Boston & Zechiel Management, LLC : Annual Cycle Trading Strategy - Conservative Variant (P)

archived programs
Year-to-Date
N / A
May Performance
-0.49%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.85%
Sharpe (RFR=1%)
0.75
CAROR
8.23%
Assets
$ 890k
Worst DD
-7.97
S&P Correlation
0.55

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
10/2009
Annual Cycle Trading Strategy - Conservative Variant (P) -0.49 - - - - 3.92 63.07 83.37
S&P 500 1.16 - - - - 84.06 57.54 234.31
+/- S&P 500 -1.65 - - - - -80.14 5.53 -150.95

Strategy Description

Summary

The overall goal of each of the Boston & Zechiel Management (BZM) trading programs offered in this presentation is to achieve account appreciation through the use of an on exchange futures investment strategy.

BZM’s objective will be to obtain, relatively high risk-adjusted... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $7.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 3

Trading

Trading Frequency 150 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD -25.00%
Worst Peak-to-Trough -6.06%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 75.00%
1-3 Months 20.00%
1-30 Days 5.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Seasonal/cyclical
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The overall goal of each of the Boston & Zechiel Management (BZM) trading programs offered in this presentation is to achieve account appreciation through the use of an on exchange futures investment strategy.

BZM’s objective will be to obtain, relatively high risk-adjusted returns while striving to protect investor capital under management against adverse market trends.

In order to attract a variety of potential clients BZM has decided to provide the strategy in two forms; a conservative account format (“Conservative Variant”) and an aggressive account format (“Aggressive Variant”). Each of these strategies will be referred to as the “Annual Cycle Trading Strategy” (“ACTS”) as there is no material strategy difference between them. The difference between the programs is largely related to the amount of leverage utilized and not the actual trading methodologies.

The Annual Cycle Trading Strategy (“ACTS”) was developed to capitalize on the financial market’s seasonal tendencies. ACTS attempts to do this by trading S&P 500 or Dow Jones Industrial Index Futures to achieve a leveraged ratio on the broader S&P 500 or Dow Jones Industrial Index. Positions are held for periods of time that may vary from one day to several months based on market cycles. In the event market conditions do not appear to be favorable for trading, the ACTS system will not generate any trade signals. As a result, the assets of your account may also remain dormant at your respective FCM for extended periods of time.

The Annual Cycle Trading Strategy rules are clearly defined and strictly adhered to no matter what the market environment may be at the time.

Investment Strategy

Our trading philosophy begins with the premise that annual cycles within stock markets exist and can be capitalized on.

In very general terms, we believe it takes 12 months to complete one annual cycle. The ACTS trading strategy therefore seeks to follow and establish a leveraged “Long Only” position. Our long only positions are taken only within the stock index futures markets in an attempt to take advantage of these perceived financial cycles. ACTS goal over time will be to take advantage of the expected ‘up’ portion of the annual cycle. To do this, ACTS will rollover the quarterly futures contracts until the ‘down’ portion of the annual cycle is expected to begin. At this point we will attempt to exit our long only positions and exit any trend we have been trading.

During the expected ‘down’ portion of the annual cycle, clients trading ACTS will likely hold no positions within their accounts until the next ‘up’ portion is expected to begin.

There is one exception to this rule, however; ACTS will enter a partial long position before the ‘up’ portion of a market cycle is expected to begin if it is perceived that stock index prices have dropped to specific internally determined levels since the exiting of the previous long position. If this occurs, ACTS will increase the partial position to a full position if index futures prices continue to drop low enough.

Risk Management

Boston & Zechiel Management employs a two prong approach to Risk Management.

Our first line of defense for both the Aggressive and Conservative variant of the Annual Cycle Trading Strategey is to greatly minimize market risk by establishing long positions when the upward cycle has started. Historically this strategy has allowed investors to avoid all but a few of the serious equity sell offs in the past 90 years.

Our second line of defense consists of an options hedging strategy. While holding a long position of index futures, the Annual Cycle Trading Strategey employs a hedging strategy through the purchase of deep-out-of-the-money put option contracts and/or option collars on the underlying futures held. Our intended purpose for hedging within the ACTS strategy is to limit the opportunity for catastrophic losses. It is our opinion that these deep out of the money options for their cost are an effective risk control. Specifically, because positions within the ACTS strategy may be held for a long period of time; these options may help to protect against extreme volatility. The positions will not, however; provide significant relief to the regular ebb and flow of draw downs which are to be expected in any longer term strategy.

   

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
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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
-7.97 1 9 12/1/2013 1/1/2014
-7.40 14 - 11/1/2014 1/1/2016
-6.06 1 1 1/1/0001 10/1/2009
-5.37 1 2 12/1/2009 1/1/2010
-3.81 7 3 3/1/2012 10/1/2012
-2.98 7 1 4/1/2010 11/1/2010
-1.62 6 2 3/1/2013 9/1/2013
-0.98 5 1 4/1/2011 9/1/2011
-0.82 1 1 2/1/2011 3/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
18.09 6 10/1/2011 3/1/2012
16.21 3 12/1/2010 2/1/2011
15.64 5 11/1/2012 3/1/2013
15.35 3 2/1/2010 4/1/2010
11.05 2 11/1/2009 12/1/2009
9.24 3 10/1/2013 12/1/2013
8.02 3 2/1/2014 4/1/2014
7.47 2 10/1/2014 11/1/2014
7.17 3 2/1/2016 4/1/2016
5.36 1 2/1/2015 2/1/2015
2.84 2 11/1/2016 12/1/2016
1.96 1 11/1/2015 11/1/2015
1.71 1 4/1/2011 4/1/2011
1.35 2 8/1/2016 9/1/2016
1.35 1 2/1/2017 2/1/2017
0.28 1 8/1/2014 8/1/2014
0.15 1 4/1/2015 4/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.97 1 1/1/2014 1/1/2014
-6.06 1 10/1/2009 10/1/2009
-5.83 2 12/1/2014 1/1/2015
-5.37 1 1/1/2010 1/1/2010
-5.28 6 5/1/2015 10/1/2015
-3.81 7 4/1/2012 10/1/2012
-3.77 3 5/1/2016 7/1/2016
-2.98 7 5/1/2010 11/1/2010
-2.46 2 12/1/2015 1/1/2016
-2.34 3 5/1/2014 7/1/2014
-1.90 1 1/1/2017 1/1/2017
-1.62 6 4/1/2013 9/1/2013
-1.23 3 3/1/2017 5/1/2017
-1.07 1 3/1/2015 3/1/2015
-0.98 5 5/1/2011 9/1/2011
-0.82 1 3/1/2011 3/1/2011
-0.53 1 10/1/2016 10/1/2016
-0.44 1 9/1/2014 9/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods92.0090.0087.0081.0075.0069.0057.0045.0033.00
Percent Profitable43.4852.2273.5687.6588.0088.41100.00100.00100.00
Average Period Return0.702.184.458.6413.4718.2128.9940.8551.50
Average Gain2.985.396.9110.2415.5820.7328.9940.8551.50
Average Loss-1.05-1.33-2.39-2.74-1.99-0.98
Best Period10.9116.2121.2224.5437.8745.8060.6378.7694.76
Worst Period-7.97-4.59-5.70-5.98-3.92-2.352.399.4722.41
Standard Deviation2.844.536.157.3211.0613.4017.4119.9519.44
Gain Standard Deviation2.424.065.256.2910.0712.1717.4119.9519.44
Loss Standard Deviation1.661.111.592.201.170.72
Sharpe Ratio (1%)0.230.450.681.111.151.281.581.952.52
Average Gain / Average Loss2.834.062.893.747.8421.19
Profit / Loss Ratio2.184.438.0526.5757.51161.54
Downside Deviation (10%)1.651.932.693.094.134.904.753.351.30
Downside Deviation (5%)1.481.261.571.361.030.72
Downside Deviation (0%)1.471.191.471.210.790.40
Sortino Ratio (10%)0.180.490.741.181.421.622.785.7618.31
Sortino Ratio (5%)0.441.632.676.0012.3823.91
Sortino Ratio (0%)0.481.833.047.1417.1044.99

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.