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Managed Futures 2012 Outlook / 2011 Review

January 23, 2012


Well that wasn’t as good as we had hoped.  We will stop short of calling 2011 ugly for managed futures (2009 felt a lot worse), but it sure wasn’t beautiful.  Perhaps the best way to describe it would be blah…

We mentioned in last year’s 2011 Outlook that traditional, trend following type managed futures programs had a ‘tall order’ in front of them, where we saw it as:

“more likely the volatility expansion will come from an end to the current uptrend and eventual start of a new down trend… [which] will come with a price, as those managers currently long the existing up trend will suffer losses as those trends end…This could hurt multi market programs who rely on diversification for risk control, and fundamental/discretionary  programs who are coming off such a great year.”

This is one case where we wish we hadn’t been right, as the end result of this difficult environment was the second losing year out of the past three for managed futures as an asset class, as measured by the Newedge CTA Index*.


Of course, we would be remiss if we didn’t mention that the Global Stocks asset class, as measured by the MSCI incl. USA index*, was down –7.61%, so managed futures, even in a poor showing, still out-shone stocks by nearly 2 to 1 (Disclaimer: Past performance is not necessarily indicative of future results).

But just how rare is this managed futures underperformance? Well, none of the three major managed futures indices (Newedge, Dow Jones Credit Suisse, Barclay Hedge) has ever seen losses in two out of three years, and, indeed, 2011 closed out the worst three year period ever for managed futures (going back to 1994 when the main indices start- again, past performance is not necessarily indicative of future results).  So if you are sitting there wondering just what’s so special about managed futures after this three year slump, you’re not alone; there are a lot of investors who came into managed futures after its stellar 2008 performance and have seen little to nothing in the way of results since.

So where do we go from here? What is the outlook for 2012? Well, that is a difficult question to be sure, but our quick answer is that, given the history of managed futures indices never posting consecutive losing years, we expect 2012 to be a bounce back year for managed futures as an asset class. In fact, the average annual performance in the year following down years across the three CTA indices  and Barclay Hedge indices (this was the first ever losing year for the Newedge index) has been +9.28%, which is about 1.5 times greater than the +6.08% average annual gain across all years for these indices*.

But part of the difficulty is that we are not really trying to predict where the managed futures index will end next year, like the pundits they trot in front of the screen on CNBC at the end of the year to guess where the Dow will end the year.  Rather, we’re interested in analyzing the conditions which caused managed futures as an asset class, and different strategy types and individual programs, specifically, to perform the way they did in 2011, and discuss whether those conditions will persist in the new year, reverse course, or yield to different conditions.

So our first step in deciding what the outlook for 2012 will be is analyzing the year that was, the "blah" year of 2011 for managed futures.

2011 – The "Whole-Lot-of-Nothing" Year

2008 is often used as the "poster child" year of managed futures, where the asset class' performance in the face of stock market losses was stunning. If 2008 was the party, 2009 was the "hangover" year, where the big drop in volatility following the historic 2008 volatility caused managed futures losses, and 2010 the "rebound" year, where managed futures avoided putting in back to back losing years.

2011 can best be described as "a whole lot of nothing." There were ups, there were downs, and managed futures programs tried to capitalize on both side of these moves. But in the end, none of the moves extended far enough for managed futures to profit substantially, leaving gains here, losses there, and so on. In short, a whole lot of nothing.

(Side note- If the contrast in the performance of the four years highlighted here doesn't drive home that whole past performance not indicating future results idea, we don't know what to tell you).

This blah year saw the 2011 average monthly return across all the programs we track at -0.0033%, versus an average monthly return across all programs heading into 2011 of 1.22%. We also saw below average performance in terms of the number of programs and strategy types seeing gains, where 28 out of 61 programs (46%) on our expanded watch list were able to post positive returns in 2011.

Was volatility to blame?

Given that managed futures as an asset class is generally comprised of long volatility programs that rely on a model which risks a little on every trade in hopes of an outlier move where you make a lot more than you risked, we often relate managed futures underperformance with declining volatility.

If there was ever an exception to the rule, 2011 was it.

2011 saw volatility (as we measure it using the 250 day Average True Range (ATR)) on the rise across 44 different markets in the stock index (12), bond (8), currency (6), grain (6), energy (3), metals (3), softs (3), and meat (3) sectors). You can see in the charts below that volatility expanded (usually good for managed futures) in 34 out of 44 markets (77%), with the average ATR across all markets rising 11% (versus  a fall of -10.5% in 2009 and -7% in 2010).


Just to be sure we weren’t looking at the data incorrectly, we doubled checked our volatility readings by analyzing the volatility of the CRB index and VIX. We found that the pattern was repeated when looking at the 100 day ATR of the CRB index, which we can use as a proxy for volatility across commodity markets, and in the VIX. You can see in the chart below that the CRB Index reversed its two year long down trend in volatility around February of 2011, and is now in an uptrend. 

And if we needed further proof that there was a volatility expansion in 2011, we need only to look to the various option selling CTAs such as FCI CPP and LJM, which suffered substantial losses in the midst of rising volatility in August. There were option sellers such as BlueNose which were able to navigate the volatility rise successfully, and both CPP and LJM earned most of what it lost back by the end of the year, but when programs that sell volatility for a living have a down year; we expect programs that have a long volatility profile to do well. 


Was there volatility, but not trends?

So if volatility was expanding, how did managed futures manage to post losses?  Perhaps there was an expansion in volatility, but it wasn’t accompanied by trends? Unfortunately, there is no silver bullet to explain managed futures 2011 losses in this area either.

We took a look at the average percent of trending days across six major futures markets we track as proxies of the portfolios of managed futures programs (S&P 500, Crude Oil, Soybeans, US Dollar, 30yr Bonds, and Copper) and found that these markets were "trending" 47% of the time in 2011 (just above the  2000-2008 average).  We define trending via the ADX indicator, considering a day trending when its ADX reading is greater than the previous day.  

2011 marked the first year in the past 12 that we have had the average percent trending days above average and ended up with a negative performance for the year (enough with the firsts already) Pairing this with the above, where we have negative performance in spite of volatility expanding, and something sure doesn’t add up.


Now, in the past we’ve also looked at how many times the CRB index (a commodity price index) has crossed over its 80 day moving average during the course of the year as a proxy for how well prices extended their trends before retracing back to their moving average. The fewer times the CRB (a proxy for managed futures portfolios of different markets), crosses its long term moving average, the longer the trends are in effect and the more money managed futures can make (in theory). Conversely, the more times the CRB crosses its long term average during a year, the more chop and trendless the market environment.  

But this method of analyzing managed futures conditions proved confounding as well in 2011. The measure showed commodity prices only crossing over their long term average 7 times in 2011, as compared to 22 in 2010 and 17 in 2009 (2008 is the poster child, with just one cross over as prices plunged and remained below their long term average for months).

By all accounts, a measure of 7 here should mean profits for managed futures, so we’re once again left to ask – what is going on?


The Dreaded Snap Back (aka reversion to the mean)

So what was going on in 2011 that led to overall losses? We found one clue when digging into the data a little deeper.  There were six winning months and six losing months in 2011 for the Newedge CTA Index. Nothing earth shattering there, but when looking closer – we saw that the size of the winning months was only about 2/3 of the size of the losing months. That isn’t so strange if you are into stock investing or the like, but in the long volatility world of managed futures, where they hang their hat on the outlier winning months – that was an odd ratio to be sure. From 2000-2010, winning months were 1.3 times the size of losing months for the Newedge CTA index* (or twice the ratio seen in 2011).


And when we look even a little closer at the data, we see that the bulk of the losses in these losing months was from just two months, May and October, where the Newedge CTA Index lost more than double what it does in an average losing month, losing -4.40% and -3.70% respectively.

This pattern was repeated amongst traditional multi-market systematic programs like Integrated Managed Futures Corp. - Global InvestmentCovenant Capital Management Aggressive, and Accela Capital – which despite periods of strong performance in 2011 were unable to overcome an average loss of –5.77% in May and –5.83% in October between them. (The silver lining in the case of these top ranked programs struggling through a few months last year – they are a great value at current levels, in our opinion).

What was going on in May and October? Those just happened to include the two sharpest trend reversals of the year (if not the past several years). May saw the CRB fall -8% in just four days after setting new 2011 highs, stopping managed futures out of existing long positions on the way down. And October was a mirror image, with prices rallying 10.5% in 17 days after putting in fresh 2011 lows in the first days of the month – again stopping managed futures out of existing and newly initiated positions on the short side of the markets.

Just how bad were these periods, consider the following, where just 9 days of "snap back" in global markets caused -7.50% of losses for the Newedge CTA Index*, while the rest of the year (251 days worth) posted positive returns.


Now, one of the long standing "knocks" on managed futures is that they often give back open trade profits, but even so, the normal pattern is for outlier gains, not losses. The knock on managed futures is usually something along the following example – you made 10% in a matter of days as a market had an outlier move, then ended up only making 5% as the market slowly retraced and the program waited to get out until the trend as confirmed over.

2011 saw something different, where the outlier gains didn’t show up, and in their place were "full stop outs" because of the speed at which the reversion to the mean happened. A typical systematic managed futures program may risk around 0.75% of the account equity on any one trade, yet few trades actually end up losing that much. This is because most models only need a small amount of time in the desired direction for the moving average of prices to come down/up, thereby reducing the amount of loss (from the entry point).

We highlighted this managed futures characteristic in an October newsletter, which detailed how the "risk" in a typical trend following trade is comprised of both the risk from the entry price and the risk from the market price, and have pasted in a chart from that newsletter below showing the risk from the entry price for a fictitious short Crude Oil trade using a basic trend following model.


You can see from the chart above that the greatest risk to a typical trend following type trade (the bulk of managed futures trades) is right at the outset, where the position is at risk of a reversal and what we call a "full stop out".  And while the May snap back ate into open trade profits more than the initial risk on trades, the October snap back was close to the very beginning of trades for most managers – equaling the point of greatest risk on the trades as outlined in the graphic above. 

So, we’re left finding that the biggest reason these 2011 reversions to the mean caused such pain was the sheer speed with which markets snapped back in these two periods, taking just 3 days and 6 days to go from new highs/lows to the long term moving average (where many systematic managers consider the trend to have ended). Compare that with the more normal looking reversion to the mean period of 20 days seen in 2010 and you can see how many 2011 trades never had a chance to whittle down their risk from entry before being stopped out.

The second reason? The high correlation between markets during these moves, with the first days of May representing a “risk off” period where essentially all markets besides US treasuries and the US Dollar fell; and October a "risk on" period where the opposite was true, and all such risky assets (stocks, commodities, commodity currencies) which had been sold off were now rallying back.

Looking Forward: Volatility and % trending days in 2012

So what does the outlook for 2012 look like in regards to volatility and the trendiness of markets? And will it even matter?

We’ll start with volatility, where the prognosis is murky at best. Unlike 2009, where it was a near given volatility would contract, or 2011 where it seemed obvious 2 years of volatility contraction would reverse itself, 2012 has no obvious reading.  

With the threat of the EuroZone coming undone, a possible hard landing for China, war games with Iran, and further fireworks in the US as our debt mounts higher and higher, it seems an easy choice to say volatility will likely rise across the 44 stock, bond, and commodity markets we track. But the contrarian in us wants to think that the more likely course is a volatility contraction to counter the expansion we just lived through (77% of markets saw volatility expansion in 2011). Sure, it's easy to think we’re in for a few expansionary years in a row as there were in 2006, 2007, and 2008 before contraction came back. But it also seems unconscionable that the market will continued to be "surprised" by anything coming out of Greece in the coming months.

In the end, we’ll have to throw our hands up on this one and say we have no idea which way volatility will go in 2012, but that we’re hopeful there are at least a few outlier moves, volatility-wise, for managed futures programs to sink their teeth into.

Prime candidates for volatility expansion are bonds, which have been sitting near all time highs (all time lows in rates) for going on 4 years now despite the dramatic increase in debt as a percentage of GDP in nearly every country whose bonds are traded via a futures exchange (Germany, Japan, US) and Natural Gas, which ended 2011 near three year lows and has been acting more as a safe haven, risk-off, play than its usual high volatility self the past few years. On the flip side, prime candidates for contraction are the high fliers of this year: Silver, Gold, and perhaps Dax futures (assuming the Euro mess is less and less shocking as it plays  out).

With the average % trending days in 2011 across our six proxy markets finishing right at its long term average (again), it is (again) hard to predict whether that number will go up, down, or remain roughly the same in 2012.  With commodity prices having just crossed above their 80 day moving average on the first trading day of the New Year, we’re starting 2012 in a neutral position as far as trendiness is concerned.

That means we could go up or down from here (contrasted to the beginning of 2011 when we were in the midst of a substantial and long in the tooth up trend), and will likely do both moving forward; with several starts and stops before the market decides on a direction one way or the other based on a resolution one way or the other in Europe and a clearer picture of who will be the Republican presidential candidate. How soon such a resolution comes will go a long way to determining whether we oscillate back and forth around the long term average (bad for those looking for a trending environment).

Currency Interventions

The Wall Street Journal recently ran an article that labeled 2011 as the "Year of the Intervention", and they weren’t talking about people stepping in to get loved ones off drugs or alcohol – we’re talking currency interventions.


As the saying goes, “extraordinary times call for extraordinary measures”, and while extraordinary times and extraordinary measures may sell books or make for a good movie, they usually don’t sit well with managed futures programs- especially systematic ones. Most managed futures programs are reactive, meaning they analyze price activity and decide where the market is likely to go based on that activity. And such reactive trading does best when price discovery is natural and driven through the market process (meaning when investors and speculators bet on the market moving one way or another) Reactive trading does not do well when price discovery is affected by politics and government intervention (when price is effectively mandated instead of discovered), and such was the unfortunate case multiple times in 2011.

This interventionary environment was no doubt the cause for some of the struggles for our top rated program,  P/E Investments F/X Strategy which finished the year at essentially even after battling back from a new max Drawdown during the year.  

Consider that Japan intervened in their currency three separate times at a total cost of $165 Billion, while the Swiss successfully sent their currency from 1.40 to 1.25 in just three days (a loss of -10%). Many managed futures programs were long the Swiss franc (with one notable exception named Dighton) as it had gone from 1.06 to 1.40 in the first 8 months of the year. But instead of exiting at 1.35, or 1.30, they were subsequently stopped out a full 10% lower because of this intervention.

US Dollar/Commodity Link

If you remember back to 2009, one of the problems many managed futures programs faced was the removal of market diversification as a risk management tool thanks to the link between the US Dollar and Commodities. Think of the "risk on/risk off" trade, where nearly every asset except Bonds and the US Dollar goes up together on "risk on" days, and everything except bonds and the US Dollar goes down on "risk off" days. When everything goes up when the dollar goes down, and down when the dollar goes up, you are really in one big short US Dollar trade, not a diversified basket.  

Unfortunately, 2011 saw a return of this "risk on/risk off" mentality. We recently put together an infographic showing the recent history of the risk on/risk off phenomenon, and found 2011 to have had 32% more such days (when the average move across risky assets - stocks, commodities, foreign currencies - is up or down more than 1%) than the average number across the 10 years preceding 2011.

This "risk on/risk" off pattern seemed to hurt short term programs Dominion Capital and Mesirow Financial Absolute Return more than most, with news out of Europe swinging markets wildly from day to day, when they look for a 2-3 day continuation in prices.

The return of this pattern can be seen in the chart below, which depicts the rolling 20 day correlation between the US Dollar and CRB index (commodities) since the beginning of 2010, with the nice upwards sloping trend throughout 2010 (with the US Dollar and commodities becoming less negatively correlated) unfortunately yielding to an downward sloping trend throughout 2011 as commodity prices at times became almost perfectly negatively correlated to the US Dollar. The two circled points represent the May and October "snap backs" outlined above.


US Dollar/Commodity Link 2012 Outlook

We see this US Dollar/Commodity link unwinding somewhat in 2012 as the shock events of the past 18 months (Greece, the US credit rating, etc) become, well, less shocking to markets. As the Euro crisis grinds on, we believe many markets will learn to ignore the rumor mill and focus on their own fundamentals. Consider the difference in market reactions between the downgrade of the US credit rating versus the similar downgrade of France recently, and you can see that this is already happening to some extent – with the Euro credit downgrades mostly a non event as compared to the large sell off across risk assets when the US was knocked down one notch.

Other markets like Natural Gas (no "risk on" movement seems capable of lifting its prices when supply is so large) and Crude Oil (where threats of war and pipeline news have managed to move prices, not just the economic forecast) have lately been trading on their own merits – not just in line with the "risk on/risk off" crowd. We’re hopeful this is the start of a pattern in this direction, as a further weakening of the US Dollar/Commodity link should further improve managed futures performance through strengthening multi-market programs' market diversification risk tools and allowing fundamental traders to do what they do best – which is specific market analysis, not macro level bets on the world economy.

US Bonds – the wildcard

One market sector that pretty much did its own thing in 2011 was the US bond market (and to a lesser extent EuroDollars, Japanese Govt. Bonds, and Euro Bunds). No matter what was going on with the global economic forecast  and the "risk on/risk off" schizophrenia (world is ending, no its not, yes it is, and on and on..), bonds stayed up near all time highs for most of the year – with the managed futures programs we track generally long bond markets throughout the year.

As we noted in a newsletter earlier this year titled Managed Futures Loves Bonds, the backwardation of bond futures curves and their long history of trending upwards (especially during crisis periods) has been  boon to managed futures programs – and 2011 saw programs with heavy allocations to the bond sector, like 2100 Xenon Managed Futures (2X),  significantly outperform their multi-market and trend following peers in 2011. 

With bonds enabling some programs to outperform in 2011 and the very real possibility that rates start to fluctuate substantially at some point in the near future, we’re viewing the bond sector as the wildcard in 2012. 

Traders with a much greater pedigree than us (think Bill Gross) have been calling for the end of the bond rally, and it sure seems logical from a technical standpoint (how can they go any higher/rates lower) and fundamental standpoint (with debt-to-GDP ratios at scary levels) that US bonds will eventually sell off from their current record high levels. The catch? It may not be this year, or the next, or even the year after that. But it is coming at some point, leaving the questions of what happens to managed futures when the 30+ year up trend in bonds (rates lower) comes to an end?


In theory, it should be a good thing for managed futures, as they ride the new trend lower. But what if they find it much harder in practice than anticipated? No managed futures program has gone through a substantial rate increase period (since there hasn’t been one in 30 years), and how they react to perhaps wildly oscillating bond prices, or a surprise rate hike, or the like could go a long way to shaping managed futures returns in 2012.

Overall feelings for 2012

In closing, we feel this will be another "rebound" year for managed futures, which (per purely non-scientific logic) appear due for a bounce after putting in their worst three year performance ever. How that will come about is a mystery to us at this point, as it should be, given the fallacy of prediction.

The biggest confusion for us is taking a guess at whether global volatility expands or contracts in 2012. It looks to us like it could easily go either way, and that could be problematic for managed futures should volatility contract in 2012 after its 2011 expansion.

But, we’re also left asking whether the volatility/performance link for managed futures still applies, as it hasn’t in 2010 or 2011.  Our answer to that is a more definitive yes, where we think the relationship reasserts itself. The makeup for managed futures (risking a fixed amount while able to make a dynamic amount based on the market volatility) makes it hard, in our opinion, to escape the link between expanding volatility and good performance for managed futures for too long.

Elsewhere, we see less "risk on /risk off" days as the shocks from the Euro crisis become less shocking. A more normal relationship between the US Dollar and the rest of the "risk on" group (commodities, stocks, foreign currencies) should help multi-market systematic programs and their risk control via market diversification, as well as fundamental traders who rely on individual market/sector supply and demand perspectives.

And we see a reversion to the mean of the speed of reversions to the mean. Meaning, there should be more normal reversions to the mean in 2012 (not the -10% in 4 days we saw in May), allowing managed futures programs to ratchet down their risk as trades progress. BUT, these "snap backs" bear watching with close attention in the coming year for any evidence of a paradigm shift of sorts. If we continue to see speedy reversions to the mean, we’ll be asking questions such as: is the growth of managed futures causing a big rush to the exits at same time? Is HFT to blame?

Finally, we view the bond market as a big wildcard, which could dwarf the results from other sectors (either in a good or bad way) should we start to move off of the zero line in US fed funds and see more volatility in the bond market as traders try and guess exactly where rates will end up.

Overall, it is again a difficult race to handicap – with several of the indicators we use to gauge the managed futures environment inconclusive last year and due for their own reversions to the mean this year (in a direction contrary to what managed futures should want).

But the silver lining could be commodity prices sitting right at their longer term moving average to start the year. This means we could just as easily see gains coming from an uptick as a down trend (contrast this with last year where we came into the year needing further upside for managed futures to profit). In many ways, this is a prime starting position, as it allows managed futures to be able to profit just as easily from a quick resolution in Europe and global economy rebound, as they could from further breakdowns in sovereign debt and another run down to the 2009 lows.

What will we learn in 2012? Only time will tell, but 2012 looks to be a pivotal year for managed futures as they seek to avoid first ever back-to-back losing years. Here’s hoping to a second straight year of volatility expansion, an unwind of the "risk on/risk off" trade, less quick reversions to the mean, and a high percentage of trending days.

-          Jeff Malec, CAIA

*The mention of specific asset class performance (i.e. +3.2%, -4.6%) is based on the noted source index (i.e. Newedge CTA Index, S&P 500 Index, etc.), and investors should take care to understand that any index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship and self reporting biases, and instant history.


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Feature | Week In Review: Is 2012 picking up pace?

Most markets posted strong gains, with stock indices up across the board. The S&P 500 was up 1.70%, the Dow up 2.13%, the S&P Mid-Cap 400 E-mini up 2.45% and the Russell 2000 E-mini up 2.51%, putting each at a multi-month high. The Nasdaq achieved a multi-year high after a gain of 2.58%.

 Grains continued to bounce back from mid-month losses, with Corn up 2.00% and Soybeans up 2.49%, while Wheat saw a smaller rally of just 0.89%. Live Cattle was up 1.70% while Lean Hogs lost -0.33%. The week was strong for metals, with Silver and Palladium leading the pack up 7.29% and 6.40%, respectively. Also posting gains were Gold up 2.04%, Copper up 2.97%, and Platinum up 2.92%. Softs had the week’s biggest winner in Orange Juice up 14.11% putting it at a new all-time high. Cocoa fell by -0.44%, while Cotton rose 3.28%, Sugar rose 4.40%, and Coffee hardly budged, rising only 0.07%.

Nevertheless, there were some losers last week. In bonds, US 10-year notes were down -0.83%, and US 30-year bonds lost -2.57%. In currencies the US Dollar fell -1.69% and Japanese Yen posted a mild loss of -0.05%, while the British Pound, Euro, and Swiss Franc gained 1.56%, 2.00%, and 1.95%, respectively.

Still feeling the pressure from an unseasonably warm winter and huge surpluses in stocks, Natural Gas continued its long decline and hit a multi-year low after falling -12.25%. Crude fell -0.55% and Heating Oil was down -1.28%, while RBOB Gasoline was up 1.84%.

Trading Systems

Another slower week for trading systems, particularly on the day trading sides. PSI! TF was the lone actor, making $723.33 on one trade. On the swing trading side, it was a bit more of a mixed bag. Strategic SP was up $475, followed by Moneymaker ES up $170. Moneybeans S was not so lucky, down -$330 on the week. Strategic ES was down -$165.56 for the week.

Managed Futures

2012 continues to provide mixed performance in the world of managed futures, with option sellers continuing their streak of impressive performance while other strategies continue to falter. Short-term trend followers, generally speaking, seem to be outperforming their long-term counterparts, while specialty traders are hurting this month. The exception there have been agricultural traders, who have been performing fairly strongly. With just over a week of trading left before the month closes out, we'll be looking to see if the asset class can make the first month of 2012 a winning one.




Max DD*

Strategy Type

White River Group Diversified Option Writing




Bouchard Capital, LLC Short Term Multi Commodity



Short Term

HB Capital




Futures Truth SAM 101




Global AG




Dominion Capital Management



Short Term

Bluenose Capital Management LLC - BNC BI




2100 Xenon Managed Futures (2x) Program:




Reynoso Capital Management - Small Accounts




Crescent Bay BVP




Cervino Gold




Tanyard Creek Capital




Bel Air Capital Asset Management




Bluenose Capital Management LLC - BNC EI




NDX Shadrach




NDX Abedengo




Clarke Capital Management, Inc. Global Basic




Cervino Diversified Options




Auctos Capital Management








Emil Van Essen, LLC Combined (Low Min)



Spread Trading

Cervino Diversified 2x




Futures Truth MS4




Mesirow Absolute Return




Hoffman Asset Management, INC. Managed Account




Clarke Capital Management, Inc. Global Magnum




Attain Portfolio Advisors - Strategic Diversification Program




Emil Van Essen, LLC Commodity Only (Low Min)



Spread Trading

Integrated Managed Futures Corp. IMFC Global Concentrated




2100 Xenon Fixed Income Program:



Fixed Income

Robinson-Langley Capital Management, LLC Managed Account




P/E Investments FX Strategy - Standard




James River Capital Corp. - Navigator




Quantum Leap Capital



Short Term

GT Capital








Covenant Capital Management Aggressive




Clarke Capital Management, Inc. Worldwide











Stock Index

AFB LLC FortyEighter Gold Options






*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.


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.