Melissinos Trading : Eupatrid Program

Year-to-Date
2.98%
Apr Performance
0.70%
Min Investment
$ 50k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
15.28%
Sharpe (RFR=1%)
0.03
CAROR
0.34%
Assets
$ 4.0M
Worst DD
-39.61
S&P Correlation
-0.07

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
1/2011
Eupatrid Program 0.70 7.31 2.98 -8.28 -22.98 -12.43 - 2.89
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 - 126.71
+/- S&P 500 -3.23 -1.63 -14.54 -19.53 -64.18 -67.21 - -123.82

Strategy Description

Summary

Melissinos Trading has been registered as a Commodity Trading Advisor (CTA) with the Commodity Futures Trading Commission and a member of the National Futures Association since November 2010. Michael Melissinos began managing client assets through Melissinos Trading, offering its... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$6.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
350 RT/YR/$M
Avg. Margin-to-Equity
12%
Targeted Worst DD
Worst Peak-to-Trough
30.67%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
10.00%
4-12 Months
70.00%
1-3 Months
20.00%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
1.00%
Systematic
99.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
21.00%
Interest Rates
14.00%
SSF
14.00%
Grains
13.00%
Energy
10.00%
Softs
10.00%
Precious Metals
6.00%
Livestock
6.00%
Industrial Metals
4.00%
Stock Indices
2.00%
Composition Pie Chart

Summary

Melissinos Trading has been registered as a Commodity Trading Advisor (CTA) with the Commodity Futures Trading Commission and a member of the National Futures Association since November 2010. Michael Melissinos began managing client assets through Melissinos Trading, offering its Eupatrid Commodity Program (ECP) since January 2011. Mr. Melissinos received a bachelor’s degree in accounting from Seton Hall University in May 2006. He is the market analyst, research programmer and the sole principal of Melissinos Trading.

Investment Strategy

ECP attempts to identify and ride long-term up and down trends within major asset classes - bonds, commodities, currencies and stocks. To accomplish this, it utilizes a quantitative, rules-based and systematic approach. Melissinos Trading intends to outperform it’s peers in any 5-15 year holding period while exhibiting low correlation to traditional asset classes and hedge funds. October 2017 Program Modification: ECP began reducing stock index futures trading in favor of individual stocks. Currently, ECP tracks 100 large-cap high volume stocks utilizing the same trend following approach as with the other markets in the portfolio.

Risk Management

Market conditions influence how much risk ECP takes. In general, it takes more risk in strong trending markets and less in those that exhibiting flat and choppy behavior. ECP monitors market conditions on an hourly basis (trend strength, correlation and volatility) and adjusts risk exposures accordingly.

   

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
-39.61 48 - 1/1/2015 1/1/2019
-22.71 16 21 8/1/2011 12/1/2012
-9.06 1 3 4/1/2011 5/1/2011
-1.19 1 2 1/1/0001 1/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
37.97 6 8/1/2014 1/1/2015
17.86 3 2/1/2011 4/1/2011
16.95 3 6/1/2011 8/1/2011
14.52 3 2/1/2014 4/1/2014
10.71 2 4/1/2012 5/1/2012
10.56 2 12/1/2017 1/1/2018
9.72 6 1/1/2013 6/1/2013
8.06 2 1/1/2016 2/1/2016
7.31 3 2/1/2019 4/1/2019
7.16 1 6/1/2014 6/1/2014
7.13 1 11/1/2015 11/1/2015
7.12 2 7/1/2012 8/1/2012
4.97 1 9/1/2015 9/1/2015
4.94 2 6/1/2016 7/1/2016
4.42 3 10/1/2013 12/1/2013
4.39 2 7/1/2018 8/1/2018
3.17 1 10/1/2017 10/1/2017
1.93 1 2/1/2017 2/1/2017
1.60 1 3/1/2015 3/1/2015
1.56 1 9/1/2016 9/1/2016
1.07 1 5/1/2015 5/1/2015
0.87 1 11/1/2018 11/1/2018
0.49 1 7/1/2015 7/1/2015
0.09 1 6/1/2017 6/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.91 5 2/1/2018 6/1/2018
-16.85 7 9/1/2011 3/1/2012
-15.84 4 9/1/2012 12/1/2012
-10.68 1 10/1/2015 10/1/2015
-10.67 3 7/1/2017 9/1/2017
-9.79 3 3/1/2016 5/1/2016
-9.06 1 5/1/2011 5/1/2011
-7.43 1 4/1/2015 4/1/2015
-7.40 2 12/1/2018 1/1/2019
-6.88 1 6/1/2012 6/1/2012
-6.39 1 8/1/2015 8/1/2015
-5.94 1 7/1/2014 7/1/2014
-5.88 4 10/1/2016 1/1/2017
-5.56 2 9/1/2018 10/1/2018
-5.23 3 3/1/2017 5/1/2017
-4.88 1 2/1/2015 2/1/2015
-3.74 3 7/1/2013 9/1/2013
-2.83 1 1/1/2014 1/1/2014
-2.82 1 5/1/2014 5/1/2014
-2.22 1 12/1/2015 12/1/2015
-1.19 1 1/1/2011 1/1/2011
-1.04 1 6/1/2015 6/1/2015
-0.70 1 8/1/2016 8/1/2016
-0.21 1 11/1/2017 11/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods100.0098.0095.0089.0083.0077.0065.0053.0041.00
Percent Profitable50.0044.9043.1632.5836.1442.8666.1573.5880.49
Average Period Return0.120.300.220.271.432.698.1512.9612.31
Average Gain3.546.759.3117.8323.1624.2922.9524.6216.78
Average Loss-3.43-4.96-6.68-8.23-10.87-13.52-20.79-19.52-6.14
Best Period9.5622.4437.9754.7751.7763.8848.9860.6843.20
Worst Period-10.68-14.37-16.40-23.48-21.28-25.08-31.37-39.61-12.43
Standard Deviation4.417.2810.1014.7619.1722.5023.9823.1813.15
Gain Standard Deviation3.015.228.3612.8314.7517.1913.6712.2110.24
Loss Standard Deviation2.503.483.964.685.656.917.3312.985.04
Sharpe Ratio (1%)0.010.01-0.03-0.050.000.030.210.380.55
Average Gain / Average Loss1.031.361.392.172.131.801.101.262.73
Profit / Loss Ratio1.081.111.061.051.211.352.163.5111.27
Downside Deviation (10%)3.165.267.5211.5215.4418.8222.1622.6019.84
Downside Deviation (5%)2.984.636.178.4810.8512.8314.4713.725.49
Downside Deviation (0%)2.934.485.847.759.7711.4512.7911.923.42
Sortino Ratio (10%)-0.09-0.18-0.30-0.41-0.40-0.40-0.34-0.38-0.77
Sortino Ratio (5%)0.010.01-0.05-0.09-0.010.050.350.651.31
Sortino Ratio (0%)0.040.070.040.030.150.230.641.093.60

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 9 0.22 9/2018
Trend Following Strategy Index Month 7 1.56 9/2016
Systematic Trader Index Month 9 7.16 6/2014
Trend Following Strategy Index Month 6 7.16 6/2014
Diversified Trader Index Month 6 7.16 6/2014
IASG CTA Index Month 10 7.16 6/2014
IASG CTA Index Month 10 5.26 3/2014
Diversified Trader Index Month 7 5.26 3/2014
Systematic Trader Index Month 8 5.26 3/2014
Trend Following Strategy Index Month 3 5.26 3/2014
Trend Following Strategy Index Month 4 1.17 6/2011
Systematic Trader Index Month 4 8.20 3/2011
Diversified Trader Index Month 5 8.20 3/2011
IASG CTA Index Month 9 8.20 3/2011
Trend Following Strategy Index Month 2 8.20 3/2011

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.