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Attain Capital's Semi-Annual Top 15 Blog Posts
June 20, 2011
Since 2002, Attain has dedicated themselves to the cultivation of quality managed futures education and research - putting out this Monday newsletter nearly every one of the 400+ Mondays since we opened our doors.
Believe it or not, this type of work every Monday hasn’t left us tired or out of ideas – but instead has resulted in even more topics than we can cover on a weekly basis. Enter the Attain Capital Managed Futures Blog, where we are able to share the ‘extra’ topics we run into on a daily basis.
Many of you may cringe at the term blog, conjuring up images of some young video game prodigy sending out ways to beat the game, or a cook sharing recipes, or a tabloid type rumor mill covering celebrity doings- all saturated with foreign and confusing terminology (LOL omg J/K brb).
But for Attain, our blog is nothing more than the place we put all of our extra research, thoughts on current events/markets/etc., alerts on managers at new max drawdowns or equity highs, and so on. It is the same conversations we are having in the office with each other and clients each day, put down on ‘paper’ and posted for the world to see.
Our blog is our way of sharing our thoughts on everything in and around managed futures and trading systems. This is the new world of technology, where we can ‘converse’ with hundreds of people daily via the blog without actually conversing on the phone or in person.
What kind of conversations do we have on the blog? You’ll find responses to industry criticisms, information on managed futures investing opportunities, commentary on major market movements and more. We try and ‘talk’ at least once a day during the week, and you can subscribe to the blog to receive the posts in your inbox.
So, don’t let the term “blog” fool you into thinking it’s a stream of incessantly mind-numbing babble in some language developed by freshly driving teens. It is little more than a place to do more reading on a subject you are interested in, and – if the mood strikes you – comment on what you do read there.
As an example of what you can read on the Attain Managed Futures Blog, we have posted excerpts of our 15 most popular blog posts thus far in 2011 below:
Attain maintains strong relationships with all of our recommended CTAs. Upon hearing of the recent passing of Rosetta Capital’s Mike Swinford, we posted this piece to commemorate his life.
We at Attain are truly sad to report the passing of Mike Swinford. Co-founder of Rosetta Capital Management and futures market guru of over 30 years, Swinford has long been an asset to the managed futures space, with a resume boasting involvement with names like Heinold, Saul Stone & Company, Balfour Maclaine, Kottke, and others. Rosetta, founded with partner Jim Green, has been on our list of recommended CTAs for over three years.
But a list of titles and dates doesn’t quite do Swinford justice. Raised in the northern farmlands of Indiana, Swinford- or “Swinnie” as those who knew him would affectionately call him- grew up around the very commodities he would come to trade, running the family farm for five years after his father passed away. When the opportunity to start trading the crops he’d been cultivating came up, he jumped at it…
As metal bugs enjoyed the surging prices of gold and silver, this post took a look at the relationship between them, with some interesting results.
With Gold and Silver making new highs today (again), we dug up some data on the two precious metals going back about 30 years to see just how far these two have come.
First up, the impressive outperformance of Silver over Gold in the past few years. Most people know that Silver has outperformed Gold, but would you believe it has increased 2.5 times more than Gold in the past 2 years?
Next, the performance of Silver and Gold over the past 30 years…
This marked the beginning of a new regular post on the Managed Futures Blog- the asset class scoreboard. We update it monthly around the third Thursday of each month.
We finally got the Dow Jones/Credit Suisse Hedge Index data from December, enabling us to update the asset class scoreboard for all of 2010. The results are as follows… [past performance is not necessarily indicative of future results]
Key: Managed Futures = Dow Jones Credit Suisse CTA Index, Cash = 3 mo T-Bill rate, Bonds = Vanguard Total Bond Market ETF, Hedge Funds = Dow Jones Credit Suisse Hedge Index, Commodities – ishares GSCI ETF, Real Estate = ishares Dow Jones US Real Estate ETF, World Stocks = MCSI World Index (ex USA), US Stocks = S&P 500 Index
You can see that Managed Futures more than held their own despite their own struggles in 2010, beating out hedge funds, world stocks, bonds, and (surprisingly) commodities…
We’re always looking to analyze current and potential trends. As politics and global supply/demand issues come to the forefront, we strive to provide quality analysis on what the chatter means.
There’s been a good deal of attention on energy billionaire T. Boone Picken’s natural gas legislation, which was introduced in the house last week with 154 co-sponsors. The general buzz is indicating a fair amount of popular support for the bill, which would amend IRS code to promote investment in natural gas and in producing these vehicles, among other incentives. According to Pickens in an interview with Rhonda Schaffler of Reuters, the big advantage of the bill will be shifting the fuel consumption of 8,000 trucks on the road from diesel to natural gas, which Pickens claims will cut our reliance on OPEC in half.
Now, theoretically, the introduction of such a bill could cause some major changes for both natural gas and crude futures…
Managed futures doesn’t always get the press it deserves, but when it does get mention, we try to read closely to ensure it’s being portrayed in the right light.
Managed futures look to be moving up in class, with the most recent edition of the Economist mentioning managed futures in an article talking about how momentum can work. And while it is nice to see managed futures mentioned in a magazine just slightly more respected and read than Futures magazine (sarcasm intended) – the mention unfortunately leaves a little to be desired, as it does little more than make the seemingly obligatory references to John Henry, Winton, and AHL…
We continuously monitor managed futures as an industry, reporting on assets under management as well as index performance on a monthly basis.
Last September, we were the first to report that Managed Futures had skyrocketed to the #1 hedge fund strategy in terms of assets under management (blog post), according to data collected by Barclay Hedge, with $223 Billion in total assets vs the massive $1.7 Trillion Hedge Fund industry. As we fast forward to the end of 2010 where assets swelled in hedge funds to a grand total of $1.96 Billion (approx 15% increase) we’ll note again that Managed Futures has retained its #1 raking with total assets under management of $266.8 Billion = a 19.4% increase.
Hold on just a minute…When looking at data, such as the above, it is always important to dig a little deeper. One question that came to mind was how much of that money can be attributed to investment gains and losses vs new money…
We at Attain are not afraid of a healthy debate. You may remember our recent newsletter on Wisdom Tree and Rydex’s managed futures products. We’ve continued the analysis on our blog with monthly performance updates and continued probing of the way these products are portrayed to the public.
It seems our recent newsletter covering Wisdom Tree’s Managed Futures ETF (WDTI) and Rydex’s Managed Futures Fund (RYMFX) has caused a bit of controversy in the blogosphere, with Victor Sperandeo, chief executive of Alpha Financial Technologies LLC, posting a response to our critique. We are happy the debate is now out in the open, and respectfully submit the following counterpoints.
Mr. Sperandeo’s main points of rebuttal are…
All work and no play makes Jack a dull boy… so we take the time to publish a few lighter pieces now and then, ranging from pieces like this to “Weekend Reads” published every Friday.
DealBreaker.com recently parsed the Forbes Billionaires list to find which of those on it are in alternative investments, finding an impressive 65 out of 1200 names are (PS – is it a little bit crazy that there are 1200 billionaires in the world?!).
With managed futures now the strategy with the highest assets under management among hedge fund strategies, we wondered if that is reflected in the billionaires list as well.
Turns out managed futures still have a LONG way to go to gain respect along those lines, with just 9 names on the list pure managed futures names, including…
A big up or down day for managed futures or markets in general is likely to receive commentary from us on the blog. If it isn’t as we would expect for managed futures, we’re sure to dig even deeper.
We have long trumpeted the power of managed futures to perform in a crisis (see here), but are looking at a lot of red for managed futures today… down -2% to -2.5% as an asset class by our estimate. And this is on top of monthly losses of about -1% for the Newedge CTA index already.
So where is the crisis period performance? Isn’t this a textbook crisis? Regime changes, nuclear fallout, war in the Middle East… it sure seems like all the crisis bases are covered.
Well, as always – the devil is in the details…
The automobile, airplane, and cell phone were all derided at one point or another by those who didn’t understand their promise and how they work. We’re seeing a lot of the same thing from people who don’t understand how managed futures work – and without anyone else stepping up to correct inaccuracies – often use our blog to call out those who give incorrect assessments of managed futures.
Dave Ramsey is well known for giving out financial advice that involves minimizing risk in all ways, shapes and forms- in particular as it relates to consumer credit. Unfortunately, this time around, it appears as though he got in over his head while responding to a reader’s query. We, quite obviously, disagreed with his cavalier response, and wanted to make sure someone set the record straight…
We will delve into the minutia of how managed futures and trading systems work from time to time on the blog, covering how a classic trend following trade looks in this case.
At the risk of being one of those people who throws a bunch of lines, arrows, and squares on a chart and says… look at this…we have re-created a chart of Crude Oil over the past 20 months to highlight how a classic trend following trade looks.
While there are hundreds of different ways to do trend following, the general idea is to bracket the market with volatility adjusted bands, and when the market ‘breaks out’ above those bands, go long – when breaking out below the lower band – go short…
Going along with our passion for managed futures education is our willingness to take on more “complex” managed futures ideas, such as contango, and put them into relatable terms.
While there has been much written about Crude Oil’s spike above $100 on the back of the news out of Libya, we haven’t seen much on what the spike has meant for the entire Crude “curve”, meaning the further out contract months (Crude has open interest all the way out to the December 2019 contract).
While most investors could care less about what the December 2013 Crude contract is doing, spread traders such as Emil Van Essen who bet on contango conditions persisting can see their month’s made or broken with moves such as we have seen recently.
For a refresher, a futures market in ‘contango’ is one in which…
One of the most recent pieces confusing fact with fiction came from Allan Roth of CBS’Moneywatch.com. This article went further than others, taking personal, unsubstantiated stabs at members of the industry, and we felt compelled to defend those members and the industry as a whole.
Yet another piece has come out from someone with little understanding of managed futures and a bullhorn at his side. This time around, Allan Roth (of CBS, no less) is taking the industry to task after hearing what he believed to be a misleading presentation at The Money Show in Las Vegas (what happened to ‘what happens in Vegas…)
The presentation was made by the CME’s John Labuszewski, where the standard arguments for choosing managed futures were presented (non-correlation, crisis performance, etc.). At the conclusion of the presentation, after discussions with Labuszewski, BarclayHedge’s Sol Waksman, and CME Associate Director of Communications Michael Shore, Roth had made up his mind- this was shady business.
We, obviously, have a problem with his article. Multiple problems, actually.
There’s more to investing than just managed futures, and we cover other options such as commodity ETFs from time to time, making sure to point out the unique risks and issues with the investments.
Following our last post in which we mentioned how commodities were down in 2010 based on energy being flat and the problem of cost of carry/contango – we had a client asking us to update our chart on the spot price of Crude Oil versus the performance of USO, the ETF which is supposed to track Crude Oil prices, and thought you might like to see it as well (read it and weep below)
Have any of the investors who have poured $1.8 Billion into this ETF seen this chart? Have the managers of USO? How is this acceptable for a product which is supposed to appreciate as Crude Oil does?
If there’s one thing we’re good at in our publications, it’s issuing a reality check. After funny, albeit potentially misleading, commercials popped up from E-Trade at the Superbowl, we had to comment.
Looks like E-Trade ponied up millions to run their popular talking baby ads during the SuperBowl yesterday – trying to convince anyone watching that trading is so easy, even a baby can do it. If you missed it, they are so proud of them they have a whole web page devoted to the ads.
For anyone in the futures industry brave enough to try, create an ad along the lines of E-Trades “it’s so easy a baby can do it” ads featuring talking babies (make sure to use no disclaimers as they do) – then count down the minutes before the regulators (NFA) come barging through the door shutting your whole business down.
After reading some of the posts above and visiting the blog – please drop us a line and let us know how you like it. Too technical? Too argumentative? More manager specifics? Just right? Please send us an email at firstname.lastname@example.org and let us know how we’re doing and what you would like to see more/less of.
IMPORTANT RISK DISCLOSURE
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This week saw continued downward movement in stocks, with the Nasdaq, Dow Jones, S&P 500, Russell e-Mini 2000 and Midcap 400 all at their lowest levels since March. 30 year bonds and ten year notes were up .04% and .11%, respectively. The Dollar and Japanese Yen climbed marginally higher as most other currencies slid further downward.
In metals, Palladium's recent run up was unwound as it fell -8.80% on fears of decreasing automaker demand abroad. Silver and platinum, also often used in automobiles, fell as well, while gold popped up .65% and copper up 1.13%.
Good news for those thinking of hitting the roads: Crude fell to a 6 month low last week, plummeting -6.30%, along with RBOB Gasoline down -2.38%. Natural gas slid the furthest, dropping -9.08%. Corn and wheat, as news of better than expected crop outlooks and a potential caling back of ethanol subsidies by the U.S. Congress hit the street, fell downward, pushing corn to a 10 month low.
It was a mixed week for multi-market programs last week, with some posting decent gains while others slid behind. Blue Fin Capital lead the pack, generating returns of 3.57%, followed by Clarke Capital Global Magnum at 2.74%, Futures Truth MS4 at 1.40%, Clarke Capital Global Basic at 1.15%, Dighton Capital Aggressive at 0.83% and APA Strategic at 0.48%. Unfortunately, that was the extent of the good news in that arena. James River Navigator fell the most, losing 4.15%, while Covenant Capital Aggressive came in at -3.46%, Robinson-Langley at -3.43%, Clarke Capital Worldwide at -3.23% (still in drawdown, and still an investment opportunity), Covenant Capital Aggressive 2 at -3.18%, Integrated Managed Futures Global at -1.89%, Auctos Capital at -1.41%, Hoffman Asset Management at -1.31% and Accela Capital’s Global Diversified program at -0.49%.
Short-term multi-market faired a little more evenly. Bouchard Capital was able to post impressive returns of 6.38%, while Futures Truth SAM 101 followed closely with 3.48%. Accela Capital’s Short-term program posted returns of 1.55%, while GT Capital came in at 0.76% and Dominion Capital at 0.47%. In the red for the week included Quantum Leap at -1.94%, DMH at -0.44%, Mesirow Low volatility at -0.14%, Mesirow Absolute Return at -0.13% and Kottke’s Willis Enhanced program at -0.03%.
Options traders had a bit of a rough week as well. White River Group had a good run, posting returns of 3.58%. Bluenose Capital posted gains in both their BI and EI strategies of 1.22% and 0.84%, respectively. Crescent Bay followed up at 0.53%, while ACE-SIPC posted returns of 0.06%. Beyond that, options traders were battered and bloodied by week’s end. Liberty Funds took the brunt of it, dropping -4.35%, followed by Clarity Capital at -2.97%, FCI CPP at -1.74%, FCI OSS 1 at -1.11%, ACE-DCP at -1.09%, FCI OSS 2 at -0.93%, HB Capital at -0.36%, Crescent Bay at -0.28%, Cervino Diversified at -0.22%, and Cervino Diversified 2x at -0.17%.
In the specialty arena, spread trader Emil Van Essen posted returns of .61% and .38% for their combined and commodity only programs respectively. The Cervino Gold program had returns of .76%, while 2100 Xenon’s Fixed Income Program generated returns of 1.54%. Down last week was Rosetta Capital at -5.66%, and Global Ag at -6.67%.
Stock index traders were down for the most part. Paskewitz saw returns of 1.15% for the week, but Roe Capital’s Jefferson and Monticello Spread programs were down 1.36% and 1.89%.
Performance for both the Day trading systems and Swing trading systems was strong, as they exploited the strong price movement in equities. Nearly 90% of the futures trades last week across all trading systems were in equity indexes. The strategies that struggled significantly this week were either fading the S&P or got caught on the wrong side of the Euro trade.
Swing trading systems had mixed performance last week posting an overall gain of +551.95. Impressive performance was seen by BAM 90 +3322.50, Strategic DAX +2390, and Bounce +1771. However this group was weighed down by struggles by August TD – 2780 on the wrong side of the Euro trade and Strategic Filter/ Strategic v2 both down -1900.
Overall day trading systems were up +3512.35, with most systems positive for the week. Jaws Breakout working six trades, led the pack with a gain of +2122.50, followed by BounceMOC at +1765, with no significant drawdowns.
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.