which managed futures programs are the best overall? It again depends on what you are looking for, but those which keep popping up in the tables above should definitely be candidates. We unfortunately do not have space to list the rankings for all 25 categories we look, but the ‘flag rankings’ on our website put all of these statistics together into a single mathematically derived ranking, with 5 flags the best down to 1 flag being the worst.

All programs are ranked in each category, and then an overall ranking is computed. So a program which is ranked between #10 and #30 in each category may very well be ranked higher overall than a program which is ranked #1 in a single category, but averages in the 50s to 100s for the rest of the categories. The programs in the top 20th percentile of all rankings are awarded a top 5 flag rating, with the ‘higher’ listed program amongst two five flag ranking programs the one with a better ranking.

Without further ado, the Top 15 managed futures programs monitored by Attain as of the end of 2010 are the following:  [please note Mesirow Financial Commodities Absolute Return and Low Volatility programs which Attain clients are invested in would still be among our top 15,  but both closed to new investors in 2010 and have been removed].

 

Top 15 CTAs
CTA ProgramComp RoRMax DDSinceMin Inv 000s
Rosetta Capital Management, LLC - Rosetta Program 48.17%39.67%4/200050
Covenant Capital Management Aggressive 27.64%20.41%1/2004250
Dighton Capital CTA Ltd (Aggressive Trading Program)36.16%37.52%7/2003100
Clarke Capital Management, Inc. Worldwide17.32%26.06%1/1996250
P/E Investments FX Strategy - Standard12.85%15.01%10/20031000
Futures Truth Company MS423.35%9.18%10/2007
500
Accela Capital Management Global Diversified 16.83%18.26%7/20041000
NDX Capital Management Shadrach Program22.51%13.67%10/2006100
Paskewitz Asset Management Contrarian 3X St. Index18.32%12.18%12/2003500
Covenant Capital Management Original15.30%28.61%9/1999500
Integrated Managed Futures Corp. Global Investment Program 18.01%10.47%2/20072000
Abraham Trading Company - Main Program19.89%31.96%1/19882000
Emil van Essen Spread Trading-Low Minimum31.71%35.90%1/2007500
Clarke Capital Management, Inc. Global Magnum15.18%41.50%8/1997100
Auctos Capital Management Global Diversified 10.40%12.25%11/20071000

The tables above show who the best in each category was for the period ending 12/31/2010. The rankings are based on Attain's expanded watchlist (those programs on our recommended list plus those programs currently being monitored for inclusion on our recommended list), and do not include the entire universe of managed futures programs. Only programs with at least 36 months of data and minimum investments of $2 Million or less were included, and only a single program is considered amongst a family of programs in which all that differs is the leverage amount. For more on our ranking system, click here.


Important Risk Disclosure

The performance data for the various Commodity Trading Advisor ("CTA") and Managed Forex programs listed throughout this website 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.

The reported performance is generally calculated as a composite of all accounts trading the same program. This ‘averaging’ of individual account performance can cause individual performance to be higher or lower than the reported composite performance depending on several factors, including the start date, commission and fee levels, and investment amount and duration.

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.

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 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.

While the information and statistics given are believed to be complete and accurate, we cannot guarantee their completeness or accuracy. Attain has not undertaken to verify the completeness or accuracy of any of the information and statistics provided by third parties. As a term and condition of your use of this website, you expressly hold harmless and waive any claim you have or may have as a result of any of the information and statistics provided on this website being incomplete or inaccurate.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

 

IMPORTANT RISK DISCLOSURE


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Feature | Week In Review: All eyes on Egypt...

Two conflicting stories made for an interesting marketplace during the past week with strong earnings and constructive economic news in the U.S. being met head on with geopolitical unrest in the Middle East. The beginning of the week was filled with optimism as another round of upbeat earnings and decent economic numbers help aid a move to news 29 month highs in most stock indices. The State of the Union speech from President Obama and comments by the FOMC also aided the cheer in most sectors, although some areas in commodities start to feel the effects of oversupply and another round of Chinese plans to put the brakes on inflationary pressures.

That all changed late week with unrest in Egypt culminating in street battles between government forces and civilians with worries those tensions could escalate into neighboring countries. The change in tide had an unnerving effect on equity markets worldwide and also sparked worries of commodity shortages with the Suez Canal in such close proximity. Overall market activity ended mixed, but there were a couple of areas that continued recent trends with Lean Hogs +5.83% on export barriers being removed by some Asian countries. Cotton +4.98% and Sugar +4.98% were also strong performers based off of continued worries of very tight world supply scenarios.      

The livestock and food area ended generally higher with worries of supply shortages stemming from the unrest in the Middle East supplying the power for price appreciation despite Chinese overtures of further efforts to reign in inflationary pressures. The balance of the complex had Cocoa +2.92% followed by Coffee +1.91%, Wheat +0.15% and Live Cattle +0.10%. OJ -4.66%, Corn -2.01% and Soybeans -1.11% were pressured by changing ideas for their prospective upcoming crop seasons sizes.    

Energy futures put in a brilliant performance considering early week lows were nearing late November levels, but then turned on a dime when protests in the Middle East turned violent prompting worries of supply disruptions. For the week Heating Oil added +1.50% followed by RBOB Gasoline +0.30% and Crude Oil +0.26%. Natural Gas -8.86% fell on burdensome supplies.   

A mostly higher scenario played out in Metals with industrials leading the way on constructive economic data in the U.S. and strong consumer price activity in China. Silver+1.79% led the rally followed by Copper +1.51%, Palladium +0.03%. Platinum -0.95% and Gold -0.07% finished just below unchanged levels.      

Stock Index futures posted a 29 month high in most sectors early week with strong earnings, promising economic reports and constructive commentary by President Obama and the FOMC. By the end of the week the marketplace was reeling as unrest in the Middle East helped erased the strong advance leading to heavy losses by Friday’s close. Mid-Cap 400 futures +0.41% and Russell 2000 futures +0.38% did manage to eke out a higher close for the week. S&P 500 futures -0.64%, Dow futures -0.40% and NASDAQ futures -0.04% were not able to overcome worries from the rioting.    

The rebalancing act in currency futures was thrown for a loop by the Egyptian rioting as investment money fled anything tied to Middle East financing as the British Pound -0.86% led the way down followed by U.S. Dollar Index  -0.11% and Euro -0.07%. The Swiss Franc +1.72% and Japanese Yen +0.52% benefitted from the uncertainty of the escalating situation.     

The Rate complex moved back to a safe haven status with the unrest coming to a head in the Middle East with 30-Year Bond futures up +0.92% and 10-Year Note futures ending +0.83%.   

Managed Futures

We hate to say we told you so; but… we told you so. After a scintillating fourth quarter that saw many multi-market programs hit new equity highs; the first month of 2011 has not been so hot. Large trend reversals in metals, stock index futures, dollar index, and the lack of movement in the bond markets has made life tough on multi-market programs so far this year. At the end of December (on our managed futures blog) we predicted that multi-market traders were due for a rough stretch, and that it may not a bad time to sweep profits. Unfortunately, it looks like we made the right call on this one with most programs set to report negative performance numbers in January.

We’ll have better estimates tomorrow when the final numbers of the month hit the books; however as of right now it appears that the following programs will end the month in the black: Attain Portfolio Advisors Modified +0.65%, Attain Portfolio Advisors Strategic Diversification +0.51%, Robinson-Langley Capital +0.17%, and Auctos Capital Management +0.10%.  Multi-market programs in the red include Dighton Capital CTA Ltd -0.57%, Futures Truth MS4 -0.88%, Clarke Capital Global Magnum -0.90%, Clarke Capital Global Basic -1.58%,2100 Xenon Managed Futures (2X) -2.98%,  Integrated Managed Futures Global Concentrated -3.33%, Covenant Capital Management Aggressive -7.74%, Hoffman Asset -11.36%, and Clarke Capital Worldwide -12.00%.

Short-term traders did not perform much better than their long term counterparts as GT Capital +1.87%, Futures Truth SAM 101 +0.79%, and Mesirow Absolute Return +0.06% appear to be the only programs on the verge of finishing in the black in January.  Those in the red include: Mesirow Low Volatility -0.17%, Dominion Capital Sapphire -0.79%, DMH -0.88%, Accela Capital Short Term -1.95%, Applied Capital -2.54%, Bouchard Capital -2.65%, and Quantum Leap Capital -3.04%.

In short- term stock index trading, the Paskewitz Asset Management Contrarian 3X St. Index program looks to have started the year off on a good note at +0.76%. Although, the Roe Capital Monticello Spread -3.97% and Roe Capital Management Jefferson Index -4.03% did not fare as well.

Currency Manager - P/E Investments Standard, has started the year off slow as well at -2.49% heading into today. 

As with any market, there are two sides to every trade and for option trading managers trading a diverse set of markets many have been enjoying the commodity market selloff.  The top performer MTD has been FCI OSS which is ahead +4.04% after a difficult 2nd half of the year in 2010 left the program ahead only +0.85% for the year.  Others in the black for January include: HB Capital +4.02%, FCI CPP +3.80%, ACE SIPC +1.92%, Crescent Bay PSI +0.98%, and Clarity Capital +0.81%. 

Option managers down for January include Cervino Diversified Options -0.47%, Cervino Diversified 2x -0.64%, Crescent Bay BVP -1.88%, Liberty Funds Group -2.02%, White River -4.04%, and ACE DCP -16.07%.

Finally, specialty market managers are having a mixed start to the year with performance ranging from +10% to -10%.  On the plus side, has been Emil Van Essen who is ahead an estimated +10.42% in January.  The program has successfully recovered from their new max drawdown we reported as an opportunity to buy into back in December (see 12/3/10 blog post here).  Other positive returns are being posted by Agriculture specialist Oak Investment Group +6.61%, Global AG +3.92%, and Rosetta +3.25%.  Agriculture losses are being posted by NDX Capital Abednego and Shadrach to the tune of -3.74% and -10.96%.  NDX is best known for their focus on the Lean Hog market and according to the manager, “the hog market historically reaches a top sometime between late Dec and January, so he is looking for a seasonal top soon”.  Lastly, gold specialists AFB Forty Eighter is down -1.16% while Cervino Gold is down -6.94%.  Fixed Income specialist 2100 Xenon is -0.57% for January.

Trading Systems

Last week day trading systems fared really well while swing systems struggled. There were some nice trending moves during pit hours that the day trading systems took advantage of. Swing systems weren’t as lucky with many systems getting caught short when the market rallied upwards or some systems getting long but getting hurt by the reversal in the overnight markets.

Leading the way on the Swing side of things was Bam 90 ES. Bam 90 got long on the 19th and then added onto its position on the 20th. From there it stayed long till Wednesday last week. At the high of the day on Wednesday, Bam 90 exited its long position and reversed short. It didn’t stay short for long however, by Thursday afternoon Bam 90 had exited its short position and gotten long. For the week Bam 90 ES made $4,760.00. Other results in the green included Strategic ES at $210.00, Strategic SP at $934.63, and MoneyBeans S at $1,257.50.

Some systems are still waiting to break out of the 2010 funk. AG Mechwarrior ES entered the week short. Unfortunately, the eMini S&P 500 market had rallied since Friday and Mechwarrior took its losses and reversed long on the Monday open. On Tuesday, the market opened 5 points higher from where Mechwarrior had gotten long but then the market sold off and Mechwarrior got out of the trade near where it entered. For the week AG Mechwarrior ES lost -$272.50. Other results in the red included Moneymaker ES -$5.00, Bam 90 Single Contract -$142.50, Waugh CTO ERL at -$190.00, Bounce ERL at -$270.00, Bounce Filter ERL at -$360.00, Jaws US 400 at -$655.00, Bounce EMD at -$730.00, and Jaws US 60 at -$840.00.

Things were prettier on the day trading side. Compass ended the week on a strong note with a short trade on Friday. Compass issued a sell signal near noon and benefited from the sell off that continued throughout the day. For the week Compass SP made a profit of $1,075.00 and Compass ES made $152.50. Other profitable systems included PSI! ERL at $240.00, Clipper ERL at $260.00, BounceMOC ERL at $260.00, and Waugh ERL at $310.00.

By itself on the downside last week was BounceMOC EMD at -$100. It traded only once during the week and that was on Monday. Bounce had gotten long near the middle of the day, unfortunately the Mini Midcap market didn’t move much rest of the day and sold off near the close causing BounceMOC to lose money. 

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.