Bensboro Advisors, LLC : Seasonal Spread Trading Program

Year-to-Date
14.95%
Jun Performance
0.34%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.09%
Sharpe (RFR=1%)
0.35
CAROR
4.32%
Assets
$ 2.8M
Worst DD
-19.32
S&P Correlation
0.05

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
1/2015
Seasonal Spread Trading Program 0.34 3.15 14.95 28.20 29.93 - - 20.98
S&P 500 6.89 3.78 17.34 8.21 38.73 - - 45.96
+/- S&P 500 -6.55 -0.63 -2.39 19.99 -8.80 - - -24.98

Strategy Description

Summary

OBJECTIVE: 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
2.00
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%
Strategy Pie Chart

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%
Composition Pie Chart

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.

   

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
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
-0.51 1 1 3/1/2019 4/1/2019
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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
5.53 5 11/1/2017 3/1/2018
3.68 2 5/1/2019 6/1/2019
2.82 1 1/1/2017 1/1/2017
2.18 1 3/1/2016 3/1/2016
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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
-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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods54.0052.0049.0043.0037.0031.0019.00
Percent Profitable59.2663.4655.1053.4943.2451.6157.89
Average Period Return0.401.001.683.013.241.215.99
Average Gain2.504.729.0414.3914.346.7318.19
Average Loss-2.64-5.46-7.36-10.07-5.22-4.68-10.78
Best Period7.0811.4418.3928.2035.3625.3833.06
Worst Period-6.84-10.97-15.55-17.02-10.96-10.78-14.86
Standard Deviation3.205.789.4514.1513.298.5317.12
Gain Standard Deviation1.892.904.908.4613.388.3011.41
Loss Standard Deviation2.063.194.384.793.173.183.57
Sharpe Ratio (1%)0.100.130.120.140.13-0.090.17
Average Gain / Average Loss0.950.861.231.432.751.441.69
Profit / Loss Ratio1.381.501.511.642.091.532.32
Downside Deviation (10%)2.334.467.2010.7810.1411.7418.02
Downside Deviation (5%)2.163.936.008.205.585.159.24
Downside Deviation (0%)2.123.805.707.574.573.897.32
Sortino Ratio (10%)0.00-0.05-0.11-0.18-0.43-0.77-0.54
Sortino Ratio (5%)0.150.190.200.250.31-0.160.32
Sortino Ratio (0%)0.190.260.290.400.710.310.82

Top Performer Badges

Index Award Type Rank Performance Period
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.