Marchese Capital Management : Diversified Futures Program

archived programs
Year-to-Date
N / A
Nov Performance
-4.44%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
34.11%
Sharpe (RFR=1%)
0.86
CAROR
27.85%
Assets
$ 444k
Worst DD
-31.15
S&P Correlation
-0.05

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
8/2005
Diversified Futures Program -4.44 - - - - - - 189.96
S&P 500 5.74 - - - - - - 183.87
+/- S&P 500 -10.18 - - - - - - 6.09

Strategy Description

Summary

-Michael A. Marchese is employed by MCM and is the sole person responsible for overseeing MCM's trading decisions. MCM's trading approach draws upon Michael Marchese's judgement, experience and his knowledge of the technical factors affecting markets and attempts to identify optimal... 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 $10.00
Available to US Investors Request Information

Subscriptions

High Water Mark Yes
Subscription Frequency Anytime
Redemption Frequency Anytime
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD
Worst Peak-to-Trough 35.00%
Sector Focus Not Specified

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-Michael A. Marchese is employed by MCM and is the sole person responsible for overseeing MCM's trading decisions. MCM's trading approach draws upon Michael Marchese's judgement, experience and his knowledge of the technical factors affecting markets and attempts to identify optimal trading opportunities. The underlying premise of MCM's trading approach is that prediction of future prices is futile, and that trading of markets should be focused on current prices and disciplined risk management. MCM believes that markets exhibit trends of different time frames. These trending markets create opportunity which MCM attempts to identify and take advantage of. MCM's systems focus on areas under a trader's control; how much to risk per trade, how much to trade, when to enter, when to exit and whether or not to trade at all. Furthermore, each potential trading opportunity is addressed the same way, as follows; a. What percentage of capital will be at risk on this trade? b. What is the recent volatility of the particular market? c. How many contracts are warranted based on the current volatility and the pre-determined risk? d. Do technical factors warrant a long or short position? e. What is the exit strategy to be employed? f. What is the correlation between this trade and current portfolio positions? Risk management is a primary focus of MCM's trading strategies. Stop loss levels are determined at the time the trade is entered and each position is tracked using specific parameters to determine exit levels as profitable positions exhibit a decrease in momentum. Stops are designed to remove losing trades quickly and to attempt to limit any loss to no more than a nominal percentage of the account's net assets. MCM designs systems utilizing different risk parameters and different technical indicators, to approach various market environments.

Risk Management

Risk management is a primary focus of MCM’s trading strategies. Stop loss levels are determined at the time the trade is entered and each position is tracked using specific parameters to determine stop level adjustments in an effort to achieve optimum exit levels. Stops are designed to remove losing trades quickly and to attempt to limit any loss to no more than a nominal percentage of the account’s net assets. There is no guarantee that the risk per position will be limited to the pre-determined amount upon exiting a position

   

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
-31.15 3 19 4/1/2006 7/1/2006
-11.68 3 3 2/1/2008 5/1/2008
-11.17 1 1 1/1/2006 2/1/2006
-10.48 6 - 5/1/2009 11/1/2009
-7.10 1 1 1/1/0001 8/1/2005
-4.61 3 1 1/1/2009 4/1/2009
-4.08 1 1 8/1/2008 9/1/2008
-0.59 1 1 11/1/2005 12/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
50.19 3 9/1/2005 11/1/2005
47.05 2 3/1/2006 4/1/2006
37.65 4 11/1/2007 2/1/2008
30.72 4 10/1/2008 1/1/2009
30.00 3 10/1/2006 12/1/2006
14.94 1 5/1/2009 5/1/2009
13.67 1 8/1/2008 8/1/2008
11.91 1 9/1/2007 9/1/2007
11.55 1 6/1/2008 6/1/2008
9.62 1 8/1/2006 8/1/2006
7.48 4 4/1/2007 7/1/2007
3.35 1 1/1/2006 1/1/2006
0.83 1 10/1/2009 10/1/2009
0.38 2 7/1/2009 8/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-31.15 3 5/1/2006 7/1/2006
-24.20 3 1/1/2007 3/1/2007
-11.68 3 3/1/2008 5/1/2008
-11.17 1 2/1/2006 2/1/2006
-7.10 1 8/1/2005 8/1/2005
-6.08 1 8/1/2007 8/1/2007
-4.89 1 9/1/2009 9/1/2009
-4.61 3 2/1/2009 4/1/2009
-4.44 1 11/1/2009 11/1/2009
-4.08 1 9/1/2008 9/1/2008
-2.68 1 6/1/2009 6/1/2009
-1.39 1 10/1/2007 10/1/2007
-1.06 1 7/1/2008 7/1/2008
-0.59 1 12/1/2005 12/1/2005
-0.42 1 9/1/2006 9/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods52.0050.0047.0041.0035.0029.0017.00
Percent Profitable55.7770.0076.6082.9391.43100.00100.00
Average Period Return2.527.9214.9629.3545.7863.05104.18
Average Gain8.7016.3623.3337.8350.9863.05104.18
Average Loss-5.28-11.76-12.43-11.86-9.68
Best Period33.8350.1959.4272.47106.93126.02153.61
Worst Period-16.92-31.15-19.76-25.37-17.505.3850.48
Standard Deviation9.8516.6019.9625.4835.8835.1128.53
Gain Standard Deviation8.3611.0214.3118.4732.9135.1128.53
Loss Standard Deviation4.688.726.247.947.16
Sharpe Ratio (1%)0.250.460.721.111.231.743.55
Average Gain / Average Loss1.651.391.883.195.27
Profit / Loss Ratio2.083.256.1415.5056.19
Downside Deviation (10%)4.868.487.767.615.420.90
Downside Deviation (5%)4.698.036.896.123.69
Downside Deviation (0%)4.657.926.675.763.31
Sortino Ratio (10%)0.430.791.613.207.0458.36
Sortino Ratio (5%)0.520.962.104.6311.99
Sortino Ratio (0%)0.541.002.245.0913.83

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.