Attain Portfolio Advisors : Modified Program

Summary

Our 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.