Attain Funds – September Performance

We launched a family of alternative investment funds earlier this year, and just can’t help but share the September performance (below). To get the full platform report emailed monthly with commentary on how each fund made/lost money, full track records, and all the relevant stats – register here.

FundMonthYTD
Attain Trend Following Fund+12.81%+9.55%
Attain Short Term Alpha Fund+10.88%+7.29%
Attain Global Macro Fund+1.88%+3.96%
Attain Relative Value Fund-0.40%-0.83%
Attain Ag Fund^(hypothetical)+6.57%+5.29%
Average+6.35%+5.05%
Liquid Alternative Comparisons
AQR Managed Futures Strategy I Mutual Fund (AQMIX)+3.42%-0.09%
361 Managed Futures Strategy A Mutual Fund (AMFQX)-1.34%+1.57%
Morningstar Managed Futures Mutual Fund Category(through Oct 3)+1.68%+3.29%

Disclaimer:  The return numbers herein include estimates of the full month performance for the previous month, and include assumptions for accrued fees, the effect of additions and redemptions, and other factors which may cause the final numbers compiled by the fund administrator to differ slightly. ^The Attain Ag Fund is awaiting seeding, and performance reflects the M6 Capital Mgmt. trading program performance multiplied by 1.5x and reduced by 1% annually for expected periodic expenses from fund operations. Regulations require performance adjusted for a leverage factor to be considered hypothetical performance and a hypothetical performance disclaimer to accompany such performance.

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.

Please refer to each fund’s disclosure documents for more information. Past performance is not necessarily indicative of future results. Futures trading is complex and presents the risk of substantial losses. As such, it may not be suitable for all investors. There is no guarantee that any investment product will achieve its objectives, generate profits or avoid losses.

Asset Class Scoreboard YTD – Look Who’s Climbing

Somebody forgot to tell the eight assets classes we track that they are supposed to move in different directions based on different return drivers. They all moved down together in July, back up together in August, then back down together in September…. Except for a little asset class named Managed Futures, which (right on cue) broke away from the others to post positive performance for the month to complete its best quarter since 2008 to move up to the third best performing asset class YTD.  Download our “What is Managed Futures,” whitepaper if wondering how they’re able to zig while the stock market zags.

Elsewhere, down trends in Grains and Metals made a long only approach to commodities look less than great, with an almost -6% performance on the year; while Hedge funds have given back some of their gains on the year, and Real Estate remains on top despite being the worst performer of the month.

Asset Class Scoreboard

Asset Class Scoreboard Chart

(Disclaimer: past performance is not necessarily indicative of future results)
Source: All ETF performance data from Morningstar.com
Sources: Managed Futures = Newedge CTA Index, Cash = 13 week T-Bill rate
Bonds = Vanguard Total Bond Market ETF (BND),
Hedge Funds= IQ Hedge Multi-Strategy Tracker ETF (QAI)
Commodities = iShares GSCI ETF (GSG); Real Estate = iShares DJ Real Estate ETF (IYR);
World Stocks = iShares MSCI ACWI ex US Index Fund ETF (ACWX);
US Stocks = SPDR S&P 500 ETF (SPY)

 

Shhh… Managed Futures up 4.93% in Q3

Being in the managed futures biz, you might expect us to be leading a parade complete with marching band and tumbling coppers a’ la the opening scene of Austin Powers following a month like September, where two of the family of Attain Funds posted double digit returns, and the managed futures index was up 1.94% to finish the 3rd quarter up +4.93% (past performance is not necessarily indicative of future results)

Austin Powers

It’s so cliché that the underappreciated asset class people are pouring out of miraculously turns around… but cliché or not – that’s just what happened. The naysayers said Trend Following is dead, that it’s so bad John Henry quit and Paul Tudor Jones threw in the towel, and so on and so forth… but here we are nonetheless, up 4.65% over the past 2 months in the indices, and several programs we track doing quite a bit better than that (past performance is not necessarily indicative of future results).

But we’re not going to cue the parade, just yet. For one, this is just one quarter. Sure, it’s the best quarter we’ve seen out of managed futures since 2008, but it’s just one quarter nonetheless. Secondly, we find ourselves instead wanting to keep the good great September a little under wraps, in a sort of “don’t look at us, nothing to see here” sort of way (like we’re trying to get away with something).  Telling anybody who would listen that the managed futures drawdown was a great time to invest didn’t seem to work, with managed futures assets at multi-year lows; so maybe we’ll try keeping it secret for a while. Our little secret with those smart investors who stuck with managed futures during the down times.

Here’s the managed futures performance table for the year…

September Managed Futures Performance(Disclaimer: Past performance is not necessarily indicative of future results)

P.S. – Don’t be surprised if we do cue up the Austin Powers scene if managed futures manages to string a few of these together. Here’s to continued trendiness in the US Dollar and weakness in metals and grains.

P.P.S.- Be on the lookout for an upcoming post on Attain’s Family of Alternative Funds performance in September. To get monthly performance and research updates on the family of funds, sign up here.

 

 

 

 

Alt Links: A Changing Market Environment

Market Environment:

Managed futures enjoy rare strong performance – (The Star Phoenix)

Commodities & Futures:

Gold retreats on firm dollar, down almost 6% in September – (MarketWatch)

U.S. Corn Prices Fall to Five-Year Low on Higher-than-Expected Supplies – (Wall Street Journal)

USDA grain stocks report does little to effect markets – (Ohio’s County Journal)

Corn Stocks Up 50%, Soybean Stocks Down 35%, All Wheat Stocks Up 2% — (Ag Web)

Ebola poses threat to Ivory Coast cocoa output, exporters say – (Reuters)

Is Ebola really the Cause of the Cocoa Move? – (Attain’s Alternatives Blog)

Investors Head for Exit as Commodities Extend Slump – (Bloomberg Businessweek)

Long the US Dollar… And Loving it – (Attain’s Alternatives Blog)

Regulation:

CME Group hires three people to expand international business – (Reuters)

Allocation: 

San Diego County reconsiders leverage, outsourced CIO – (Pensions & Investments)

October funds: Beware rising rates – (USA Today)

ICYMI:

108 Tools to Grow your CTA Business – (Attain’s Alternatives Blog)

Long the US Dollar… And Loving it

While hardly scientific, we tend to have a knack for highlighting a certain market move or environment on the blog, and that market or environment quickly reversing course upon our piece hitting the airwaves. It’s the futures market equivalent of the old contrarian magazine indicator.

The latest example looks to be the Currency Markets, where our talk of record low volatility at the beginning of the summer has given way to some of the most volatile currency market trading in recent memory, with the U.S. Dollar Index up around 6% in the past three months {past performance is not necessarily indicative of futures results} during what Bespoke Investment called  “The Best Quarter for the Dollar in Four Years,

Bespoke Long USD(Disclaimer: Past performance is not necessarily indicative of future results)
Chart Courtesy: Bespoke

If you do any currency trading or have actually exchanged currency in the past and are asking ‘the US Dollar versus what?’ – the US Dollar Index measures the dollar against six different currencies (and mainly the Euro), so a lot of what is happening here is reflective of the Dollar rallying against the Euro. But it’s not only the Euro that’s been selling off against the US Dollar. See if you can spot any downtrends [US Dollar up] in  the Canadian, Aussie, Yen, Pound, or Swiss Franc.

Currencies in One Chart(Disclaimer: Past performance is not necessarily indicative of future results)
Charts Courtesy: Finviz

Now, to be fair… we did ask rhetorically (and wishfully) in our beginning of summer piece whether this was the calm before the storm? So we can’t quite say this was a contrarian move that caught us, or systematic traders, off guard.  In fact, this ‘storm’ is just the sort of volatility expansion systematic futures folks like to see. It’s directional volatility, meaning the market has become more volatile (is moving more day to day) AND is moving in generally the same direction (in the case of the US Dollar, up).

For a while there in 2011 and 2012, we were asking for more volatility without being specific enough and got some non-directional volatility (aka whipsaws), which doesn’t really help anybody out.  You can see the US Dollar “break out” of its past range in the gray shaded area in the chart above (and for the more technically inclined – the 50 day moving average cross over the 200 day moving average), and that is just the sort of move systematic multi sector traders like global macro, trend following, and managed futures plan for. They suffer all of that flat to slightly down performance in exchange for being able to capture moves like this.

So it’s no coincidence that the ‘best quarter for the dollar in 4 years’ coincides with the best managed futures performance in 4 years.  This is just the sort of move that managed futures programs are designed to capture.  It’s a heck of a move in its own right, but it represents so much more than that, for it actually means that multiple currency markets are trending. And what’s more – a trending Dollar can actually affect non currency markets as well. Remember that all those Gold, Corn, Oil, Cotton and other commodities are priced in US Dollars – so all else being equal – a rising US Dollar means a falling commodity priced in US Dollars.

As short term proof – we can see the Newedge CTA Index up 1.48% so far in September after gaining 3.94% in August, to put YTD performance at up +5.57%. (it’s almost like someone said this was a generational low in managed futures around this time last year). But we’re interested in more than just the latest example, and wanted to see just how good a trending US Dollar has been for managed futures over time. Turns out a trending US Dollar is one of THE best environments around for managed futures, at about 3.5 times the monthly return of periods when the US Dollar isn’t trending. (we considered the Dollar trending if its 14 period ADX reading was increasing from one month to the next, looking back to 1989).

Average Trending Days(Disclaimer: Past performance is not necessarily indicative of future results)
Data: Barclayhedge CTA Index starting in 11/’85

So keep  cutting interest rates and doing buybacks ECB.  And keep the Abenomic experiment going, BoJ. And keep growing US Economy – because we want to keep riding this US Dollar up trend (aka Euro, Yen, Pound down trend), although we may have just jinxed it with our contrarian magazine article powers.

Weekend Reads: Secret Recordings Edition

“An unprecedented look inside one of the most powerful, secretive institutions in the country. The NY Federal Reserve is supposed to monitor big banks and prevent another financial crisis. But when Carmen Segarra was hired, what she witnessed inside the Fed was so alarming that she bought a tiny recorder, and started secretly taping.”

The Secret Recordings inside the NY Federal Reserve – (This American Life)

Podcasts:

Covenant Capital Long Term Trading – (Top Traders Unplugged)

The Rise of Podcast Networks – (Fast Company)

Hedge Funds:

Then and Now: The Hedge Fund Industry in 2008 and 2014 – (Preqin)

2 & 20 is Dead – 1 & 15 is on the Way Out… (Do you agree?) – (Pragmatic Capitalism)

“The Passive/Active Distinction is About Cost” – (Pragmatic Capitalism)

Asset Class Performance:

Which Assets Perform When Inflation Is Low? – (Financial Planning)

Bill Gross:

[Read more...]

Is Ebola really the Cause of the Cocoa Move?

If you haven’t been paying attention to the Cocoa market the past couple of days, it’s certainly been on the move. How big of a move? An 11%, Coo-Coo for Cocoa Puffs kinda move since the end of last week. That would be like the Dow going from 17,000 to 18,870 in a week!

Cocoa Daily moves(Disclaimer: Past performance is not necessarily indicative of future results)

Now by the headline, you’ve already gathered that some are linking this sudden move to the Ebola outbreak in Western Africa. There are 5,800 confirmed cases in Guinea, Liberia, Sierra Leone, and Nigeria. What’s more troubling is just this week; the CDC estimated that the outbreak could reach 1.4 million cases within the next four months.

Our thoughts are with the people in these countries fighting to stop the spread of such a deadly disease, and we hope the Red Cross, the CDC, and WHO can effectively find a way to control what could turn into (if it isn’t already) a pandemic in Africa.

In the meantime, if Ebola does spread as fast as the CDC predicates, the disease could easily find its way into neighboring countries like The Ivory Coast, and Ghana. And that’s where Cocoa comes into the picture. Those two countries produce around 60% of the world’s Cocoa. The Wall Street Journal explains that this would halt exports of the crop, because of the way Cocoa is transported.

“Cocoa is grown on tiny plots, with growers selling their beans to middlemen who ride from farm to farm on motorbikes gathering the crop to transport to the coast for export. The travel restrictions and quarantines used to contain the disease could quickly isolate millions of farmers, choking off supplies to the world’s chocolate makers.”

This also seems good and logical until you take a step back, and think about the big picture. The first case of Ebola was identified back in March… and Cocoa was actually lower a few months later in May, before inching, and now shooting, higher.

[Read more...]