DeSoto Capital Management : EMini Program

archived programs
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

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 - - - - - -1.45 205.81
S&P 500 4.46 - - - - - 67.15 247.82
+/- S&P 500 -6.14 - - - - - -68.60 -42.01

Strategy Description

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... Read More

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%
Composition Pie Chart

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.

   

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
-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
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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
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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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods112.00120.00117.00111.00105.0099.0087.0075.0063.00
Percent Profitable51.7952.5057.2671.1776.1977.7879.3185.3398.41
Average Period Return1.083.186.6414.0923.0433.1855.4187.88119.06
Average Gain4.099.0915.1422.0932.0244.2070.73104.31121.06
Average Loss-2.42-4.08-5.27-5.84-5.69-5.38-3.32-7.71-5.00
Best Period15.8135.2360.3088.09116.07144.66154.06207.02236.47
Worst Period-9.35-12.11-16.41-14.40-11.70-13.70-8.50-14.28-5.00
Standard Deviation4.738.9414.9721.3929.7038.0749.3464.1066.36
Gain Standard Deviation4.428.2814.4720.3628.5436.2243.8954.3564.96
Loss Standard Deviation2.273.204.103.913.323.462.344.25
Sharpe Ratio (1%)0.210.330.410.610.730.821.061.311.72
Average Gain / Average Loss1.692.232.873.785.638.2221.2913.5424.23
Profit / Loss Ratio2.042.994.289.6418.0128.7881.6178.761502.19
Downside Deviation (10%)2.373.895.466.217.047.929.7911.725.24
Downside Deviation (5%)2.203.364.374.153.863.843.134.771.27
Downside Deviation (0%)2.163.234.123.693.202.991.833.330.63
Sortino Ratio (10%)0.280.500.761.462.202.904.055.6617.46
Sortino Ratio (5%)0.450.871.413.165.598.1216.7217.5989.58
Sortino Ratio (0%)0.500.981.613.817.2111.0830.2426.36189.13

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.