Lafayette Trading, LLC : Eur/Asia Equity Index Program

archived programs
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

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 Since
9/2009
Eur/Asia Equity Index Program 2.39 - - - - - - -3.54
S&P 500 6.88 - - - - - - 206.14
+/- S&P 500 -4.49 - - - - - - -209.68

Strategy Description

Summary

Lafayette 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%
Strategy Pie Chart

Summary

Lafayette 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 Strategy

The 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 Management

Based 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.

   

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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Sharpe Ratio: (RF=1%)
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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
-13.55 3 - 11/1/2009 2/1/2010
-0.18 1 1 9/1/2009 10/1/2009
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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
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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
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Time Windows Analysis

 1 Month3 Month
Number of Periods11.009.00
Percent Profitable54.5544.44
Average Period Return-0.26-1.59
Average Gain2.394.00
Average Loss-3.44-6.07
Best Period5.027.05
Worst Period-7.89-13.55
Standard Deviation3.807.04
Gain Standard Deviation1.512.85
Loss Standard Deviation3.176.07
Sharpe Ratio (1%)-0.09-0.26
Average Gain / Average Loss0.690.66
Profit / Loss Ratio0.830.53
Downside Deviation (10%)3.226.78
Downside Deviation (5%)3.056.21
Downside Deviation (0%)3.016.07
Sortino Ratio (10%)-0.21-0.42
Sortino Ratio (5%)-0.11-0.30
Sortino Ratio (0%)-0.09-0.26

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.