DeSoto Capital Management : EMini Program

Year-to-Date: N / A
Oct Performance: -1.68%

Min Investment: $ 100k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 16.37%
Sharpe (RFR=1%): 0.73
CAROR: 12.72%

Assets: $ 653k
Worst DD: -17.75
S&P Correlation: -0.13

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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	Oct	Qtr	YTD	1yr	3yr	5yr	10yr	Since 9/2003
EMini Program	-1.68	-	-	-	-	-	-3.67	205.81
S&P 500	4.46	-	-	-	-	-	67.15	259.87
+/- S&P 500	-6.14	-	-	-	-	-	-70.82	-54.06

Strategy Description

Summary

Account & Fees

Type	Managed Account
Minimum Investment	$ 100k
Trading Level Incremental Increase	$ 0k
CTA Max Funding Factor
Management Fee	2.00%
Performance Fee	20.00%
Average Commission	$5.00
Available to US Investors	Yes

Subscriptions

High Water Mark	No
Subscription Frequency	Daily
Redemption Frequency	Daily
Investor Requirements	Any Investor
Lock-up Period	0

Trading

Trading Frequency	10000 RT/YR/$M
Avg. Margin-to-Equity	10%
Targeted Worst DD	-27.00%
Worst Peak-to-Trough	0%
Sector Focus	Stock Index Traders

Holding Periods

Over 12 Months	0%
4-12 Months	0%
1-3 Months	0%
1-30 Days	0%
Intraday	100.00%

Decision-Making

Discretionary	5.00%
Systematic	95.00%

Strategy

Composition

Stock Indices: 100.00%

Summary

-The objective of DeSoto Capital Management's managed futures trading program is the capital appreciation of client assets through speculative trading in financial futures contracts, particularly stock index futures contracts. DCM attempts to meet the objective of client equity growth by making and acting on trading decisions based on a computer-based proprietary model.DCM intends to trade liquid stock index futures, including the NASDAQ 100, Russell 2000, S&P MidCap 400 and S&P 500 futures contracts. The EMini Program uses a basket of very short term trading strategies. To determine position entry and exit, the program uses a combination of proprietary internal strength and volatility measurements and inter-market analysis techniques as well as pattern recognition algorithms to gauge both the direction and power of the underlying intraday trend.

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Index: Chart Type:

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:

Monthly Annual

Reward
Average RoR:
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Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
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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
-17.75	30	-	3/1/2009	9/1/2011
-16.41	6	3	12/1/2007	6/1/2008
-14.18	5	14	11/1/2005	4/1/2006
-5.70	1	1	10/1/2008	11/1/2008
-1.74	1	1	7/1/2005	8/1/2005
-0.87	1	3	9/1/2003	10/1/2003
-0.58	1	1	2/1/2005	3/1/2005
-0.50	1	1	8/1/2007	9/1/2007
-0.10	1	1	1/1/2009	2/1/2009

Consecutive Gains

Run-up	Length (Mos.)	Start	End
47.87	5	4/1/2007	8/1/2007
47.06	4	7/1/2008	10/1/2008
29.42	3	10/1/2007	12/1/2007
19.47	4	4/1/2005	7/1/2005
18.33	3	9/1/2005	11/1/2005
15.03	3	10/1/2011	12/1/2011
14.47	2	5/1/2006	6/1/2006
10.50	16	11/1/2003	2/1/2005
10.13	4	6/1/2013	9/1/2013
9.32	3	7/1/2010	9/1/2010
8.41	2	12/1/2008	1/1/2009
7.00	2	7/1/2011	8/1/2011
5.60	2	11/1/2010	12/1/2010
3.24	4	7/1/2012	10/1/2012
2.35	1	3/1/2009	3/1/2009
2.27	2	3/1/2013	4/1/2013
1.82	1	2/1/2011	2/1/2011
1.64	1	12/1/2012	12/1/2012
1.50	1	3/1/2008	3/1/2008
1.05	1	2/1/2012	2/1/2012
0.90	1	9/1/2003	9/1/2003
0.87	1	12/1/2009	12/1/2009
0.60	1	4/1/2011	4/1/2011
0.35	1	2/1/2010	2/1/2010

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-14.18	5	12/1/2005	4/1/2006
-14.10	8	4/1/2009	11/1/2009
-12.19	2	1/1/2008	2/1/2008
-8.40	4	3/1/2012	6/1/2012
-8.29	9	7/1/2006	3/1/2007
-7.74	1	9/1/2011	9/1/2011
-6.87	1	3/1/2011	3/1/2011
-6.22	3	4/1/2008	6/1/2008
-6.02	1	1/1/2011	1/1/2011
-5.70	1	11/1/2008	11/1/2008
-4.03	2	5/1/2011	6/1/2011
-3.23	2	1/1/2013	2/1/2013
-3.00	1	5/1/2013	5/1/2013
-2.55	1	11/1/2012	11/1/2012
-2.35	1	1/1/2012	1/1/2012
-1.79	4	3/1/2010	6/1/2010
-1.74	1	8/1/2005	8/1/2005
-1.68	1	10/1/2013	10/1/2013
-1.18	1	10/1/2010	10/1/2010
-0.87	1	10/1/2003	10/1/2003
-0.59	1	1/1/2010	1/1/2010
-0.58	1	3/1/2005	3/1/2005
-0.50	1	9/1/2007	9/1/2007
-0.10	1	2/1/2009	2/1/2009

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	112.00	120.00	117.00	111.00	105.00	99.00	87.00	75.00	63.00
Percent Profitable	51.79	52.50	57.26	71.17	76.19	77.78	79.31	85.33	98.41
Average Period Return	1.08	3.18	6.64	14.09	23.04	33.18	55.41	87.88	119.06
Average Gain	4.09	9.09	15.14	22.09	32.02	44.20	70.73	104.31	121.06
Average Loss	-2.42	-4.08	-5.27	-5.84	-5.69	-5.38	-3.32	-7.71	-5.00
Best Period	15.81	35.23	60.30	88.09	116.07	144.66	154.06	207.02	236.47
Worst Period	-9.35	-12.11	-16.41	-14.40	-11.70	-13.70	-8.50	-14.28	-5.00
Standard Deviation	4.73	8.94	14.97	21.39	29.70	38.07	49.34	64.10	66.36
Gain Standard Deviation	4.42	8.28	14.47	20.36	28.54	36.22	43.89	54.35	64.96
Loss Standard Deviation	2.27	3.20	4.10	3.91	3.32	3.46	2.34	4.25
Sharpe Ratio (1%)	0.21	0.33	0.41	0.61	0.73	0.82	1.06	1.31	1.72
Average Gain / Average Loss	1.69	2.23	2.87	3.78	5.63	8.22	21.29	13.54	24.23
Profit / Loss Ratio	2.04	2.99	4.28	9.64	18.01	28.78	81.61	78.76	1502.19
Downside Deviation (10%)	2.37	3.89	5.46	6.21	7.04	7.92	9.79	11.72	5.24
Downside Deviation (5%)	2.20	3.36	4.37	4.15	3.86	3.84	3.13	4.77	1.27
Downside Deviation (0%)	2.16	3.23	4.12	3.69	3.20	2.99	1.83	3.33	0.63
Sortino Ratio (10%)	0.28	0.50	0.76	1.46	2.20	2.90	4.05	5.66	17.46
Sortino Ratio (5%)	0.45	0.87	1.41	3.16	5.59	8.12	16.72	17.59	89.58
Sortino Ratio (0%)	0.50	0.98	1.61	3.81	7.21	11.08	30.24	26.36	189.13

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.

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DeSoto Capital Management : EMini Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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Find the right managed futures programs for you with our comprehensive free CTA database.

DeSoto Capital Management : EMini Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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