With the holiday over the past weekend, we took a break from sending out our newsletter, but wanted to make sure everyone was kept in the loop as far as how things shook out in the markets, managed futures and trading systems spaces. Here you are- the Attain Capital Week in Review for last week:
[Disclaimer: All known news and events have already been factored into the price of the underlying commodities discussed. Past Performance is not necessarily indicative of future results]
Overview
This week was mixed as far as markets were concerned. In stocks, the S&P 500 was up 0.16%, while the Dow Jones and Nasdaq fell fractions of a percent. The E-mini S&P 500 was up 1.34%, and the Russell 2000 E-mini was up 0.58%. No major movers, which seems to be the general trend for the month of May. Treasuries, on the other hand, performed well, with 30 year bonds gaining 0.81% and ten year notes jumping 0.83% to 5 and 6 month respective highs.
In currencies, the Dollar was the sole slider, dropping 0.74% while other currencies surged ahead in the volatile interest rate climate. The Swiss Franc, in particular, climbed 2.85% to a new all-time high.
In metals, silver inched back up again with a gain of 7.90% while other metals posted smaller gains. Energies saw the ascent of RBOB gasoline- up 5.43% on summer driving speculation- and natural gas –up 5.66%.
In agriculture, corn and soybeans slid down, with Wheat climbing a mere 1.64%- a trend that has been reversed today on news that Russia will be lifting their export ban on Wheat. Softs gained small amounts, with orange juice creeping close to a 41 month high as the markets began to brace for potential hurricanes this year. Cocoa was the oddball in the group- hitting a 6 month low before bouncing up 2.45%.
Meats were where the biggest drops were seen. Live Cattle dropped to a ten month low, while lean hogs dropped to a 20 month low, catching many by surprise.
Managed Futures
In the world of managed futures one comment we hear quite often is “one man’s loss is another man’s gain.” This statement couldn’t be more true about the month of May, as the month is shaping up to give up one of the most diverse ranges of returns across the various strategy groups that we can remember…we’ll go ahead and remind everyone: once again, this is why we recommend diversifying across multiple time frames, markets, and managers.
Following the best performing month in years for multi-market managers, most are poised to finish out May in the red. One exception has been Dighton Capital, which is currently ahead an estimated 9.79% following their 100% discretionary trading strategy which generally includes a counter trend approach. Others currently ahead or breakeven include Clarke Capital Global Magnum which is ahead 3.22% and Futures Truth MS4 which flat on the month. The large group of managers who are down for the month are as follows: Clarke Capital Global Basic down 0.70%, Integrated Managed Futures Concentrated down 1.34%, Integrated Managed Futures Global down 1.72%, 2100 Xenon 2x Program up 1.80%, Blue Fin Capital Compact Omega down 3.12%, APA Strategic Diversification down 4.20%, Auctos Capital down 4.31%, Robinson Langley down 6.73%, Hoffman Asset down 8.55%, Covenant Capital Aggressive down 8.56%, Accela Capital Global Diversified down 9.83%, Clarke Capital Worldwide down 10.91%, and James River Navigator down 12.29%.
Short term multi-market strategies have had a wide range as some have enjoyed the recent volatility while others have remained out or given back some gains. GT Capital is currently leading the way ahead 11.47%, followed by Quantum Leap Capital which is ahead 5.27%, Bouchard Capital which is ahead 3.29%, Futures Truth Sam 101 which is ahead 0.46%, and Mesirow Absolute Return which is ahead 0.26%. Short term multi-market managers in the red include DMH which is down 0.03%, Mesirow Low Volatility down 0.29%, Kottke Associates Willis Enhanced down 0.64%, Dominion Capital down 1.56%, and Accela Capital Global Short Term down 4.19%.
Stock index manager Paskewitz Asset Management has pushed ahead 4.73% for the month while Roe Capital Management – Jefferson is ahead 0.03% and Roe Capital – Monticello Spread is down 0.57%.
Option trading managers started off very much in the red, but most have bounced back from their lows and many are now ahead. Currently, Crescent Bay BVP is leading the way ahead 5.52%, followed by Liberty Funds Group ahead 4.33%, Clarity Capital ahead 3.60%, Bluenose Capital B1 ahead 1.99%, Crescent Bay PSI ahead 1.84%, FCI OSS ahead 1.07%, Cervino Diversified 2x up 0.82%, and Cervino Diversified ahead 0.31%. Option trading managers who are currently down include HB Capital down 1.05%, FCI CPP down 1.97%, and White River Group down 9.88%.
Specialty market managers have been a bright spot in an otherwise volatile array of performance figures. Spread trading specialist, Emil Van Essen is currently leading the way with estimated returns of +4.43% and +3.90% for their Combined and Commodity only strategies respectively. Agriculture manager estimates include the following: Rosetta Capital ahead 2.89%, NDX Shadrach ahead 2.16%, Global Ag ahead 1.92%, NDX Abednego ahead 0.65%, and Ocrant down 33.44% on a short cattle option spread. Gold specialists are mixed with Cervino Gold up 0.59% and AFB Forty Eighter down 0.07%. Lastly, Fixed Income Specialist 2100 Fixed Income is having a great month up 2.94% – the program is designed to capitalize on the transition and trends of the interest rate environments.
Trading Systems
Trading systems kept up their run of positive results last week. Compass did not make any trades in the month of April, but in May, Compass has already traded 3 times, which includes 2 trades it did last week. Strategic continues to be on a good run, and also traded well last week.
On the swing side, Strategic got back in the spotlight by making three excellent trades during the week. However, its best trade was a trade it started on 5/19 when it got short. On Monday morning, the S&P market opened up nearly 24 points lower from where Strategic had gotten short and after a brief rally in the S&P market, Strategic reversed long. On Tuesday morning, the market opened 4 points higher from Monday’s close and Strategic reversed short. On Wednesday morning, the market opened up 4 points lower and Strategic once again reversed its position and got long after a rally in the S&P. On Thursday, Strategic got flat and stayed flat for the rest of the week. For the week, Strategic ES made $1,339.85, Strategic SP made $7,525.00, and Strategic Filter SP made $7,525. 00. Other notable results included Moneybeans S up $40.00, Bam 90 M Squared ES up $140.00, Bam 90 Single Contract up $177.50, Kodiak ES up $332.40, and Jaws US 400 up $626.25.
There were some systems that finished in the red last week. Moneymaker ES traded once last week when it got long on Monday, but, unfortunately, it got long from near the high of the day on Monday. On Tuesday, Moneymaker got flat when the emini S&P 500 began to sell off. For the week, Moneymaker lost $180.00. Other results in the red included Ag Mechwarrior ES down $5.00, Bounce EMD down -$326.67, Jaws 60 US down -$372.50, Bam 90 ES down $1,177.50.
On the day trading side, Compass experienced an up and down week. On Monday, Compass got short around noon. Unfortunately, the S&Ps rallied since Compass got short and it ended up losing nearly 5 points on the trade. However, on Thursday, Compass got long and the market moved dramatically in its favor, generating a 7 point winner. For the week Compass SP was up $328.58 and Compass ES was up $2.50. The other positive result included PSI! ERL up $4.00.
On the downside last week was Upperhand. It got long on Friday, and initially the market moved its in favor. However, after setting the high of the day at 1333.75, the market sold off and finished nearly unchanged on the day. For the week, Upperhand ES lost $80.00. The other system in the red was BounceMOC EMD, which lost $60.00.
DISCLAIMER
Forex trading, commodity trading, managed futures, and other alternative investments are complex and carry a risk of substantial losses. As such, they are not suitable for all investors.
The entries on this blog are intended to further subscribers understanding, education, and – at times- enjoyment of the world of alternative investments through managed futures, trading systems, and managed forex.
The mention of asset class performance 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.
Unless distinctly noted otherwise, the data and graphs included herein are intended to be mere examples and exhibits of the topic discussed, are for educational and illustrative purposes only, and do not represent trading in actual accounts.
Managed Futures:
Past Performance is Not Necessarily Indicative of Future Results. The regulations of the CFTC require that prospective clients of a managed futures program (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 CTA.
Trading Systems:
The dollar amounts listed for trading systems 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.
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.
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ATTAIN CAPITAL MANAGEMENT, LLC.
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This communication is intended for informational purposes only. It is not intended as investment advice, or an offer or solicitation for the purchase or sale of any financial instrument. No market data or other information is warranted by Attain Capital Management as to completeness or accuracy, express or implied, and is subject to change without notice. Any comments or statements made herein do not necessarily reflect those of Attain Capital Management, or their respective subsidiaries, affiliates, officers or employees.
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.