Managed Futures Accounts
CTA ( Commodity Trading Advisor ) Directed Trading

Managed Futures are Considered an Alternative Investment to Stocks and Bonds

Alternative investments represent an asset class that has the potential to provide returns that are uncorrelated to the stock and bond market. When added to a traditional portfolio of stocks and bonds, alternative investments can potentially increase returns while reducing risk of the overall portfolio. 

Managed futures are an alternative investment vehicle which offers the investor access to the futures and options markets through a professional money manager. Investing in managed futures are attractive, because managed futures offer the investor advantages such as liquidity, lack of counter party risk, market transparency, and access to such diverse markets as natural resources, raw materials, and financial instruments. 

Professional Money Managers, known as CTAs, Control Managed Futures Accounts

Managed Futures accounts are controlled by professional money managers known as Commodity Trading Advisors (CTAs). A managed futures account, is like any other brokerage account established to trade in futures, except that the responsibility for determining what trades to make, and at what time, is delegated to the CTA. In the United States, CTAs trading futures are members of the National Futures Association (NFA) and are registered with the Commodity Futures Trading Commission (CFTC).

Growth of Managed Futures

The managed futures industry, historically, had been enjoying steady growth.  Then in 2003, when the investment community realized the many advantages offered by managed futures, the industry exponentially grew.  The chart below shows that money under management had nearly doubled from 2003 to 2006, rising from 86 billion to 156 billion. 

Source:  Barclay Trading Group Ltd.

Who Invests in Managed Futures?

Many different sectors of investors have utilized managed futures to expand and diversify their portfolio, or also to invest in as a stand alone investment. As the growth of the managed futures industry has indicated, institutional investors, such as pension plans, as well as individual investors, strive to include managed futures in their asset mix. If you are already trading futures, you may benefit from incorporating managed futures into your trading program because managed futures can further diversify your portfolio.

If you are new to futures trading, managed futures may offer you a way to take advantage of the opportunities offered by the futures markets, and the opportunity for diversification.

• A full CTA disclosure document must be obtained before opening an account for managed futures.
• Below are some samples of actual CTAs. Please call for more information.

Rosetta Capital Management-Rosetta Trading Program

General		Statistics	From 4-2000 to 10-2006
Minimum Account	$50,000	Annualized Return	74.35
Management Fee	2%	Maximum Drawdown	(39.67)
Incentive Fee	20%	Correlation - S&P 500	0.01
Round-turns per Million	3,500	Annualized Sharpe (Rfr=1%)	1.15
Margin/Equity	5% to 15%	Annualized Standard Deviation	62.10

Monthly Performance
	JAN	FEB	MAR	APR	MAY	JUN	JUL	AUG	SEP	OCT	NOV	DEC	YEAR
2006	10.48	1.17	10.97	(0.12)	0.32	(5.92)	(2.27)	(7.32)	(1.39)	3.40	14.87	3.42	28.24
2005	(0.82)	0.86	3.18	1.06	6.47	1.57	2.25	(9.34)	5.27	7.25	2.85	0.42	21.93
2004	5.07	(2.04)	22.77	12.05	0.38	(3.28)	(2.73)	11.26	5.30	4.61	13.80	3.68	93.35
2003	(12.68)	11.04	(11.10)	(6.18)	(5.61)	8.93	94.99	30.15	14.37	31.08	(9.02)	(14.77)	145.31
2002	(5.21)	7.49	(7.92)	3.54	11.19	(6.66)	23.64	13.21	9.64	14.44	59.95	(20.96)	123.85
2001	(6.10)	9.51	(1.09)	(0.01)	7.89	(7.37)	(0.61)	(9.79)	31.75	40.67	5.41	(10.53)	59.28
2000				(8.70)	0.28	18.66	4.81	(34.33)	40.39	3.09	7.89	49.41	74.45

E = Estimated

Program Description

Rosetta's trading system is discretionary, relying on fundamental and technical analyis to identify short and medium term trends n the CME livestock and CBOT grain futures markets. Typically positions are taken in intra-market spreads within the grain and livestock complexes so that the reliance upon upward or downward market direction is eased, and concentration on the fundamental supply and demand situation between different delivery months of the same contract is emphasized. RCM incorporates a trading model designed to control account exposure. Diversification, limited level of risk exposure and position size, low or moderate margin-to-equity ratio, medium term account activity, and established percentage risk exposure at inception of trades all contribute to a well defined model for risk exposure. These methods are intended to minimize the probability of an equity drawdowmn exceeding 30% of a participating customer's initial capital.

Somers Brothers Capital-Diverisfied Futures Program #1

General		Statistics	From 1-2005 to 11-2006
Minimum Account	$100k FD; $1m MA	Annualized Return	44.27
Management Fee	2%	Maximum Drawdown	(6.30)
Incentive Fee	20%	Correlation - S&P 500	0.53
Round-turns per Million	1,200	Annualized Sharpe (Rfr=1%)	1.85
Margin/Equity	20-25%	Annualized Standard Deviation	20.65

Monthly Performance
	JAN	FEB	MAR	APR	MAY	JUN	JUL	AUG	SEP	OCT	NOV	DEC	YEAR
2007	1.60												1.60
2006	8.50	(2.90)	1.20	11.40	5.90	(1.50)	(3.30)	4.10	2.10	8.84	5.97	(4.86)	39.68
2005	(1.50)	(0.60)	(2.40)	(0.80)	7.90	0.70	1.80	(6.30)	10.60	2.60	19.70	3.00	37.45

E = Estimated

Program Description

The Diversified Futures Program #1 employs a proprietary model to identify trends in roughly 40 financial and commodity futures markets. Market entry and exit signals are generated by the model based on analysis of daily market data. Somers Brothers uses proprietary, multivariate statistical algorithms to distinguish market trends from short-term noise. The system uses its trend identification filters to generate market entry and exit signals and to determine optimal allocation of capital to each trade. Somers Brothers Capital believes there is a substantial benefit in adhering to a disciplined, systematic approach to trading. We also constantly seek to improve fund performance through exhaustive research and testing. Somers Brothers Capital believes that the cornerstone to a successful trading approach is the proper management of risk. We control risk at each step of the investment process, from establishing maximum adverse excursion at the time of entry into markets to limiting allocations on a relative basis at both the sector and individual position level.

CTA Data is comprised from sources believed to be accurate but is not guaranteed.

Contact Chris Kraft for a complete CTA disclosure document and for the latest monthy returns.

Futures trading involves risk and is not suitable for some investors. In no event should the content of this web be site construed as an express or an implied promise, guarantee or implication by or from Chris Kraft or Rosenthal Collins Group, LLC. that you will profit or that losses can or will be limited. No such promises, guarantees or implications are given. Past results are not indicative of future performance.