Managed Futures finish Q3 on up note

October 1, 2010 Attain Capital 1 Comment  Like
Managed Futures

We are estimating the various managed futures indices finished September up between 1.25% and 3%.  [The NewEdge CTA Index was sitting at +1.56% through 9/29 (and likely gave some profits back on grain, gold, and currency reversals on 9/30).  This would put the Q3 gains for managed futures at about 4.3%, marking the best performance for the asset class since the ‘end of the world’ volatility in Q4 2008.

Past Performance is Not Necessarily Indicative of Future ResultsManaged Futures Performance Q4-08 thru Q3-10Source: NewEdge

Programs monitored by Attain: [past performance is not necessarily indicative of future results]

Performance among programs monitored by Attain saw most multi-market programs finding success behind strong trends in grains, softs, metals, and foreign currencies – while option sellers and counter trend managers were in the red after fading those same moves.

Based on our early estimates Covenant Capital Management Aggressive is the top performing multi-market program September. Covenant holds long positions in many of the sectors listed above and saw gains of approximately +11.40% for the month.  Right behind Covenant is Robison-Langley Capital Management at +9.15%.

Other multi-market traders with impressive results in September include Attain Portfolio Advisors Modified Program +6.95%, Clarke Worldwide +6.00%, Attain Portfolio Advisors Strategic Diversification +4.54%,  Auctos Capital Management Global Diversified +4.16%, Hoffman Asset +1.40%, Futures Truth SAM 101 +1.48%, Accela Capital Management Global Diversified +1.44%, Clarke Global Magnum +1.01%, GT Capital +0.85%, Futures Truth MS4 +0.63%, Integrated Managed Futures  Global Concentrated +0.38%,  and Sequential Capital Management +0.32%.

Unfortunately, some programs were unable to post positive numbers despite the optimal trading conditions. Programs in the red include Mesirow Financial Commodities Low Volatility -0.18%, Mesirow Financial Commodities Absolute Return -0.30%, DMH -0.35%, Dominion Capital Management Sapphire -2.60%, Clarke Capital Global Basic -2.60%, Quantum Leap Capital -3.00%, Applied Capital Systems -3.80%, and Applied Capital Systems 2X -4.00%.

Short-term index traders posted mixed returns with Roe Capital Management Jefferson +1.48% and Roe Capital Management Monticello Spread +1.28% posting positive returns, while Paskewitz Asset Management Contrarian 3X St. Index -8.16% and Pere Trading Group -3.32% were down for the month.

After 18 months of declining volatility and impressive returns for option traders, September was a quick reminder of the need for diversification into long volatility strategies for investor portfolios (see multi market manager update above).  Option trading managers that did turn a profit for the month include ACE SIPC +0.83%, Crescent Bay PSI +0.46%, and ACE DCP +0.30%.  All others who were on the defense for the month and ended down include: Cervino Diversified Options -0.34%, Cervino Diversified 2x -0.51%, Clarity Capital -1.62%, Kingsview Management -2.23%, Crescent Bay BVP -3.36%, HB Capital -4.8%, FCI OSS -8.96%, and FCI CPP -13.46%.

Specialty market managers have been a highlight in investor portfolio for 2010 and September was no exception.  The month’s top performers were agriculture specialists Oak Investment Group +13.87% and Rosetta Capital Management with an estimated +8.21% return for the month.  Oak has been fighting their way back from earlier 2010 losses while Rosetta added to their 2010 gains +6.5% through August.

Other specialty market manager estimates for the month include gains from NDX Shadrach +3.32%, AFB Forty Eighter Gold +2.26%, NDX Abednego +1.13%, Emil Van Essen Spread Program +0.96%, and Cervino Gold +0.95%.  2100 Xenon Fixed Income was down the only specialty manager to end down with an estimated -1.75% loss.

Visit https://www.attaincapital.com/alternative-investment-performance/managed-futures/recommended-ctas for the full performance listing.

One comment

  1. Jeff Eizenberg, VP-Client Portfolio Mgmt., AttainCapital.com
    October 4, 2010

    The NewEdge CTA Index is showing +1.27% for September after the close of the month.

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Disclaimer
The performance data displayed herein is compiled from various sources, including BarclayHedge, 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 programs listed here are a sub-set of the full list of programs able to be accessed by subscribing to the database and reflect programs we currently work with and/or are more familiar with.

Benchmark 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, self reporting, and instant history. Individuals cannot invest in the index itself, and actual rates of return may be significantly different and more volatile than those of the index.

Managed futures accounts can subject to substantial charges for management and advisory fees. The numbers within this website 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.

Investors interested in investing with a managed futures program (excepting those programs which are offered exclusively to qualified eligible persons as that term is defined by CFTC regulation 4.7) will be required to receive and sign off on a disclosure document in compliance with certain CFT rules The disclosure documents contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA, as well as the composite performance of accounts under the CTA's management over at least the most recent five years. Investor interested in investing in any of the programs on this website are urged to carefully read these disclosure documents, including, but not limited to the performance information, before investing in any such programs.

Those investors who are qualified eligible persons as that term is defined by CFTC regulation 4.7 and interested in investing in a program exempt from having to provide a disclosure document and considered by the regulations to be sophisticated enough to understand the risks and be able to interpret the accuracy and completeness of any performance information on their own.

RCM receives a portion of the commodity brokerage commissions you pay in connection with your futures trading and/or a portion of the interest income (if any) earned on an account's assets. The listed manager may also pay RCM a portion of the fees they receive from accounts introduced to them by RCM.

Limitations on RCM Quintile + Star Rankings

The Quintile Rankings and RCM Star Rankings shown here are provided for informational purposes only. RCM does not guarantee the accuracy, timeliness or completeness of this information. The ranking methodology is proprietary and the results have not been audited or verified by an independent third party. Some CTAs may employ trading programs or strategies that are riskier than others. CTAs may manage customer accounts differently than their model results shown or make different trades in actual customer accounts versus their own accounts. Different CTAs are subject to different market conditions and risks that can significantly impact actual results. RCM and its affiliates receive compensation from some of the rated CTAs. Investors should perform their own due diligence before investing with any CTA. This ranking information should not be the sole basis for any investment decision.

See the full terms of use and risk disclaimer here.

Disclaimer
The performance data displayed herein is compiled from various sources, including BarclayHedge, 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 programs listed here are a sub-set of the full list of programs able to be accessed by subscribing to the database and reflect programs we currently work with and/or are more familiar with.

Benchmark 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, self reporting, and instant history. Individuals cannot invest in the index itself, and actual rates of return may be significantly different and more volatile than those of the index.

Managed futures accounts can subject to substantial charges for management and advisory fees. The numbers within this website 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.

Investors interested in investing with a managed futures program (excepting those programs which are offered exclusively to qualified eligible persons as that term is defined by CFTC regulation 4.7) will be required to receive and sign off on a disclosure document in compliance with certain CFT rules The disclosure documents contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA, as well as the composite performance of accounts under the CTA's management over at least the most recent five years. Investor interested in investing in any of the programs on this website are urged to carefully read these disclosure documents, including, but not limited to the performance information, before investing in any such programs.

Those investors who are qualified eligible persons as that term is defined by CFTC regulation 4.7 and interested in investing in a program exempt from having to provide a disclosure document and considered by the regulations to be sophisticated enough to understand the risks and be able to interpret the accuracy and completeness of any performance information on their own.

RCM receives a portion of the commodity brokerage commissions you pay in connection with your futures trading and/or a portion of the interest income (if any) earned on an account's assets. The listed manager may also pay RCM a portion of the fees they receive from accounts introduced to them by RCM.

Limitations on RCM Quintile + Star Rankings

The Quintile Rankings and RCM Star Rankings shown here are provided for informational purposes only. RCM does not guarantee the accuracy, timeliness or completeness of this information. The ranking methodology is proprietary and the results have not been audited or verified by an independent third party. Some CTAs may employ trading programs or strategies that are riskier than others. CTAs may manage customer accounts differently than their model results shown or make different trades in actual customer accounts versus their own accounts. Different CTAs are subject to different market conditions and risks that can significantly impact actual results. RCM and its affiliates receive compensation from some of the rated CTAs. Investors should perform their own due diligence before investing with any CTA. This ranking information should not be the sole basis for any investment decision.

See the full terms of use and risk disclaimer here.

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