We are estimating the various managed futures indices finished September up between 1.25% and 3%. [The NewEdge CTA Index was sitting at +1.56% through 9/29 (and likely gave some profits back on grain, gold, and currency reversals on 9/30). This would put the Q3 gains for managed futures at about 4.3%, marking the best performance for the asset class since the ‘end of the world’ volatility in Q4 2008.
Past Performance is Not Necessarily Indicative of Future Results
Source: NewEdge
Programs monitored by Attain: [past performance is not necessarily indicative of future results]
Performance among programs monitored by Attain saw most multi-market programs finding success behind strong trends in grains, softs, metals, and foreign currencies – while option sellers and counter trend managers were in the red after fading those same moves.
Based on our early estimates Covenant Capital Management Aggressive is the top performing multi-market program September. Covenant holds long positions in many of the sectors listed above and saw gains of approximately +11.40% for the month. Right behind Covenant is Robison-Langley Capital Management at +9.15%.
Other multi-market traders with impressive results in September include Attain Portfolio Advisors Modified Program +6.95%, Clarke Worldwide +6.00%, Attain Portfolio Advisors Strategic Diversification +4.54%, Auctos Capital Management Global Diversified +4.16%, Hoffman Asset +1.40%, Futures Truth SAM 101 +1.48%, Accela Capital Management Global Diversified +1.44%, Clarke Global Magnum +1.01%, GT Capital +0.85%, Futures Truth MS4 +0.63%, Integrated Managed Futures Global Concentrated +0.38%, and Sequential Capital Management +0.32%.
Unfortunately, some programs were unable to post positive numbers despite the optimal trading conditions. Programs in the red include Mesirow Financial Commodities Low Volatility -0.18%, Mesirow Financial Commodities Absolute Return -0.30%, DMH -0.35%, Dominion Capital Management Sapphire -2.60%, Clarke Capital Global Basic -2.60%, Quantum Leap Capital -3.00%, Applied Capital Systems -3.80%, and Applied Capital Systems 2X -4.00%.
Short-term index traders posted mixed returns with Roe Capital Management Jefferson +1.48% and Roe Capital Management Monticello Spread +1.28% posting positive returns, while Paskewitz Asset Management Contrarian 3X St. Index -8.16% and Pere Trading Group -3.32% were down for the month.
After 18 months of declining volatility and impressive returns for option traders, September was a quick reminder of the need for diversification into long volatility strategies for investor portfolios (see multi market manager update above). Option trading managers that did turn a profit for the month include ACE SIPC +0.83%, Crescent Bay PSI +0.46%, and ACE DCP +0.30%. All others who were on the defense for the month and ended down include: Cervino Diversified Options -0.34%, Cervino Diversified 2x -0.51%, Clarity Capital -1.62%, Kingsview Management -2.23%, Crescent Bay BVP -3.36%, HB Capital -4.8%, FCI OSS -8.96%, and FCI CPP -13.46%.
Specialty market managers have been a highlight in investor portfolio for 2010 and September was no exception. The month’s top performers were agriculture specialists Oak Investment Group +13.87% and Rosetta Capital Management with an estimated +8.21% return for the month. Oak has been fighting their way back from earlier 2010 losses while Rosetta added to their 2010 gains +6.5% through August.
Other specialty market manager estimates for the month include gains from NDX Shadrach +3.32%, AFB Forty Eighter Gold +2.26%, NDX Abednego +1.13%, Emil Van Essen Spread Program +0.96%, and Cervino Gold +0.95%. 2100 Xenon Fixed Income was down the only specialty manager to end down with an estimated -1.75% loss.
Visit https://www.attaincapital.com/alternative-investment-performance/managed-futures/recommended-ctas for the full performance listing.