Attain Portfolio Advisors : Modified Program

archived programs
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

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 YTD 1yr 3yr 5yr 10yr Since
2/2007
Modified Program -6.09 - - - - - -12.00 20.05
S&P 500 -1.35 - - - - - 7.12 146.24
+/- S&P 500 -4.74 - - - - - -19.13 -126.19

Strategy Description

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,... 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

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.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
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Risk
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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
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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
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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
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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.