Attain Launches Family of Alternative Funds (

We’re happy to announce a new website over at in conjunction with the launch of our new family of alternative investment funds. The new family of Attain Funds contains five single manager funds across five main alternative investment strategies: Trend Following, Short Term Trading, Relative Value, Agriculture, and Global Macro; while containing several “platform” features such as the ability to switch between funds and transparency through the daily reporting of positions.

APA Device

We designed things so that registered investment advisors and their clients can see the investments on their statements through custodians such as Fidelity, Schwab, TD Ameritrade, and more; while also making the funds available to individual investors through direct investment. Attain CEO Jeff Malec has this to say about the effort in a recent press release:

“The world of accessing privately offered alternative investment funds is pretty backwards. Most platforms have a supermarket-like selection of big brand name funds, but nobody in the store to help you browse the aisles.  Attain wants to flip that on its head and offer a smaller selection of high quality, ‘right-sized’ programs we believe will have long term success; with focused education and research to help advisors avoid spending 90% of their time on a space that’s 10% of their assets.”

Who are the managers? Attain Portfolio Advisors, a registered Commodity Pool Operator and wholly owned subsidiary of Attain Capital Management is the manager of each of the funds, with separate commodity trading advisors performing the trading advisor role to direct the actual buys and sells for the fund’s account. The selection of the sub advisors was focused on small to midsize managers with a healthy dose of commodity exposure, based on our belief that the largest managed futures managers have underperformed of late based in part on their overexposure to financial markets. And focused on managers the team at Attain has watched for years, tracking the day by day trading for individual clients of the managers in what we call our ‘real-time due diligence’ process.

Finally – all of the funds are JOBS Act registered, in a move partly so we can “advertise” them, and partly so we could see what that experience will be like and report back to readers of the blog.  The JOBS Act registration means their available to accredited investors only.

Click here to get monthly performance and research updates on the family of funds, and thanks to all those who have supported our efforts to launch this new side of Attain’s business.

Top Ten Managed Futures Performers of June

While one month’s performance is no way to judge an investment that has 3 to 5 year cycles, a glance at who’s doing well in the different environments month to month can be a useful data point at times. Here’s the top managed futures performers (by return only) for the month gone by:

Note: These programs are not necessarily recommended by Attain. For a list with much more thought behind it – check our semi-annual rankings. (Be on the lookout for the latest semi-annual rankings in the coming weeks).

 (Disclaimer: past performance is not necessarily indicative of future results. Programs listed consist of those with at least a 3 year track record tracked by Attain Capital Management for investment by clients via managed accounts and do not represent all available programs in the managed futures universe.  The Max DD represents the worst drawdown of all time for the listed programs). 

Top 10 CTA's of June
June ROR
Max DD
Min. Invst.
Paramount Capital (QEP)18.94%-57.77%100,000
Purple Valley Capital -- Diversified Trend11.02%-49.34%1,000,000
JKI Futures -- Etiron 2X Large10.73%-37.27%1,000,000
Dreiss Research Corp. (QEP)9.34%-51.44%1,000,000
Altis Global Futures Portfolio -- Composite (QEP)7.60%-44.00%20,000,000
Northstar Commodity Investment -- TBE Capital (QEP)7.60%-44.27%25,000
Melissinos Trading -- Eupatrid Commodity (QEP)7.25%-22.71%250,000
Global Ag (QEP)7.01%-20.82%1,000,000
M.S. Capital Management -- Gl Diversified 6.99%-35.62%2,000,000
Tellurian Capital -- Ascend6.70%-29.91%500,000

The Commodity Exposure Scoreboard Mid Year

Here’s our monthly look at the various commodity ETFs and how they track a simple strategy of buying December futures and rolling them annually. Plus, a comparison to Ag Traders and an overall commodity index.  

Last week we covered the grains major sell off over the past three months, and if this continues, we just might be seeing the Ag CTA Index capitalize off of such trends. All the while, these grain markets might drag down the average performance for futures and ETFs.

(Disclaimer: Performance as of 6/30/2014)

Commodity ETF Over/Under Performance 2014

Crude Oil$CL_F
Brent Oil$NBZ_F
Natural Gas$NG_F
Live Cattle$LE_F
Lean Hogs$LH_F
Commodity Index $DBC3.63%
Long/Short Ag Trader CTAs1.13%

(Disclaimer: past performance is not necessarily indicative of future results).
(Disclaimer: Sugar uses the October contract, Soybeans the November contract.)
Long/Short Ag Trader CTA = Barclayhedge Ag Traders Index

Alternative Investments: Why do we care?

Have you ever gotten into an argument and thought of the perfect ‘come back’ line a days later, or wish you had said something a little different in an interview or on a first date. Well, our CEO Jeff Malec was invited to present at a “Lunch & Learn” (whatever that is…) put on by Advocate Asset Management, proprietor of the EVO volatility strategy, and their partners Aegea Capital this week. Thing is, he wasn’t a huge fan of his spiel, having one of those ‘a ha’ moments on the walk back to the office where you think, I should have approached it this way.

You usually don’t get a chance to say it again (especially on that first date), but when you have your own blog… well, then there might just be a chance. Here’s Jeff’s revised speech, getting into why we’re all worried about this alternative investment stuff in the first place.

I’m a philosophy major, so I’ll begin by asking – what are we all doing here? Ignoring the existential answers to that question and focusing just on the investment world – we’re all here because we have a problem.

The problem is – we’re most all “naturally long” stocks, meaning that even when we don’t have a direct investment in stocks and benefit from share prices rising; we have indirect exposure to the stock market via our jobs, the real estate market, corporate bonds, and even commodity investments tied to how the global economy is doing.  That’s a problem because the stock market is known for some rather big down moves and bouts of scary volatility (see the bubble and credit crisis as the most recent examples).

The game anyone who worries about such things plays is finding and creating investments which can reduce the risk of these volatility spikes and big down moves. We all want to sleep a little better at night (and get some better performance and earn some fees, it’s not all altruistic). So how can you do that? How do you protect a stock heavy portfolio? The basic options are: Do negatively correlated stuff:

  • Exit stocks all together
  • Buy insurance (puts)
  • Invest in negatively correlated strategies (short bias hedge funds, buy VIX futures)

o   Invest in non correlated stuff

  • Commodities
  • Hedge Funds
  • Managed Futures

Turns out this isn’t that easy of a game, however; as there are issues with both approaches. The problem with investing in negatively correlated stuff (puts, short bias, VIX) is it’s expensive. It will perform when you need it to, in the bad times – but it costs too much during good times, either through paying premiums or missing out on gains or holding a decaying asset; creating a scenario where you have to get the timing just right in order for the economics to work out.

And the problem with non correlated stuff is that it won’t always be a hedge. Many people confuse non correlation with negative correlation. Non correlation means an investment will do something different (on average), that’s all you know. That ‘on average’ part is the killer, as it means the correlation will sometimes be positive and sometimes negative, averaging out to around zero correlation (non correlated).  Problem is, we don’t live in a world of averages. We feel pain in real time, not on a smoothed, average basis – so when our non correlated investment becomes highly correlated over a short period of time, such as we saw in real estate, commodities, and hedge funds in 2008, it’s at best frustrating – and at worst a disaster for the portfolio.

What investors really want in an alternative investment is the best of both worlds. They want negative correlation during down turns, and positive or no correlation the rest of the time. But how do you do that absent a crystal ball allowing you to perfectly time the market. How do you this ‘best of both worlds’ hedge?

The poster child for such a ‘best of both worlds’ hedge has been Managed futures, which have historically been able to make some money during stock market rallies, and make a lot of money during market crisis periods (past performance is not necessarily indicative of future results… which we’ll see in a second).  Managed futures have historically been slightly positively correlated in up markets and negatively correlated in down markets.

How did they do this? It isn’t magic. They mainly use a systematic, “long volatility” approach which goes both long and short upon a market seeing increased volatility and breaking out of its current range, and spread bets over many market sectors such as grains, energies, currencies, bonds, and even stock indices so something they track is always moving. The trick during stock market rallies when there was little to no volatility, was to compensate by extracting volatility breakouts from other sectors.

That all sounds great, but there’s one little problem – it hasn’t been working of late. Fast forward to today, and you can see that it’s not just the VIX and stock market volatility that’s low. It’s prevalent everywhere. We’re seeing the smallest ranges in the 10yr Note in 35 years. The smallest annual move in Crude Oil in 20 years. Currencies in the 5th percentile (95% of cases higher) of historical implied volatility. There is complacency everywhere, and that is has hurt managed futures ability to make money when stocks are rallying (especially the larger programs which trade mostly financials). Traditional managed futures programs backup plan for a low volatility, non crisis period market isn’t contributing as it has in the past.

Which brings us to Advocate and Aegea, who have attempted to design a solution for this problem. They don’t try and beat the slow, low volatility times with multiple market sectors and hopes of volatility being present elsewhere. They do it with market structure. What do they mean by that? In the simplest sense, that there is a defining characteristic to some markets, their structure, where the asset has a built in decay in value or built in curve where nearby prices are higher than further off prices, and so forth.

In the case of short options and short Vix futures, the market structure will, by definition, provide return during periods which aren’t good for a strategy designed to profit when volatility spikes. Of course, this is nothing new – option sellers have been ‘picking up pennies in front of the freight train’ like this for years. The difference here is, they are not just cognizant of the risk of the train coming down the track in the form of a volatility spike, they are planning for it.

They know the risk to being positively correlated to stocks via market structure during low volatility times is you won’t be negatively correlated when the spike comes, and have designed their models to do something about. They try to be net long volatility (yet still able to collect premium) by being short it on the front end and long it on the back end on the securities side,  and being dynamic in their exposure on the VIX futures side, with the ability to switch to long VIX should their indicators signal a rising volatility environment. But enough from me, let’s let them explain just how they do that.

Thanks to the team at Advocate and Aegea for the lunch (and the learn).

No Grain. No Gain.

We’ve sort of been sitting on this one, not wanting to jinx it… but we can’t keep it in any longer – the grain markets are in one beauty of a down trend.  It started back in May in Corn and Wheat, as short signals started to get triggered and we hoped it would be the start of a months long move instead of just a week or two;  and it’s actually accelerated over the past 3 weeks, with Soybeans getting in on the down move.

The major media outlets are even starting to catch on to the fact the grain markets are at multi-year lows. But it’s not the multi-year lows that’s catching out attention; it’s the steadiness of the move, the three out of every four days being down,  and the lower lows and lower highs.

Here’s the beautiful 6 to 9 week down trends across the major grain markets:

Ag Charts 3 months(Disclaimer: Past performance is not necessarily indicative of future results)
Charts Courtesy: Finviz

And what those moves look like in percentage terms, for those so inclined.

3 Month Ag Table(Disclaimer: Past performance is not necessarily indicative of future results)
(Note: We used front month contracts for all markets)

Wow… Can you imagine if the stock markets were off by such dramatic amounts in a three-month period – we would have bedlam on our hands, the VIX spiking like crazy, and people flooding towards alternative investments. But this is just little old grains, where nobody much cares about 30% sell offs, unless you’re an investment strategy with exposure to grain markets and methodology for capturing such outlier moves, like ahem… Managed Futures.

And here’s where things get interesting – because this move is both technical and fundamental, both systematic and discretionary managed futures programs are participating. The systematic managers who aren’t too large to access the grain markets have seen a near textbook volatility breakout trade, with prices breaking below their March and April price bands, the continuing in a classic down trend. Meanwhile, many fundamental traders were betting on just such a down move due to their analysis of the supply environment and estimates on crop yields.

You see, while it is a technical breakout lower – the impetus of the move has been crop report after crop report showing great growing conditions and increasing estimates for yields, via the Wall Street Journal.

“The USDA has estimated this autumn’s corn harvest will total 13.935 billion bushels, surpassing last year’s record crop, while soybean output also will set a record.”

“In the past week, up to six times the normal amount of precipitation fell in parts of Iowa and Illinois, the biggest U.S. growers of corn and soybeans, further improving growing conditions. About three-fourths of the nation’s corn and soybean crops were in good or excellent condition as of Sunday, according to the U.S. Agriculture Department.”

Each of the Ag trading managers we track (Global Ag, Rosetta, and M6) are up over 5% for the month {Past performance is not necessarily indicative of future results} while many multi-market programs are also participating, but to a lesser extent due to their spreading of exposure across a broad portfolio; making this just the sort of move the doctor ordered for the managed futures space. The only problem now is that we’ve likely jinxed it. We’re notorious for discussing a trend and it reversing just after.  We talked about the breakout higher in Crude Oil on June 12th, for example; and Crude is down –6.60% since then.

But even if we do put a bit of a sports illustrated/NFL Madden cover curse on the grain down trend…  it’s been long enough to this point for moving averages to have moved lower and stops brought down, meaning whatever happens next – this is likely to go down as one of the best trades of the year for managed futures. Not that we wouldn’t mind seeing the markets fall another 30% to make this a really big trade.

Alternative Links: Is this what every Commodity trader looks like?

Commodity Trader“Behold the greatest piece of trading art ever created.  The piece is untitled, undated (likely from early 1970s) and by an unknown artist (Alfred Marshall), yet like the Mona Lisa it can be admired for it’s simplicity, intriguing facial expression and style which reflects upon it’s subject.  I hereby entitle it Smug Trader.” – (Trading Pit Blog)

We found this gem yesterday via Chicago Sean.


Rollinger explains Red Rock Capital Commodity Long Short Program – (Futures Magazine)

Managed futures June Performance – (Attain Capital)


Clearing houses to publish risk models – (Financial Times)


Asness: Why Investors Should Use Momentum Strategies – (Value Walk)

Buying the Managed Futures Drawdown – (Hedge Fund)

Managed Futures Podcast Series – (CME Group)


Mutual Funds Still Favorite Vehicle Of Choice For Alternatives – (Value Walk)

Managed Futures June Performance

After a bumpy start to the year, the average YTD performance of the 4 managed futures indices we track has managed to pull itself into the positive for the first time in 2014 {disclaimer: past performance is not necessarily indicative of future results}. Here’s the month by month performance of Managed Futures for 2014 thus far:

Managed Futures June Performance(Disclaimer: Past performance is not necessarily indicative of future results)
(Only 51% of returns reported to the BarclayHedge CTA Index)