Bensboro Advisors, LLC : Seasonal Spread Trading Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 16.09% Sep Performance -2.05% Min Investment $ 500k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 10.88% Sharpe (RFR=1%) 0.35 CAROR 4.31% Assets $ 4.0M Worst DD -19.32 S&P Correlation 0.04 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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since1/2015 Seasonal Spread Trading Program -2.05 0.99 16.09 23.33 21.27 - - 22.19 S&P 500 1.72 1.19 18.74 2.15 35.89 - - 47.69 +/- S&P 500 -3.77 -0.19 -2.64 21.19 -14.62 - - -25.51 Strategy Description SummaryOBJECTIVE: To produce low-correlation returns using a seasonal approach to futures spread trading.... Read More Account & Fees Type Managed Account Minimum Investment $ 500k Trading Level Incremental Increase $ 0k CTA Max Funding Factor 5.00 Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 2000 RT/YR/$M Avg. Margin-to-Equity 13% Targeted Worst DD Worst Peak-to-Trough Sector Focus Arbitrage & Spread Traders Holding Periods Over 12 Months 0% 4-12 Months 4.00% 1-3 Months 50.00% 1-30 Days 45.00% Intraday 1.00% Decision-Making Discretionary 100.00% Systematic 0% Strategy Fundamental 10.00% Seasonal/cyclical 40.00% Spreading/hedging 40.00% Technical 10.00% Composition Grains 15.00% Livestock 15.00% Currency Futures 14.00% Energy 14.00% Interest Rates 14.00% Softs 14.00% Industrial Metals 7.00% Precious Metals 7.00% SummaryOBJECTIVE: To produce low-correlation returns using a seasonal approach to futures spread trading.Investment StrategyPHILOSPHY: We Believe: Futures generally provide low correlation compared to other asset classes. Spreads generally provide even lower correlation to other asset classes, even when compared to most managed futures strategies which are typically trend-following. Seasonality can significantly shape sentiment and short-term flows, thus influencing the market over the short-term. Diversification across many categories and instruments generally results in risk mitigation. STRATEGY: We invest only in spreads that exhibit some seasonal tendencies through the use of futures contracts in eight major categories. Equities, equity futures and/or equity derivatives are not used. If a spread’s current pattern is similar to its long-term and intermediate-term seasonal patterns we generally expect past patterns may repeat to a high degree of probability based on similar economic and fundamental conditions. Time targets, rather than price targets, are customarily used to determine optimal entry and exit points for trade execution.Risk ManagementPROCESS: We target total margin commitments generally between 5% - 20% of assets, with a target margin of 12.5%. We typically employ loss limit targets on individual spread positions and maximum allocations for each category. We use spreads across a wide variety of instruments and categories with varying time horizons and sides (bull, bear, and inter-commodity spreads) in an attempt to aid in risk mitigation through diversification. 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 -19.32 31 16 3/1/2015 10/1/2017 -2.05 1 - 8/1/2019 9/1/2019 -0.51 1 1 3/1/2019 4/1/2019 Show More Consecutive Gains Run-up Length (Mos.) Start End 27.98 11 5/1/2018 3/1/2019 11.42 5 7/1/2016 11/1/2016 8.00 2 11/1/2015 12/1/2015 7.91 3 1/1/2015 3/1/2015 7.08 1 4/1/2017 4/1/2017 7.06 1 5/1/2016 5/1/2016 6.90 4 5/1/2019 8/1/2019 5.53 5 11/1/2017 3/1/2018 2.82 1 1/1/2017 1/1/2017 2.18 1 3/1/2016 3/1/2016 Show More Consecutive Losses Run-up Length (Mos.) Start End -15.58 7 4/1/2015 10/1/2015 -15.55 6 5/1/2017 10/1/2017 -9.67 2 1/1/2016 2/1/2016 -7.47 2 2/1/2017 3/1/2017 -3.43 1 4/1/2016 4/1/2016 -2.45 1 12/1/2016 12/1/2016 -2.05 1 9/1/2019 9/1/2019 -0.82 1 6/1/2016 6/1/2016 -0.51 1 4/1/2019 4/1/2019 -0.25 1 4/1/2018 4/1/2018 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year Number of Periods57.0055.0052.0046.0040.0034.0022.00 Percent Profitable59.6565.4557.6956.5247.5055.8863.64 Average Period Return0.401.112.164.515.604.348.52 Average Gain2.444.589.1515.7317.5611.4619.54 Average Loss-2.61-5.46-7.36-10.07-5.22-4.68-10.78 Best Period7.0811.4418.3928.2036.3540.0933.06 Worst Period-6.84-10.97-15.55-17.02-10.96-10.78-14.86 Standard Deviation3.145.659.4414.8315.2913.0917.16 Gain Standard Deviation1.852.854.848.8114.4213.6010.43 Loss Standard Deviation2.013.194.384.793.173.183.57 Sharpe Ratio (1%)0.100.150.180.240.270.180.32 Average Gain / Average Loss0.930.841.241.563.372.451.81 Profit / Loss Ratio1.381.591.692.033.053.103.17 Downside Deviation (10%)2.294.346.9910.439.7511.2116.74 Downside Deviation (5%)2.123.825.827.935.364.918.59 Downside Deviation (0%)2.083.695.547.324.403.726.80 Sortino Ratio (10%)0.00-0.03-0.04-0.05-0.20-0.53-0.43 Sortino Ratio (5%)0.150.230.290.440.760.470.64 Sortino Ratio (0%)0.190.300.390.621.271.171.25 Top Performer Badges Index Award Type Rank Performance Period Discretionary Trader Index Month 9 2.27 8/2019 Discretionary Trader Index Month 9 3.33 5/2019 Discretionary Trader Index Month 5 5.69 3/2019 Discretionary Trader Index Month 3 3.39 2/2019 Discretionary Trader Index Month 3 3.39 2/2019 Discretionary Trader Index Month 3 3.39 2/2019 Discretionary Trader Index Month 3 3.39 2/2019 Discretionary Trader Index Month 10 1.98 1/2019 IASG CTA Index Year Rolling 10 17.25 2017 - 2018 IASG CTA Index Month 10 4.57 10/2018 Discretionary Trader Index Month 5 4.57 10/2018 Discretionary Trader Index Month 2 2.97 8/2018 Discretionary Trader Index Month 7 2.75 5/2018 Discretionary Trader Index Month 8 2.31 11/2017 Discretionary Trader Index Month 2 7.08 4/2017 Discretionary Trader Index Month 10 2.82 1/2017 Discretionary Trader Index Month 7 4.24 8/2016 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