Lafayette Trading, LLC : U.S. Equity Index Program

archived programs
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

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
11/2001
U.S. Equity Index Program -0.75 - - - - - - 158.67
S&P 500 6.88 - - - - - - 204.02
+/- S&P 500 -7.63 - - - - - - -45.35

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%
Strategy Pie Chart

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 Strategy

The 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 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
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
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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
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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
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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.