Attain Portfolio Advisors : Modified Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A May Performance -6.09% Min Investment $ 250k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 31.40% Sharpe (RFR=1%) 0.25 CAROR 4.31% Assets $ 416k Worst DD -58.05 S&P Correlation -0.20 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page Growth of 1,000 - VAMI Monthly Performance Export Data Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Period Returns Program / Index May Qtr 2020 1yr 3yr 5yr 10yr Since2/2007 Modified Program -6.09 - - - - - -12.75 20.05 S&P 500 -1.35 - - - - - 7.12 164.23 +/- S&P 500 -4.74 - - - - - -19.87 -144.18 Strategy Description SummaryOur newest model was launched in February 2007 to meet the needs of one of our clients, and is offered at this time only to Qualified Eligible Persons (QEPs) through the CFTC Rule 4.7 Exemption. This model was developed in response to our client's desire to trade our main program,... Read More Account & Fees Type Managed Account Minimum Investment $ 250k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark No Subscription Frequency Redemption Frequency Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 5000 RT/YR/$M Avg. Margin-to-Equity 20% Targeted Worst DD Worst Peak-to-Trough 0% Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 0% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Composition SummaryOur newest model was launched in February 2007 to meet the needs of one of our clients, and is offered at this time only to Qualified Eligible Persons (QEPs) through the CFTC Rule 4.7 Exemption. This model was developed in response to our client's desire to trade our main program, but keep margin requirements below $75,000. The latter wasn't possible with the full portfolio, which can reach margins up to $200,000 - thus a modified portfolio was constructed while striving to retain the multidimensional diversification attributes of the main program. The end result was average daily margin of approx. $40,000 to $60,000. The modified portfolio thereby trades in much the same manner as the main program, diversifying between markets, strategies, and time frames. It just does a fewer number of contracts in each market and utilizes several electronic e-mini markets where available, thereby reducing margin. It also removed several high margin contracts like Heating Oil and Natural Gas from the portfolio. Because of the lower initial capital amount, there is more risk (and reward) inherent in this program, and the volatility is likely to be about twice that of the main program. This is due to some of the models in the modified portfolio doing a minimum of one contract on their signals, when the normal risk sizing would have them doing less than one contract, and therefore risking more than the 1% maximum risk per position possible in the main program. The Modified managed futures program will therefore be a little less diversified than its main program brother, and skewed slightly towards those positions and models which have higher risk and higher reward potential. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Reward Compound RoR: Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year. Drawdown Report Depth Length (Mos.) Recovery (Mos.) Peak Valley -58.05 14 - 12/1/2008 2/1/2010 -15.53 2 1 6/1/2008 8/1/2008 -11.04 2 3 1/1/0001 3/1/2007 -9.89 1 1 12/1/2007 1/1/2008 -4.21 1 1 3/1/2008 4/1/2008 Show More Consecutive Gains Run-up Length (Mos.) Start End 72.80 9 4/1/2007 12/1/2007 51.50 4 9/1/2008 12/1/2008 36.58 2 2/1/2008 3/1/2008 20.61 6 5/1/2010 10/1/2010 14.76 2 5/1/2008 6/1/2008 9.42 3 12/1/2010 2/1/2011 5.64 1 3/1/2010 3/1/2010 2.12 1 5/1/2009 5/1/2009 1.37 1 11/1/2009 11/1/2009 Show More Consecutive Losses Run-up Length (Mos.) Start End -36.15 3 12/1/2009 2/1/2010 -24.84 5 6/1/2009 10/1/2009 -16.42 3 3/1/2011 5/1/2011 -15.56 4 1/1/2009 4/1/2009 -15.53 2 7/1/2008 8/1/2008 -11.04 2 2/1/2007 3/1/2007 -9.89 1 1/1/2008 1/1/2008 -4.48 1 11/1/2010 11/1/2010 -4.21 1 4/1/2008 4/1/2008 -3.41 1 4/1/2010 4/1/2010 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year Number of Periods52.0050.0047.0041.0035.0029.0017.00 Percent Profitable55.7754.0059.5760.9840.0037.9352.94 Average Period Return0.743.248.0414.9315.9212.93-0.93 Average Gain6.5416.2228.5047.3491.5995.8414.92 Average Loss-6.56-11.98-22.12-35.72-34.53-37.74-18.77 Best Period30.1646.0462.26112.66174.99167.6632.59 Worst Period-19.10-36.15-39.04-56.20-56.02-48.84-37.02 Standard Deviation9.0617.9328.6250.0471.7175.9220.61 Gain Standard Deviation7.1112.5115.1535.0552.8261.0110.19 Loss Standard Deviation5.109.0811.7714.9215.7811.7912.85 Sharpe Ratio (1%)0.070.170.260.280.200.14-0.19 Average Gain / Average Loss1.001.351.291.332.652.540.79 Profit / Loss Ratio1.261.591.902.071.771.550.89 Downside Deviation (10%)5.7010.8017.2527.0034.7638.8725.63 Downside Deviation (5%)5.5310.2516.1224.6530.3532.5917.09 Downside Deviation (0%)5.4810.1115.8424.0729.2931.0715.29 Sortino Ratio (10%)0.060.190.320.370.240.07-0.65 Sortino Ratio (5%)0.120.290.470.560.470.34-0.23 Sortino Ratio (0%)0.140.320.510.620.540.42-0.06 Top Performer Badges Index Award Type Rank Performance Period Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel