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

Managed Futures Mutual Funds Exposed

March 5, 2012


It’s been over a year since we last dedicated a newsletter to the so-called managed futures mutual fund/ETF, and we thought it was high time we revisited the subject. Our last piece looked at the big name fund operators in the field– namely, the Wisdom Tree Managed Futures ETF (WDTI) and Rydex Managed Futures Fund (RYMFX)- arguing that these products were misnamed and did not give investors the type of managed futures exposure they were likely after when investing. While their performance then and to date has continued to be lackluster and well below managed futures as an asset class, it doesn’t seem to have hurt the popularity of the idea, with several smaller players now joining the fray to the tune of 19 such funds now clamoring after investor’s managed futures money.  Hey, Morningstar even made them a fund category (anyone out there still arguing against their being an asset class?).

Managed Futures Mutual Fund Growth

We found ourselves scratching our heads.  Just why is so much money pouring into these so-called managed futures mutual funds when they have done very little in the way of performance?  Part of the answer is the classic line from the brokerage side of Wall Street which says stocks (insert ETFs, mutual funds, mortgage backed securities, etc.) are sold, not bought- meaning that money is pouring into these products because that’s what the army of advisers (they don’t really call themselves stock brokers anymore) around the world are pitching to their clients, not the other way around.

But that begs the question… Why are these funds being sold so heartily?  Part of that answer has to do with high fees for selling them, part of it is because people are still skeptical of stocks, and part of it is because managed futures is still a good story (boiled down in one line to – hey, it performed in 2008- even if past performance is not necessarily indicative of future results).

And that answer begs another question, do these advisors really know what they are selling (a recent blog posts says no) when it comes to managed futures exposure? Are the investors in so-called managed futures mutual funds really understanding what they are getting?

Well, we’re going to do our part to make sure those investors do know what they are getting, with an in-depth look at these products, and, unfortunately for the product managers, our research into the full universe of these publically traded products unearthed even more levels of complexity than we saw previously.

Without further ado – our look at the world of the $1,000 managed futures investment – the managed futures retail product.

Managed Futures? I want in...

Look up managed futures mutual funds in Morningstar’s database- we dare you. You’ll quickly find yourself facing dozens of funds claiming to access the asset class as a whole. If you’re feeling feisty, feel free to peruse the prospectus documents associated with these funds, but prepare yourself for hours of headaches and confusions. Or just read on.

The first test was a simple one- if these products are claiming to give you access to the managed futures space, you should, at the very least, see a moderate level of correlation between the monthly performance of the products and that of the asset class as a whole. As a refresher, correlation is a statistical figure with values which range between -1.00 and +1.00, meant to show how inter-related two sets of data are (in the case of investments, we are usually looking at the monthly percentage returns). If they have a correlation of 1.00, they are perfectly correlated, meaning when one market rises 3%, the other will do the exact same, and when one loses -2%, so will the other. If they are at -1.00, they are exactly opposite; with one making the exact opposite amount the other loses each month, and vice versa.

Now, if these products were going to provide diversified access to the managed futures asset class, you would expect to see a high positive correlation between their monthly returns and that posted by the major managed futures indices. While indices for any asset class are going to have limitations*, they serve as an imperfect proxy for managed futures as a whole, allowing for analysis like this. And analyze we did, measuring correlation of monthly performance to the Barclay Hedge CTA Index. The results weren't all that pretty, with the average correlation to the asset class just 0.30. Something seemed amiss, so we excluded funds with less than one year's track record, and re-ran the analysis to find the following values.*

Product Correlation to Barclay Hedge CTA Index
MFTAX 0.91
AQMIX 0.88
AMFAX 0.87
MHFAX 0.86
MFTFX 0.75
RYMTX 0.73
FCMLX 0.65
WDTI 0.55
SFCEX 0.43
HTFAX 0.63

With an average correlation of .55 and some higher values above 0.80, we won't ignore the association with the asset class, but for products sold as managed futures- brazenly proclaiming themselves to be retail access- we were at least expecting an average that hovered around .75 and none below 0.50. Some of these products just don't seem to statistically verify what their name claims. This data is argued away by anyone with a stake in these funds succeedingwith comments such as "they will correlate when they need to (during a crisis)", but it should be more than a little disconcerting to those pouring money into these funds that they aren't really doing what they are supposed to be doing.

While we could always get into how individual managed futures programs correlate to the asset class and often don't line up themselves, that's not the point here. The point is that the programs which claim to be providing access to managed futures as a whole should be highly correlated to the performance of that asset class- or else they are misleading investors by being sold as managed futures exposure.

Right after the wholesalers of these funds tell you, "it will correlate when it needs to,"  they probably say something like, "Who cares about correlation as long as the performance is there?" We hate to burst your bubble, but, whether you started this year, last year or three years back, once you take into account the dreaded initial load fee (calculated by removing it from the initial investment in each of the three listed time periods below), well...


Strategy Category



Past 12 Months

Past 36 Months

Barclay Hedge




Single Strategy

AQR Managed Futures Strategy (AQMIX)




Aspen Managed Futures Strategy (MFBPX)




Pyxis Trend Following Fund (HTFAX)




Rydex Series Funds, Managed Futures (RYMFX)




Direxion Indexed Managed Futures (DXMAX)




Sherwood Forest Alternative Fund (SFCEX)




Forward Commodity Long/Short Strategy (FCMLX)




Wisdom Tree Managed Futures Strategy (WDTI)




Single Manager

ASG Managed Futures Strategy (AMFAX)




Grant Park Managed Futures Strategy (GPFAX)




Arrow Managed Futures Fund (MFTFX)





Altegris Managed Futures Strategy (MFTAX)




Mosaic Managed Futures Strategy (MMFAX)




Quantitative Managed Futures Strategy (QMFAX)




LoCorr Managed Futures Strategy (LFMAX)




Pyxis Alpha Trend Strategies Fund (HATAX)




MutualHedge Frontier Legends Fund (MHFAX)




Ramius Trading Strategies Managed Futures (RTSRX)




* Front load fees reflect A class share load fees as listed in fund prospectus documents. Performance data from Yahoo! Finance. 

Now, I’m sure most of this money new to the managed futures space is completely comfortable with this sea of red, understanding that managed futures as an asset class cycles between drawdown (lengthy and more frequent) and run up phases (quick and less frequent) and that they could be down in their investment over any period shorter than 3 years. Yeah, right- if you believe that we have a bridge to sell you.  

You can be pretty certain that the bulk of investors in these managed futures funds did not expect to be underwater months to years after investing. These investors are likely more than a little concerned about performance thus far, yet likely hearing in response to this performance that managed futures as an asset class in 2011 struggled, thus the losses.

But that is the problem – most of these funds can’t rely on that excuse. Despite their names, they are not tracking (or or even trying to track) managed futures as an asset class. If you are merely trading something that sort of tracks managed futures, how can you tell when it is your model, or managed futures in general, causing the losses? You’ll likely find the sellers of these funds blame managed futures in general when times are bad, and their models when times are good (but not as good as managed futures as an asset class).

Looking at the numbers, there are two questions that come to mind. For starters, why in the world are assets under management surging for these strategies? For two, why doesn't the performance look like the managed futures asset class they claim to expose investors to?

Both are good questions, but because everything in this newsletter seems to be topsy turvy, we'll start with the second one first.

What's in a Name? 

What struck us at first glance was the major variance in what the name or category of the mutual funds in question implied (managed futures access) and what their actual strategy descriptions illustrated. As a brief refresher, the term managed futures refers to an asset class where money managers will take long and short positions in financial and commodity futures markets in an attempt to generate a profit using a variety of trend following, spread or options related frameworks. There are three broad ways to access said strategies:

Now, based on this overview, most would assume that managed futures retail products likely invest in these funds and managed accounts to provide access to the asset class, and in some cases, that’s correct.  But in many more, that isn’t what is happening at all. Looking at 18 different managed futures mutual funds plus the lone ETF offering and analyzing their investment strategy, we found that the bulk of them were actually invested in either a single manager via a fund or managed account or a single strategy executed by the fund manager- not a traditional managed futures portfolio.

Managed Futures Mutual Fund Composition

Why does this matter?  Well, it sure seems to matter to the performance, which tends to chronically underperform the managed futures index benchmarks. But to us, it is more than that. To us, it is a case of misleading investors. As we said in a blog post concerning Wisdom Tree’s managed futures ETF:

Naming your product a ‘managed futures ETF’ heavily implies that it is designed to track managed futures. But by the CIO’s own admission, it was designed to be non-correlated to stocks and bonds, not to be correlated to managed futures, and is not an index fund (meaning it doesn’t track an index).  All we’re saying is that this product isn’t likely to track alongside managed futures very well moving forward (and hasn’t in the past), and, because of that, is poorly named. It should be re-named ‘single trend following model ETF’ or something similar, instead of misleading people into thinking they are getting managed futures exposure.

It is like saying you run a stock fund, and then only investing in IBM, and no other stocks – or like building and selling computers as if you were IBM and saying it is a stock market fund giving stock market exposure.  Neither really gives those expecting stock market exposure what they are looking for.  And as we’ve covered in the past, managed futures works best as a diversifier if you are diversified within your managed futures investment; because per the old don’t put all your eggs in one basket investment theory - when invested in just a single strategy or manager, your risks of loss are even higher than normal, or more correctly – tied exclusively to the risk of loss of that specific program and gaining no benefit from non correlation.  

But our head shaking didn’t stop there.

Reading the profiles of these programs on Google or Yahoo Finance or Morningstar, you’re likely to get a little confused, because the descriptions of these programs on most websites show that they invest 75% in cash and debt instruments, and 25% in a subsidiary.  There is usual very little mentioned regarding managed futures, or what type of managed futures strategy is employed (are they investing in actual CTAs, or just a single indicator or strategy?).

Why is this the case? Three reasons as it turned out in a recent seminar on managed futures mutual funds.

One, securities laws state that you have to have at least 75% of a mutual fund trading securities (you know - stock and bonds) , which presents a problem for a managed futures mutual fund which wants to trade futures.

Two, managed futures investments usually only require 10%-15% of the investment level to be posted as margin. Meaning you technically only need $150K or so to invest in a $1 million minimum investment program.

Three, securities laws prohibit a sub advisor to a mutual fund from collecting incentive fees (the bread and butter of CTA compensation).

So what did the financial innovators do? They created these foreign shell corporations as subsidiaries of the mutual fund. They then put just 25% of the fund’s capital there, to be traded as the full 100% or a little less of the fund’s capital, and invest the remaining 75% in T-Bills or Fannie Mae bonds or the like (securities).  Then, because the CTAs are managing the money of the foreign shell company (the cfc), not the mutual fund itself, they can charge their incentive fees. Problems solved.

So, now you have these managed futures funds with all of the futures activity buried in the foreign shell corporation, and with 75% of their money in cash equivalents (t-bills, short term notes, etc), thus the need for a fixed income component to the mutual fund (to manage that money).  

So, it takes a while to really get into what is really going on in the managed futures side of these so-called managed futures funds… You need to find out what is happening inside that "cfc."  Once you get to the actual strategy of the mutual funds (what happens in the cfc), you start to see some of the shenanigans. Three of the products are actually trading ETFs instead, adding additional layers of fees and further pushing the fund away from what we would consider managed futures. Some trade trend indicators on a set of markets, some choose not to go short certain markets, and one tracks a commodity index (albeit one which goes both long and short).

From what we found, nearly half (44%) of these managed futures offerings aren’t invested in any actual managed futures managers. That is, to say the least, troubling.

Then there are some which invest with a single managed futures manager (usually an affiliate of the fund company), before we come to the remainder, which look to be doing their best to get true managed futures exposure by investing the investors money with actual managed futures managers.

However, even in cases where the funds adopted a more managed futures appropriate approach of building a multi-manager strategy, another danger lurks. While the composition comes at it from the right angle, the experience of those forming said composition is far from proven (how can they be when they have been managing a mutual fund for less than a year in many cases, and less than three years in all cases).

Those managers have the luxury of falling back on the (usually impressive) track records of the managed futures managers, but you are investing in the ability of the overall fund manager(s) to be able to select those managers proper allocations and portfolio weights, reallocate where needed, and deal with the granularity issues (i.e. how do you handle $374,562.30 of money coming in when the managers each trade in $1 million increments).

The ultimate test of these managers is how well their mutual funds do in comparison to the portfolio of managers being traded by the fund. In theory, the fund’s performance should equal the summed performance of the component managers, minus the fund level expenses.  For these multi-manager fund, forget trying to match the managed futures index – they have their own benchmark to meet on a monthly basis (the performance of their component managers).  In practice, we fear most managers will find keeping up with that benchmark harder than meets the eye – with switching into and out of managers just like normal investors do negatively skewing that performance.

For some, the semantics of what’s in a name may not matter, but the numbers sure do. A rose by any other name may be as sweet, but the borrowed managed futures name cannot hide the fact that the bulk of these programs don’t even come close to tracking the asset class they claim to. The lack of correlation for some of these programs may have to do with their makeup, but what about the rest of them?

Get Ready for the Sucker Punch

We’ve talked already about mutual funds being sold, not bought – and the fund companies rolling out managed futures products made sure theirs would get sold with enthusiasm by tacking a big old front end load fee on it. 16 out of the 18 managed futures mutual funds have a load fee averaging 5.64%. That's where all those ugly performance numbers above come into play

Fee Type




Load Fee




Annual Fees




This means you are down that much right off the bat with your investment, and what’s more, means your compounded return over the next however years will be substantially less. This article on Yahoo Finance shows how a 5% load fund saw 39% worse performance (21% vs 29%) over the first three years than a no load fund with each making 9% per year for the three year period.  The important thing to remember about load fees is that you are not just giving up the amount of the load fee itself, but also the future compounded gains on that amount.

Now, the days of load fees for mutual funds are mostly over – with the ETF grabbing more and more market share from mutual funds because of their lower fees (and no load fees) – but the load fee appears alive and well in the managed futures mutual fund space. The fund companies will tell you some version of "you have to pay to play," arguing that you are getting access to the best managers in the world and it is going to cost you to do so.

But where is the point of diminishing returns in getting access to the best managers "at a cost"?  We can likely all agree that it makes sense to pay up a bit to get access to Winton (the largest and arguably best managed futures program out there) because otherwise you simply can’t get access (unless you have $100 million or so).  But what happens when the extra cost of getting extra return outweighs the extra return? We have seen time and again larger managers returns tail off over time as they become more and more risk averse (whether by design or as a result of their models improving), and it isn’t hard to see a time where it isn’t worth it to pay up. At the end of the day, though, the real reason for the load fee is so the product gets sold.

Even without the load fees, these mutual funds are expensive. From what we understand, the bulk of these programs aren't investing the mutual fund's money in managed accounts- they're investing in funds. These funds are investing in managed accounts, but in exchange for the service, they're charging a fee of your own to run that fund. This means that for the bulk of the multi-manager strategies out there, there's not one- not two- but three layers of fees between you and your money.

It is hard not to believe that these fees are a cause of these mutual funds underperforming the asset class, and is why we're such advocates of managed accounts. When you're looking at investing in managed futures via managed accounts, fees are included in the historical performance, so what you see is what you get.  Not so for the mutual fund, unless you’re looking at load adjusted returns, which are usually hard to find. When the buyer doesn't know this, they're even more susceptible to that 2008 pitch (with nary a mention of drawdowns, of course), which is our answer to the first question we raised. 

So what now?

To be entirely fair, there are a few caveats to this analysis. For instance, if you're an institutional investor, or agree to invest a certain amount over a certain amount of time, you may be subject to less fees. And as we have noted before,  if you don't have the available risk capital to invest $250k in a managed account,  these retail products may be as close as you can get to the asset class for the moment (and we do think you should have that access). We'd just urge you to be realistic about your expectations- this is not going to give you the kind of performance or diversification typically associated with managed futures as an asset class.

There's one other fly in the honey here, and that's the regulatory uncertainty facing these retail juggernauts. The majority of these mutual funds are what are colloquially referred to as a 40 Act Fund- a fund established under the Investment Company Act of 1940 which is exempt from registration as a commodity pool (despite it looking and quacking like a pool).

 This caveat has put the funds in a sort of limbo- a limbo that allows them, for instance, to report performance without including all fees (their argument is that they are complying with the SEC, whose requirements are less onerous in this instance), and to not have to provide a disclosure document to each investor before investment. This exceptionalism has drawn the ire of many in the industry, and the frustration has not gone without note. In just the past month, the CFTC passed regulations rescinding the registration exemption for 40 act funds.

On our end, this is encouraging, especially if it means that investors are armed with more information as they make their allocation decisions. And it really isn’t fair that brokerage firms such as Attain must qualify and put literally hundreds of pages of disclosures and signature forms in front of its clients before they can invest in managed futures, while the oft cited little old lady in a nursing home could purchase a mutual fund which invests in the same managed futures programs for $1,000 without any such documents.

That being said, it seems the fund companies mostly won, with the new CFTC rules coming with a large section about harmonizing the requirements of the SEC and CFTC and waivers from certain requirements for funds which are traded on public exchanges (like all the ones we’re talking about here).  So, while we still don’t know what the final shakeout will be of these new rules,  we've been around long enough to know that where there's a will, there's a way.

Are managed futures mutual funds for you?

If this is your first time reading one of our newsletters and you are ready to run the other way from managed futures, let us set the record straight and tell you we actually love managed futures, and think they should be a part of most investors portfolios (they aren’t suitable for everyone).

It’s just that we have some real problems with how many of these so-called managed futures mutual funds are set up. We think that any investor with the appropriate risk tolerance and capital available should have managed futures exposure in their portfolio for diversification and all-around performance benefits. In our experience, the best way to get those benefits is via managed accounts. We're not staunchly opposed to the idea of managed futures being put in a retail wrapper; we just haven't seen anyone execute on the idea in a manner that effectively preserves the benefits associated with the managed account structure.

Maybe that's ok for you and where you're at as far as investing is concerned, but you shouldn't be investing blind.  There is more disclosure in three paragraphs on our daily blog on how managed futures works than you will find in the prospectuses of these funds, and that just seems wrong given who is targeted by these funds (minimums as low as $5,000). For now, we'll simply echo the message sent out around this time last year:

Managed futures mutual funds have historically underperformed the asset class, and most are not likely to give investors the crisis period performance they likely came looking to managed futures for in the first place. Buyer beware.

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.

The original version of this piece inaccurately cited AQMIX as having a negative correlation to the Barclay Hedge CTA Index. The numbers reflected here are correct.  


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: Week In Review

February was yet another month of new highs for the indices, with the Dow hitting a 4-year high and gaining 2.86%, the S&P 500 reaching a 7-month high and rising 4.30%, the Nasdaq touching an 11-year high with an increase of 6.44%, and the S&P Mid-Cap 400 E-mini and Russell 2000 E-mini both reaching 7-month highs with gains of 4.46%and 2.38%, respectively. In bonds, US 10-year notes were down -0.77%, and US 30-year bonds lost -1.63%. In currencies, the US Dollar lost -0.78%, the Japanese Yen fell -6.04% to a 9-month low, the British Pound was up 1.02%, the Euro rose 1.83%, and the Swiss Franc rose 1.73%.

In metals, Gold lost -1.67%, Silver touched a 5-month high and finished the month up 3.95%, Copper gained 2.11%, Platinum touched a 5-month high and rose 6.58%, and Palladium rose 2.96%. In energies, Crude hit a 9-month high and rose 8.33%, Heating Oil gained 5.20%, RBOB Gasoline touched a 10-month high and rose 6.26%, and Natural Gas lost -1.02%.

In grains, Corn was up 2.37%, Wheat lost -0.60%, and Soy rose 9.43% to end the month on 5-month high. In meats, Live Cattle gained 0.86% after briefly touching a 10-month high, and Live Hogs fell -0.03%. In Softs, Cocoa gained 1.21%, Orange Juice lost -10.68%, Cotton lost -3.62%, Coffee hit a 16-month low before finishing the month down -6.40%, and Sugar gained 10.71%.

Trading Systems

This month was quiet for the lone day trading system, PSI! TF made $848.65. On the swing trading side, Jaws US 400 US lost -$655 on one trade. MoneyBeans S gained $506.67, and MoneyMaker ES made $172.50. Strategic ES lost -$977.50, and Strategic SP lost -$6650. TurningPoint ES gained $1457.50 and TurningPoint X2 ES made $1445, each on just one trade.

Managed Futures

February proved conducive to several trendfollowing programs, with the top three spots in our heat map occupied by trendfollowers. Ag programs were mostly flat, but only one finished the month at a loss. On the other side, all but one of the specialty programs we track ended the month with losses. Most other program types, including Multi-Strategy and Options programs, were mixed. Check out the full monthly return numbers below:




Max DD*

Strategy Type

Clarke Capital Management, Inc. Global Basic




Hoffman Asset Management, INC. Managed Account




Clarke Capital Management, Inc. Worldwide




Bouchard Capital, LLC Short Term Multi Commodity



Short Term

Bluenose Capital Management LLC - BNC BI




Global Ag (QEP Only)




Bel Air Capital Asset Management




Bluenose Capital Management LLC - BNC EI




Crescent Bay BVP




White River Group Diversified Option Writing




P/E Investments FX Strategy - Standard




Cervino Diversified 2x




Clarke Capital Management, Inc. Global Magnum




NDX Shadrach




Rosetta (QEP Only)




Cervino Diversified Options




Attain Portfolio Advisors - Strategic Diversification Program




NDX Abedengo




Futures Truth MS4 (QEP Only)




Auctos Capital Management




Mesirow Absolute Return




Covenant Capital Management Aggressive




Reynoso Capital Management - Small Accounts




Quantum Leap Capital (QEP Only)



Short Term

James River Capital Corp. - Navigator




Cervino Gold




2100 Xenon Managed Futures (2x) Program:




Tanyard Creek Capital (QEP Only)




Robinson-Langley Capital Management, LLC Managed Account




2100 Xenon Fixed Income Program:



Fixed Income

HB Capital




Emil Van Essen, LLC Combined (Low Min)



Spread Trading

Integrated Managed Futures Corp. IMFC Global Concentrated




Emil Van Essen, LLC Commodity Only (Low Min)



Spread Trading

Dominion Capital Management (QEP Only)



Short Term




Stock Index

Futures Truth SAM 101




GT Capital












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.