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

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Growth of 1,000 - VAMI

Monthly Performance

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%

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.

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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.

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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
-19.32	31	16	3/1/2015	10/1/2017
-0.51	1	1	3/1/2019	4/1/2019

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year
Number of Periods	54.00	52.00	49.00	43.00	37.00	31.00	19.00
Percent Profitable	59.26	63.46	55.10	53.49	43.24	51.61	57.89
Average Period Return	0.40	1.00	1.68	3.01	3.24	1.21	5.99
Average Gain	2.50	4.72	9.04	14.39	14.34	6.73	18.19
Average Loss	-2.64	-5.46	-7.36	-10.07	-5.22	-4.68	-10.78
Best Period	7.08	11.44	18.39	28.20	35.36	25.38	33.06
Worst Period	-6.84	-10.97	-15.55	-17.02	-10.96	-10.78	-14.86
Standard Deviation	3.20	5.78	9.45	14.15	13.29	8.53	17.12
Gain Standard Deviation	1.89	2.90	4.90	8.46	13.38	8.30	11.41
Loss Standard Deviation	2.06	3.19	4.38	4.79	3.17	3.18	3.57
Sharpe Ratio (1%)	0.10	0.13	0.12	0.14	0.13	-0.09	0.17
Average Gain / Average Loss	0.95	0.86	1.23	1.43	2.75	1.44	1.69
Profit / Loss Ratio	1.38	1.50	1.51	1.64	2.09	1.53	2.32
Downside Deviation (10%)	2.33	4.46	7.20	10.78	10.14	11.74	18.02
Downside Deviation (5%)	2.16	3.93	6.00	8.20	5.58	5.15	9.24
Downside Deviation (0%)	2.12	3.80	5.70	7.57	4.57	3.89	7.32
Sortino Ratio (10%)	0.00	-0.05	-0.11	-0.18	-0.43	-0.77	-0.54
Sortino Ratio (5%)	0.15	0.19	0.20	0.25	0.31	-0.16	0.32
Sortino Ratio (0%)	0.19	0.26	0.29	0.40	0.71	0.31	0.82

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.

^#9

Top Performer

DISCRETIONARY TRADER INDEX

MAY
2019

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Seasonal Spread Trading Program	4.32%

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Bensboro Advisors, LLC : Seasonal Spread Trading Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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