December 3, 2010
Attain Capital
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While most investors can’t stomach investing in something which is on a losing streak, we have long been proponents of trying to break the “in at the highs, out at the lows” cycle by trying instead to “get in at the lows”. And even have some good data on it in our past newsletters: Managed Futures Drawdown, Recovery, and Run Up Cycles and Should you Buy, Hold, or Fold a Drawdown in Managed Futures? .
It looks like one such opportunity is upon us with the Emil Van Essen Spread Trading Program. As of yesterday (12/2/10), the Emil Van Essen Low minimum spread program extended their current intramonth drawdown to approximately -10% vs their previous max of -7.5% since their risk reduction in 2008.
Emil Van Essen has consistently been ranked in the top 15 CTA’s by Attain Capital for the past 18 months, and is a nice diversification tool given their low correlation to traditional managers via their unique approach of trying to book the roll yield long only index funds are willing to sacrifice.
Through November 2010 the strategy remained ahead +9.18% for the YTD after returning +19.05% in 2009, 79.78% in 2008, and 32.31% in 2007 [Past performance is not necessarily indicative of future results]. The maximum drawdown on the program has been -35.9% (October 2007); however a significant change to the mangers trading leverage occurred late in 2008 where they reduced the trading level by 3x effectively reducing both the up and downside deviations of the strategy.
The current drawdown represents a great opportunity to get involved in a quality program at a bit of a discount, in our opinion. To learn more about the program please review our Managed Futures Spotlight: Emil Van Essen Spread Trading or contact us at invest@attaincapital.com.
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.
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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.
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January 5, 2011
[…] Another nice story in 2010 was the bounce back of spread trader Rosetta Capital (they could also be categoriuzed as specialty, ag, or discretionary – but their use of spreads puts them in this category for now). Rosetta Capital managed +0.18% in December to close out the year at +25.70%, Elsewhere in spreads, Emil van Essen finished December -1.47% after recovering from its intramonth low of -5%, allowing the program to end 2010 ahead an estimated +7.81%. This continues to be one of our recommended drawdown buys – see 12/3/10 blog post here. […]
January 5, 2011
[…] Another nice story in 2010 was the bounce back of spread trader Rosetta Capital (they could also be categoriuzed as specialty, ag, or discretionary – but their use of spreads puts them in this category for now). Rosetta Capital managed +0.18% in December to close out the year at +25.70%, Elsewhere in spreads, Emil van Essen finished December -1.47% after recovering from its intramonth low of -5%, allowing the program to end 2010 ahead an estimated +7.81%. This continues to be one of our recommended drawdown buys – see 12/3/10 blog post here. […]
January 6, 2011
[…] Another nice story in 2010 was the bounce back of spread trader Rosetta Capital (they could also be categoriuzed as specialty, ag, or discretionary – but their use of spreads puts them in this category for now). Rosetta Capital managed +0.18% in December to close out the year at +25.70%, Elsewhere in spreads, Emil van Essen finished December -1.47% after recovering from its intramonth low of -5%, allowing the program to end 2010 ahead an estimated +7.81%. This continues to be one of our recommended drawdown buys – see 12/3/10 blog post here. […]