Monterosso Investments

United States-flagUnited States Type: Commodity Pool Operator (CPO)
Commodity Trading Advisor (CTA)
Managed Forex Manager
Registrations: NFA ID: 130259
Program Past 12 Months Aug YTD CAROR WDD AUM Min Inv Visits
Monterosso Futures Program archived programs N/A 5.78 -15.33 $ 250k 12696

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

CTA Introduction

The Short-Term Managed Futures Program is a systematic, multi-strategy program that is designed to be negatively correlated with the S&P 500. The Program’s S&P 500 correlation objective is -0.50. We trade only one instrument: the E-mini S&P 500 futures contract. All positions have an intraday holding period. Since we do not hold positions overnight, there is no exchange-mandated margin requirement on our trades. We use max leverage of 200% of nominal equity, but average leverage of only 20% of nominal equity. The Program trades infrequently. Our strategies generate highly selective entry signals because we want to reduce the incidence of losing trades. Also, we use volatility-adjusted stops to limit the magnitude of any remaining losses.

Read our article 5 Things You Should Know About Managed Futures