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.