Lafayette Trading, LLC : U.S. Equity Index Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Jul Performance -0.75% Min Investment $ 250k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 12.31% Sharpe (RFR=1%) 0.87 CAROR 11.47% Assets $ 400k Worst DD -17.21 S&P Correlation 0.11 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 Since11/2001 U.S. Equity Index Program -0.75 - - - - - - 158.67 S&P 500 6.88 - - - - - - 222.60 +/- S&P 500 -7.63 - - - - - - -63.93 Strategy Description Summary-Lafayette Trading, LLC ("Lafayette") employs a short-term, systematic model to generate trade signals on U.S. time zone equity index future contracts. The technology is comprised of ten different alpha generating algorithms. The algorithms work in tandem to generate the trade direction... Read More Account & Fees Type Managed Account Minimum Investment $ 250k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $5.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Anytime Redemption Frequency Anytime Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 3200 RT/YR/$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% Summary-Lafayette Trading, LLC ("Lafayette") employs a short-term, systematic model to generate trade signals on U.S. time zone equity index future contracts. The technology is comprised of ten different alpha generating algorithms. The algorithms work in tandem to generate the trade direction and risk allocation.Nov 2001-Aug 2006 performance is the Lafayette technology with pro-forma 2% management fee deducted monthly and 20% incentive fee as traded by TDA in a securities portfolio. Sep 2006-Sep 2008 performance is the Lafayette technology with pro-forma 2% management fees and 20% incentive fee as traded by TDA in a futures portfolio. Results Oct 2008 – June 2009 is the net performance (2/20) for proprietary accounts managed by Lafayette Trading, LLC. Beginning in July of 2009 to present the results are the net performance of client accounts managed by Lafayette.Investment StrategyThe technology currently trades the S&P 500, Nasdaq 100, Russell 2000, and Nikkei 225 (dollar denominated) index futures contracts. 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 -17.21 9 - 5/1/2009 2/1/2010 -10.49 5 2 2/1/2002 7/1/2002 -10.18 2 5 8/1/2008 10/1/2008 -8.38 1 7 10/1/2007 11/1/2007 -5.42 3 1 5/1/2004 8/1/2004 -4.23 3 1 2/1/2006 5/1/2006 -3.85 2 3 8/1/2005 10/1/2005 -3.27 1 1 11/1/2002 12/1/2002 -2.16 1 2 7/1/2003 8/1/2003 -2.12 1 2 3/1/2007 4/1/2007 -1.72 1 2 10/1/2003 11/1/2003 -1.28 1 1 3/1/2004 4/1/2004 -1.15 1 2 8/1/2006 9/1/2006 -1.05 2 2 3/1/2003 5/1/2003 -0.56 1 1 1/1/2003 2/1/2003 -0.29 1 1 12/1/2004 1/1/2005 -0.05 1 1 9/1/2004 10/1/2004 Show More Consecutive Gains Run-up Length (Mos.) Start End 22.31 4 11/1/2001 2/1/2002 21.02 4 8/1/2002 11/1/2002 20.76 6 3/1/2008 8/1/2008 16.17 3 3/1/2009 5/1/2009 12.48 4 11/1/2005 2/1/2006 12.39 6 5/1/2007 10/1/2007 12.22 1 1/1/2003 1/1/2003 10.45 4 12/1/2003 3/1/2004 10.11 7 2/1/2005 8/1/2005 8.10 1 11/1/2008 11/1/2008 7.26 3 6/1/2006 8/1/2006 6.95 6 10/1/2006 3/1/2007 6.68 4 3/1/2010 6/1/2010 6.32 1 9/1/2004 9/1/2004 5.05 2 9/1/2003 10/1/2003 4.71 1 1/1/2009 1/1/2009 4.02 2 11/1/2004 12/1/2004 3.88 1 5/1/2004 5/1/2004 2.61 2 12/1/2007 1/1/2008 2.54 1 5/1/2002 5/1/2002 1.41 1 11/1/2009 11/1/2009 1.21 1 7/1/2003 7/1/2003 1.09 1 3/1/2003 3/1/2003 0.91 1 9/1/2009 9/1/2009 Show More Consecutive Losses Run-up Length (Mos.) Start End -12.00 3 6/1/2009 8/1/2009 -10.18 2 9/1/2008 10/1/2008 -9.04 2 3/1/2002 4/1/2002 -8.38 1 11/1/2007 11/1/2007 -5.49 1 12/1/2008 12/1/2008 -5.42 3 6/1/2004 8/1/2004 -5.39 1 10/1/2009 10/1/2009 -4.29 1 2/1/2009 2/1/2009 -4.23 3 3/1/2006 5/1/2006 -4.03 2 6/1/2002 7/1/2002 -3.85 2 9/1/2005 10/1/2005 -3.27 1 12/1/2002 12/1/2002 -2.83 3 12/1/2009 2/1/2010 -2.16 1 8/1/2003 8/1/2003 -2.12 1 4/1/2007 4/1/2007 -1.72 1 11/1/2003 11/1/2003 -1.28 1 4/1/2004 4/1/2004 -1.15 1 9/1/2006 9/1/2006 -1.05 3 4/1/2003 6/1/2003 -0.95 1 2/1/2008 2/1/2008 -0.75 1 7/1/2010 7/1/2010 -0.56 1 2/1/2003 2/1/2003 -0.29 1 1/1/2005 1/1/2005 -0.05 1 10/1/2004 10/1/2004 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods105.00103.00100.0094.0088.0082.0070.0058.0046.00 Percent Profitable63.8171.8480.0086.1793.1898.78100.00100.00100.00 Average Period Return0.972.885.4211.3717.6424.4038.9855.3173.30 Average Gain2.895.517.9714.0819.3924.7738.9855.3173.30 Average Loss-2.48-3.82-4.79-5.53-6.25-6.06 Best Period12.2220.1831.3732.2543.3948.8267.6089.46111.30 Worst Period-8.38-12.00-14.80-12.84-11.56-6.069.6118.8138.21 Standard Deviation3.555.937.289.3110.3711.0614.6318.2622.13 Gain Standard Deviation2.674.565.416.668.3110.5914.6318.2622.13 Loss Standard Deviation2.073.034.174.064.10 Sharpe Ratio (1%)0.250.440.681.111.562.022.462.813.08 Average Gain / Average Loss1.171.441.662.553.104.08 Profit / Loss Ratio2.113.686.6615.8742.39330.85 Downside Deviation (10%)2.103.113.744.213.882.461.300.40 Downside Deviation (5%)1.942.682.982.832.250.90 Downside Deviation (0%)1.902.572.812.521.900.67 Sortino Ratio (10%)0.270.530.791.512.595.7617.8283.77 Sortino Ratio (5%)0.460.981.653.677.1724.88 Sortino Ratio (0%)0.511.121.934.529.2736.43 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