Announcing the New & Improved www.AttainCapital.com
February 4, 2008
We are very excited to be sending this newsletter in our new easier to read (and print) format, and bring you the new and improved Attain Capital website today, February 4th,2008. Check out the new website by clicking our logo above, or visiting www.AttainCapital.com. To login, use the previous username and password you selected when first signing up for the Attain site. If you can't remember either one, just click forgot your password on the login screen, and we'll email your password to you to use with your email address as a username.
This web project has been over a year in the making, and we hope you appreciate the tools, research, and educational materials you will find within. They were built for you, and are truly the result of years of listening to what our clients and investors want out of a website focusing on alternative investments.
Over the next few months, we will be dedicating one of our weekly newsletters each month to highlight some of the features available on the new website. As always, we appreciate any and all feedback you may have, and welcome your comments. It was your comments which shaped this new site, and it will be your comments which take it to the next level from here.
Highlights from some of the website's New Features:
CTA Performance Tables:
The new www.AttainCapital.com puts data on over 400 Commodity Trading Advisors at your fingertips. The tables default to Attain’s smaller ‘recommended’ list, but a quick click of “All Programs” in the blue “Filter By” column immediately loads 19 pages of CTA programs. Those advisors not in Bold are ones Attain does not currently work with. If they are a CTA with only a 1 or 2 flag rating, we probably don’t work with them on purpose — finding them too risky or not experienced enough — and include them for comparison only. If they are highly ranked with 3, 4, or 5 flags, yet not in BOLD - it is likely we intend to add them to our recommended list – yet have not finished our due diligence on the CTA yet.
You can also view Trading System and Managed F/X program performance tables by selecting those links under the ‘Performance’ link on the main menu bar. On each performance page, a search box adorns the top right of the page, enabling you to quickly get to a specific program you’re looking for by typing the name in the search box.
Attain's 'Flag' Rankings:
Despite our insistence that the Attain logo is not a flag, our web design team and clients who beta tested the new site quickly took to calling the rankings with 1 through five Attain logos as the ‘Flag’ rankings. In the spirit of the old saying, “if you can’t beat ‘em, join ‘em”, we have acquiesced.
Each program’s ‘flag’ ranking is a purely statistical and based on over 25 different metrics measuring performance, risk, experience, and more. The rankings are designed to show which programs are consistently amongst the top rated across all of the different statistical measures important to this type of investment. We are not content to merely show you the best performers this year or a list of the top returns 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.
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 will 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. Programs in the top 20th percentile of the overall rankings are awarded 5 ‘flags’, the second 20th percentile 4 flags, and so on, down to the bottom 20th percentile being given a ranking of just 1 flag. More flags signify a higher overall ranking.
Filter By:
Once on the performance tables, many features are available to you. First, you can filter the table you are viewing to add or remove programs which you are or are not interested in by using the links along the blue left hand ‘Filter By’ column. You can view only day trading systems, or remove any CTAs with a correlation to the SP 500 of over 0.25, or only view programs with minimums between $50K and $500K. Many investors don’t need to see CTAs with $50 Million minimums, so why not filter them out. The filter also lets you remove all programs which have stock index exposure, if you’re looking to completely diversify away from stocks.
Finally – one of the most important filters in the ‘Filter By’ column is the time frame filter named ‘Period’. We recognize that some investors may be more interested in what has done well recently, thus want to see statistics and rnakings based off the past 12 months, while others feel more comfortable with a program which has been around for a while. The ‘Period’ filter lets you view the statistics and rnakings for whichever period is most important to you. 12 or 26 months, 5 or 10 years, or for All Time. Programs which do not have data across all of the months in the period you have selected are removed from the table. Thus, you will see many fewer programs on the 10 year period than you will on the 12 month time frame. If you just want to see them all, All Time lists every program, and the date which their results begin.
Add to List:
Once the table is filtered to your liking, there is more available to you than just the stats you see on your screen. Using the ‘Add to List’ dropdown box at the far right of the table headers, you can add advanced stats such as percentage of winning months or the Sortino ratio to the table.
Compare Checked Finally, you can click the checkboxes next to any program in the performance tables, and then select ‘Compare Checked’ at the bottom of the table. This will remove all other programs from the table, and allow you to compare just the programs you have selected.
Watchlist:
The check boxes next to each program also serve another function. They can be used to add programs to your very own watchlist. Just put a check in the box next to programs you want to follow along with, then click ‘Add to Watchlist’ at the bottom of the table, and your programs are saved to a watchlist in MyAttain for easy future viewing. Click ‘View Watchlist’ at the bottom of the table to be taken to your watchlist in MyAttain. The Watchlist will automatically update the monthly performance numbers of your selected CTAs and Forex programs (including estimates when available), show the current day’s profit or loss for trading systems, and give you quick access to more information on those investments. When viewing the main performance tables, programs highlighted blue are in your watchlist.
-Jeff Malec
Chart of the Week: January Performance Summary (Top 10 Attain reccomended CTAs)
Following Table based on Janaury 2008 returns:
Past Performance is Not Necessarily Indicative of Future Results
Top 10 CTAs - January 2008 | ||||
| CTA Program | Jan - '08 | 12mo Comp ROR | 12mo Max DD | Min Inv 000s |
|---|---|---|---|---|
10.6% | 45.0% | 36.9% | 100 | |
10.0% | 21.0% | 17.4% | 100 | |
4.4% | 8.7% | 12.9% | 100 | |
2.6% | -1.6% | 12.5% | 50 | |
1.2% | 9.3% | 4.1% | 50 | |
1.0% | 36.8% | 16.5% | 100 | |
0.8% | 10.6% | 3.7% | 100 | |
0.5% | 11.6% | 4.9% | 100 | |
-3.0% | -6.9% | 17.5% | 10 | |
Attain Portfolio Advisors - Strategic Diversification Program | -5.0% | 19.9% | 6.3% | 1000 |
| Important Risk Disclosure | |||
|
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.
Feature | Week In Review | Chart of the Week | Top 5 CTAs | Top 5 Systems |
Feature | Week In Review | Chart of the Week | Top 5 CTAs | Top 5 Systems |
***Overview***
Stocks around the world continued to falter in January on fears that the US economy has slipped into recession. SP 500 futures hit an intra-month low at 1255.5 on January 22 which was a 15% decline in the index from the 2007 closing price. However the markets bounced back on January 23 after a historic move that saw the Fed cut overnight lending rates by 125 basis points. This was an emergency move to help free up cash in the world financial system but relief was only temporary as recession fears and reports of a “rogue” trader in France caused more market havoc. Later in the month the Fed met again and officially lowered interest rates by another 50 basis points, which means that rates are now 1.75% lower than they were last month. Despite these moves the markets still finished January very deep in the red. Most of the weakness came from the tech sector with NASDAQ futures finishing the month down -12.21%. SP Futures did not fair much better losing -6.61% while Dow futures fell -5.36%. The smallcap markets were also hit hard with Russell 2000 futures dropping -7.41% and SP Midcap 400 futures lost -6.75%.
US Treasury futures responded to the interest rate cuts by rallying higher (bond futures rally when yields fall). US 30 year note futures were up 2.52% and the benchmark US 10 year note futures gained +2.94%. Likewise the reduced rates hurt the US Dollar which continues to slide lower. Eurocurrency futures finished the month up 1.84% while Swiss Franc futures at +4.73% and Japanese Yen futures at +4.57% also were up big against the greenback.
Commodities responded to the global recession fears by rallying higher to new record highs in some markets. Metals had a huge month as investors flocked to safety in Gold futures +10.02% and Silver futures +13.90%. Platinum futures at +13.90%, Palladium futures at +4.31% and Copper futures +8.45% also had big rallies in January. Grains were the other markets on the rise with Corn futures climbing an unbelievable +10.04%, Soybean futures were up +4.96% and Wheat futures gained +1.58%. Elsewhere other markets that traded higher include Sugar which was up +1.42% and Coffee which gained +1.43%. Surprisingly most of the energy markets did not follow suit as Crude Oil futures lost -4.16%, Heating Oil futures were down -4.13% and RBOB Gasoline futures lost -6.68%. Natural Gas futures bucked the trend again however after gaining +7.35%.
***CTAs***
Its often quoted that investing is a zero sum gain, with one trader’s gain being another trader’s loss. January saw that axiom come to life, as CTA investors experienced both the benefits and drawdowns associated with the heightened global market volatility of January 2008.
The months top performing CTA goes, once again, to Dighton Capital USA - who posted an estimated return of approximately +10.60% for the month. Dighton has been a top this list many times over the course of the past year, including December where they posted a gain of +22.65%. We are all for giving credit where credit is due and in this case all the credit goes to Dighton's head trader Alex Moiseyev - Alex is the main trader for Dighton and over the course of the past few months has seen the fruits of his research materialize before his eyes with a huge run up in the Cotton and Coffee market. In addition Dighton investors also benefited from some well timed S&P trades throughout January.
Other profitable managers for the month included (estimates); Rosetta Capital +10%, Clarke Capital Millennium +5.82%, Clarke World Wide +4.88%, FCI +4.36%, Raithel Investments +2.59%, Cervino Capital Diversified +1.22%, CKP +1.42%, Zenith Index +0.75%, and Zenith Diversified +0.54%. One common theme across many of the above include diversification away from the stock market (i.e commodity based programs) and strict risk management rules for those who were trading stock indices or options.
As for those programs that did not fare quite so well, the most common strategy theme was that they were short stock index options (puts) though various "Premium Collection Strategies". While not all premium collection strategies struggled in January (Cervino, Zenith, Raithel managed gains), many were caught short volatility just as it spiked to 5+ year highs. Zephyr Moderate -9.35%, Zephyr Aggressive -11%, Diamond Capital -10.02%, Ace Investments SIPC -15.93%, and Ascendant Strategic1 -84.63%. As was noted in last weeks newsletter (http://www.attaincapital.com/newsite/newsletters/265) Ascendant's loss was astounding and one that is in need of important evaluation for investors thinking about staying with, or adding the program to their portfolios.
For a complete recap of the January estimates please visit the CTA performance table on our new website: http://www.attaincapital.com/newsite/cta_performance.
***Day & Swing***
January was an extremely volatile month that generally favored the swing systems because of the inflated trading ranges. Day trading systems generally do well in periods of high volatility, but with 10 point swings in the S&Ps in a matter of minutes it was tough for most systems to maintain their positions within their risk parameters.
Signum was the top performer across all systems with the TY gaining +$7653.12 and EBL gaining +$3551.74. Both markets moved sharply higher as global stocks declined throughout the month and the system reached its first profit objective in each market and continues to hold long. PGA Powergrowth 2 had an outstanding month with profits of +$4,470 thanks to its short bias coupled with wide stops to be able to withstand the sharp rebounds usually followed by further declines. Ultramini YM followed a similar pattern of trading and finished up +$3,150 for the month.
Of the Tzar suite of systems, the NQ was the only market that finished positive with gains of +$582.19 while the eRL lost -$363.77 and the ES -$1,357.50. All three systems are currently holding short positions. Ultramini ES was active in January but the end result was a loss of -$90. Jaws US 400 had one short trade for the month for a gain of +$43.75 while Jaws US 60 lost -$393.75. Mesa Notes started the month on the wrong foot but made back some of its losses on the most recent short trade for a loss of -$1,006.25 including the positive open trade equity. Bounce EMD and eRL both had identical losses to their day trading counterparts with losses of -$1,475.10 and -$2,095.47. Finally, SeasonalST ES and eRL lost -$4,270 and -$7,680 respectively.
Moving on the day trading systems, Compass SP was the top performer with gains of +$4,926.42 on fifteen trades for the month. Rayo Plus Dax was close behind with gains of +$3,383.59 for the month. Waugh eRL had a stellar month with profits of +$2,144.31 on eighteen trades.
Elsewhere, BetaCon 4/1 ESX lost -$551.12 on just six trades for the month. As previously mentioned, BounceMOC EMD and ERL lost -$1,475.10 and -$2,095.47 respectively on two and three trades.
***Long Term***
The two areas of interest for long term trading systems during the past quarter have been the Agriculture/Food sector and the interest rate sector - and January was no different.. Grains and oilseeds rebounded strongly in January on ideas of further tightening of supplies due to large appetites in Asia and the Southern Hemisphere coupled with worries that without ideal growing conditions in the Southern Hemisphere the supply could be nearing dangerous levels. Current system positions have Aberration long Bean Oil with a gain of +$8048.00 (open trade) and long Corn making $4650.50 (open trade), while Relativity is currently long TGE Corn losing -46000.00JY but exited Long Soymeal for +$1050.00.
Elsewhere, gains in grain coupled with higher production totals in beef, pork, and poultry sparked pressure in most livestock however the lean hogs found late month support lower production numbers. The cocoa and coffee sectors found a bit of a late month bid on seasonal tendencies to put a freeze premium into prices with added support stemming from an overall bullish attitude for the commodity sector.
Other trend following positions include Aberration long mini-Silver with a gain of +$640.00 (open trade), long Ten-year Notes with a gain of +$8315.63 (open trade), long Euro-Bund with a loss of -260.00EU (open trade), and long the Sugar with a gain of +$2262.40 (open trade). Relativity is currently long Five-year notes making +2265.62 (open trade), long Cocoa making +$2670.00 (open trade) and long Eurodollars making +$2062.50 (open trade). Relativity exited short Lean Hog -$520.00, short Live Cattle +$2480.00.
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.
Feature | Week In Review | Chart of the Week | Top 5 CTAs | Top 5 Systems |
Past Performance is Not Necessarily Indicative of Future Results.
| Rank | Program Name | 12 month Return | 12 month Drawdown | Min Investment (k) |
| 1 | Clarke Capital Management, Inc. Worldwide | 51.50% | 4.06% | $250 |
| 2 | NDX Capital Management Methuselah | 39.08% | 6.13% | $40 |
| 3 | Devrim Forex Program | 29.08% | 0.00% | $5 |
| 4 | Crescent Bay Capital Management Balanced Volatility | 33.11% | 5.16% | $10 |
| 5 | Vision Capital Management, LLC Global Futures | 45.64% | 16.46% | $250 |
Figures listed are as of 2/04/2008.
IMPORTANT RISK DISCLOSURE
The rankings above are the top ranked CTAs offered at Attain over the past 12 months using a risk adjusted ratio which equals the period return divided by the period DD.
Investments in CTAs can be subject to substantial charges for management and advisory fees. The % returns in the CTA table above include all such fees, but it may be necessary for those accounts that are subject to these charges to make substantial trading profits in the future to avoid depletion or exhaustion of their assets.
The regulations of the Commodity Futures Trading Commission (CFTC) require that prospective clients of a CTA receive a disclosure document when they are solicited to enter into an agreement whereby the CTA will direct or guide the client's commodity interest trading and that certain risk factors be highlighted. The disclosure document contains a complete description of the principal risk factors and each fee to be charged to your account by the Commodity Trading Advisor (CTA). This document is readily accessible at this site using the Disclosure Document link at the Attain website.
Feature | Week In Review | Chart of the Week | Top 5 CTAs | Top 5 Systems |
Hypothetical Model Accounts using Computer Generated and Actual Client Fills.
| Rank | System Name | 90 Day Return | Return in Dollars | 90 Day Drawdown | DD in Dollars | Min Investment (k) |
| 1 | Signum EBL | 21.48% | $8,590.29 | 5.24% | $2,095.54 | $40 |
| 2 | HP II Trader EMD | 40.40% | $8,080.00 | 13.70% | $2,740.00 | $20 |
| 3 | Signum TY | 30.74% | $9,221.88 | 15.19% | $4,556.25 | $30 |
| 4 | Delta Plus 1111 DAX | 39.03% | $11,785.98 | 20.20% | $6,101.81 | $30 |
| 5 | Phi Plus DAX | 32.17% | $10,615.48 | 17.37% | $5,732.90 | $33 |
Figures listed are as of 2/04/2008.
IMPORTANT RISK DISCLOSURE
The rankings above are the top ranked Trading Systems offered at Attain over the past 90 days using a risk adjusted ratio which equals the period return divided by the period DD.
The % returns in the trading system table above are hypothetical in that they represent returns in a model account. The model account rises or falls by the exact single contract profit and loss achieved by clients trading actual money pursuant to the listed system's trading signals on the appropriate dates, or if no actual client profit or loss available - by the hypothetical single contract profit and loss of trades generated by the system's trading signals over the test period. The hypothetical model account begins with the initial capital level listed, and is reset to that amount each month. The % returns reflect inclusion of commissions, fees, and the cost of the system. Commission and fee cost = # of monthly trades * $50.00 ($30 for eminis). The monthly cost of the system is subtracted from the net profit/loss prior to calculating the % return. For systems with one time purchase costs, the monthly cost is calculated by dividing the purchase cost by the number of months in the reporting period.
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN; IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK OF ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL WHICH CAN ADVERSELY AFFECT TRADING RESULTS.
THESE PERFORMANCE TABLES AND RESULTS ARE HYPOTHETICAL IN NATURE AND DO NOT REPRESENT TRADING IN ACTUAL ACCOUNTS.