Managed Futures Industry Ditches Polar Vortex for MFA

Every January – a who’s who of the managed futures space shows up down in Miami for the back to back MFA and Alphametrix Context conferences. We can’t imagine why they would decide to gather in Miami during January… but the continued Polar Vortex blasts likely has something to do with it.

MFA

Some members of the Attain team attended MFA’s “Network 2014” Conference, affectionately called simply = “MFA” by those in the industry; and we had the opportunity to catch up with longtime friends of Attain as well as some new faces as part of our ongoing commitment to research in the CTA space. We can’t possibly relay all that was seen and heard, but here’s a short list of managers we caught up with, and what they are up to recently:

– 2100 Xenon Group LLC – If you’re looking for a long/short fixed income program and way to play the rise in interest rates that surely must come one day (right?) – they are the list.  Over the past few difficult years for CTAs, their risk management process has really proved itself in minimizing their downside risk.  Currently nominated by CTA Intelligence as a candidate for “Best Financials Strategy” in 2013.

– Acorn Global Investments Inc., — While the name is new, the person who founded the company is familiar to many in the industry, Jason Russell.  The Canadian investment firm was originally founded in 2004 under its previous name J. Russell Capital Management. Acorn systematically identifies (pattern recognition) and attempts to capture repeatable price movements in highly liquid markets 24 hours/day in currencies, metals, agriculture, energies, equities and bonds. While Acorn is not currently available in managed account format, it was nice to hear about his program.

– Altis Global Futures Portfolio  – We’ve always liked Stephen Hedgecock and Natasha Reeve-Gray, two of the partners of Altis, and their commitment to ongoing research.  Their newest project is a beta replication strategy called the Altis Momentum Program, which targets 10% volatility and aims to provide a high correlation to trend following indices –  while charging no incentive fee.

– Auctos Capital Management – Kevin Jamali has been a friend of Attain for many years, and as a fellow Chicagoan, we’ve been able to closely monitor his strategy through live trading accounts and on-site visits.  His multi-strategy system was able to avoid some of the losses suffered by some trend following programs from quick reversals in market trends in 2013 and he finished the year slightly positive.

– Briarwood Capital Management – We have several accounts with briarwood and were happy to see them mostly (the 2nd half of the year could have been better) navigate the challenges that faced many trend followers in 2013.  They finished the year down by less than 1%, and this was one of only two losing years in their 12 year history (following an impressive 2012 performance of 10.53%).

– Blue Diamond Non-Directional Fund – This is another program not currently available in the managed account format, but as part of our effort to stay up to date on interesting programs, we were happy to learn about this interesting program out of Switzerland which spread trades the VIX through a purely systematic strategy.  We will keep an eye on them to see if they ever decide to open up their program as a CTA.

– Camomille LLP – They are not available in managed account but we will keep an eye on them.  Their strategy is systematic, which trades equities and energies and seeks to profit on market corrections/recoveries.

– Covenant Capital Management– Attain Portfolio Advisors’ Trend Following Fund is managed by Covenant, so we know them inside/out – well enough to know they aren’t fazed by a small losing year, and that their longer term model (longer than most) will be back in phase soon.  The covenant/attain trend fund celebrates the anniversary of its 10 year track record this month.  While past performance is not necessarily indicative of future results, but we  hope to see the next ten years bring a similar total return (380%+).

– Desgraves – We heard quite a bit of buzz about this group out of Melbourne Australia, so we were very happy to have the opportunity to hear  first hand about their short term systematic strategy that they launched in December of 2012.  The strategy is always flat at the end of the day and they allocate less than 50% to financial futures. They finished 2013 up 11.48% and we’ll be keeping a close eye on them moving forward {past performance is not necessarily indicative of future results}.

– Dominion Capital Management  – This is another short term strategy that Attain has come to know well over the years; Dominion’s Sapphire Program finished 2013 up 19.25% in one of the industry’s great comeback stories {past performance is not necessarily indicative of future results}. Faced with a 2 year stretch of drawdown between 2010 and 2012, they kept at the research and made adjustments to the program which bore fruit, proving it isn’t just about the model you have, it’s also about the models you can create moving forward.

– Emil van Essen – It’s been a difficult period for Emil and the spread trading methods they utilize, but their passion for producing results remains unfazed as they continue to research improvements to their strategy. If you are a value based investor – getting in on the EVE program at these levels might look appealing… they are due for a comeback much like Dominion saw last year.

– Mesirow Financial Commodities Management  – The news out of Tom Willis and Mesirow is the roll out of a new strategy that they will offer in addition to their discretionary program – to also be managed by Tom Willis.  The new program is a systematic intra-day short term fixed income focused strategy, which may see some exciting times ahead given the current interest rate environment.

– Sunrise Capital Partners – While sunrise is certainly no newcomer to the CTA space, they have revamped their management team and launched a new program called the Sunrise Evolution Strategy, which finished 2013 up 21.72%{past performance is not necessarily indicative of future results}. Not too shabby!  The best part, managed accounts are available at the $500k level.

– Vallen Advisors – Vallen Advisors has a short term systematic trading strategy designed by Robert Vallen, an industry veteran with deep CTA/trading and risk management experience with tenures at firms including Citicorp, GMAC, Blackstone alternative asset management, and FORT to name a few.  The strategy is research driven, utilizing parameter stress tests, analytics using daily price and volume data, and trend and counter trend elements.

 Want to talk more about any of these managers? Give us a call to go over our full due diligence notes and/or off the record thoughts and comments.

 

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Disclaimer
The performance data displayed herein is compiled from various sources, including BarclayHedge, RCM's 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.

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.

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.

See the full terms of use and risk disclaimer here.

Disclaimer
The performance data displayed herein is compiled from various sources, including BarclayHedge, RCM's 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.

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.

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.

See the full terms of use and risk disclaimer here.