February was a bit of an odd month, as several of the programs we track at Attain saw pretty good months, while the main benchmark indices were roughly flat – perhaps showing the small managers doing better than the big ones included in the indices? The benchmarks looked like this:
(Disclaimer: Past performance is not necessarily indicative of future results)
Even though the Newedge CTA Index had the highest performance of the four at 0.61% in February, the index only reported one daily performance above/below 1%. For the month, the average of the four ended with a +0.11%, but it wasn’t enough to pull the indices performance out of the red YTD {Past performance is not necessarily indicative of future results}.
New trends developed towards the end of January, but quickly reversed to begin February, making some markets look like the damned V-shape reversal we love to hate. But not all trends experienced a quick reversal… Coffee continues to be the roasting commodity of the year thus far, up 71% already this year (our commentary here, and here), while Oats, and Lean Hogs are both at all time highs.
It’s trends like these that caused a wide dispersion in results in February – with some of the programs we track with less than $1B AUM seeing much better results than the indices show: with our internal estimates for February showing Brandywine Symphony +5.70%, Clarke Worldwide +5.50%, Quantum Leap Capital +4.90%, Covenant Capital 4.50%, Neural Capital Sentinel +3.72%, Tanyard Creek +3.50% and Sona Trading +2.70% all putting together impressive months {past performance is not necessarily indicative of future results, above are estimates}. It should be noted that five of these programs are still battling to recover from drawdowns and we typically don’t like cherry picking one good month out of 3 years of struggles for managed futures, but it is still nice to see at least one month of good performance.
Of course, it wasn’t all roses – with a little less than half of the programs we track showing losses per our internal estimates in February. Discretionary agriculture traders were amongst the hardest hit, with our internal estimates showing Typhon Plutus Grain -4.30%, Rosetta Capital Rosetta Program -6.00%, and Typhon Tauros Livestock -8.35% finishing in the red.
DISCLAIMER: The specific program estimates mentioned above are calculated using the liquidating value of a single client at Attain trading the listed program, and are believed to be representative of all similar clients invested in the program. A 20% incentive fee and 2% annual management fee are deducted from all profitable months, regardless of whether the program is at a new equity high. These numbers may vary from the actual performance numbers presented by the CTA upon completing their accounting for the month gone by, and should not be considered apart from the performance numbers listed in the disclosure document for the program listed.