Lafayette Trading, LLC : Eur/Asia Equity Index Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Jul Performance 2.39% Min Investment $ 500k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 13.15% Sharpe (RFR=1%) -0.31 CAROR - Assets $ 480k Worst DD -13.55 S&P Correlation 0.49 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since9/2009 Eur/Asia Equity Index Program 2.39 - - - - - - -3.54 S&P 500 6.88 - - - - - - 337.76 +/- S&P 500 -4.49 - - - - - - -341.29 Strategy Description SummaryLafayette Trading, LLC ("Lafayette") employs a short-term, systematic model to generate trade signals on equity index future contracts. The technology has been employed on U.S. markets since Nov-01 and beginning in Sep-09 the technology was applied to a basket of European and Asian... Read More Account & Fees Type Managed Account Minimum Investment $ 500k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $5.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Anytime Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 3200 RT/YR/$M Avg. Margin-to-Equity 7% Targeted Worst DD Worst Peak-to-Trough 0% Sector Focus Not Specified Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 100.00% 1-30 Days Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Counter-trend 15.00% Other 85.00% SummaryLafayette Trading, LLC ("Lafayette") employs a short-term, systematic model to generate trade signals on equity index future contracts. The technology has been employed on U.S. markets since Nov-01 and beginning in Sep-09 the technology was applied to a basket of European and Asian equity indices. The technology is comprised of nine different alpha generating algorithms. The algorithms work in tandem to generate the trade direction and risk allocation.Results Sep 2009 – present is the net performance (2/20) for proprietary accounts managed by Lafayette Trading, LLC.Investment StrategyThe technology currently trades the DJ Euro Stoxx, DAX, Hang Seng, and Nikkei 225 (SIMEX) index equity futures contracts for accounts greater than $1MM. For accounts between $500K and $1MM the DAX contract is removed from the portfolio. All trades are short-term, with new trade signals generated on a daily basis. Historically, the technology is in cash approximately 50% of the time and the maximum leverage employed on any single position is 2:1. Historically, for those times when a signal is generated to take market risk, approximately 65% of the positions are long and 35% are short.Risk ManagementBased on new market data every trade is evaluated on a daily basis and therefore has a time-stop of approximately 24 hours. In addition, the algorithms work in tandem so that the size of the position is dictated by several factors: the number of algorithms that are triggered, which algorithms trigger, and the market environment in which the algorithms are triggering. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -13.55 3 - 11/1/2009 2/1/2010 -0.18 1 1 9/1/2009 10/1/2009 Show More Consecutive Gains Run-up Length (Mos.) Start End 5.02 1 11/1/2009 11/1/2009 4.87 3 3/1/2010 5/1/2010 2.39 1 7/1/2010 7/1/2010 2.12 1 9/1/2009 9/1/2009 Show More Consecutive Losses Run-up Length (Mos.) Start End -13.55 3 12/1/2009 2/1/2010 -2.93 1 6/1/2010 6/1/2010 -0.18 1 10/1/2009 10/1/2009 Show More 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. x {{title}} x {{title}} Add Cancel