Bensboro Advisors, LLC : Seasonal Spread Trading Program

Summary

OBJECTIVE: To produce low-correlation returns using a seasonal approach to futures spread trading.

Investment Strategy

PHILOSPHY: 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 Management

PROCESS: 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.