Monterosso Investments : Monterosso Futures Program

archived programs
Year-to-Date
N / A
Jan Performance
-0.44%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.51%
Sharpe (RFR=1%)
0.53
CAROR
5.78%
Assets
$ 1.9M
Worst DD
-15.33
S&P Correlation
-0.37

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
5/2008
Monterosso Futures Program -0.44 - - - - -2.20 -12.75 54.57
S&P 500 -5.07 - - - - 50.84 51.55 131.09
+/- S&P 500 4.63 - - - - -53.04 -64.30 -76.52

Strategy Description

Summary

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... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor 1.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $5.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 2000 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 6.41%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 0%
Intraday 100.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

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.

   

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
-15.33 43 - 10/1/2011 5/1/2015
-7.09 5 3 2/1/2011 7/1/2011
-5.16 1 2 6/1/2008 7/1/2008
-2.24 4 1 5/1/2009 9/1/2009
-1.67 1 1 3/1/2009 4/1/2009
-1.26 2 2 10/1/2009 12/1/2009
-1.19 1 1 5/1/2010 6/1/2010
-0.61 2 1 11/1/2010 1/1/2011
-0.27 1 1 9/1/2010 10/1/2010
-0.10 1 1 2/1/2010 3/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
69.83 8 8/1/2008 3/1/2009
9.29 3 8/1/2011 10/1/2011
3.84 2 4/1/2010 5/1/2010
3.57 6 6/1/2015 11/1/2015
3.33 1 10/1/2009 10/1/2009
3.11 3 7/1/2010 9/1/2010
2.88 2 5/1/2008 6/1/2008
2.06 1 5/1/2009 5/1/2009
1.33 2 1/1/2010 2/1/2010
1.33 1 2/1/2014 2/1/2014
1.09 1 6/1/2013 6/1/2013
1.05 1 1/1/2015 1/1/2015
1.04 1 2/1/2011 2/1/2011
0.51 1 11/1/2012 11/1/2012
0.41 1 9/1/2013 9/1/2013
0.40 1 12/1/2011 12/1/2011
0.35 2 3/1/2013 4/1/2013
0.35 1 11/1/2010 11/1/2010
0.34 3 5/1/2014 7/1/2014
0.10 1 6/1/2012 6/1/2012
0.03 1 2/1/2012 2/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.09 5 3/1/2011 7/1/2011
-5.69 4 7/1/2012 10/1/2012
-5.26 5 8/1/2014 12/1/2014
-5.16 1 7/1/2008 7/1/2008
-2.77 2 12/1/2015 1/1/2016
-2.43 1 11/1/2011 11/1/2011
-2.24 4 6/1/2009 9/1/2009
-1.96 3 3/1/2012 5/1/2012
-1.95 4 2/1/2015 5/1/2015
-1.76 2 3/1/2014 4/1/2014
-1.67 1 4/1/2009 4/1/2009
-1.26 2 11/1/2009 12/1/2009
-1.19 1 6/1/2010 6/1/2010
-0.99 4 10/1/2013 1/1/2014
-0.85 1 5/1/2013 5/1/2013
-0.61 2 12/1/2010 1/1/2011
-0.44 2 7/1/2013 8/1/2013
-0.29 3 12/1/2012 2/1/2013
-0.27 1 10/1/2010 10/1/2010
-0.21 1 1/1/2012 1/1/2012
-0.10 1 3/1/2010 3/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods93.0091.0088.0082.0076.0070.0058.0046.0034.00
Percent Profitable46.2447.2551.1448.7836.8435.7131.0330.4335.29
Average Period Return0.501.653.664.935.165.755.546.089.04
Average Gain2.135.389.6714.1621.1925.7432.4336.2438.93
Average Loss-0.89-1.69-2.62-3.85-4.19-5.36-6.56-7.11-7.27
Best Period13.9137.8955.6768.9471.7580.6978.2576.5968.90
Worst Period-5.16-5.70-7.08-9.50-8.98-8.81-13.07-13.37-12.54
Standard Deviation2.747.1712.6717.7119.5322.6524.4626.5727.43
Gain Standard Deviation3.228.9915.4221.7825.0428.6229.3631.3226.76
Loss Standard Deviation0.971.512.012.552.462.093.814.774.23
Sharpe Ratio (1%)0.150.200.250.220.190.160.100.080.14
Average Gain / Average Loss2.393.183.693.685.064.804.945.095.35
Profit / Loss Ratio2.052.853.863.502.952.672.222.232.92
Downside Deviation (10%)1.192.403.906.829.7512.8619.2224.9529.14
Downside Deviation (5%)1.001.782.593.924.936.148.5610.1310.53
Downside Deviation (0%)0.961.642.303.293.854.616.287.116.73
Sortino Ratio (10%)0.080.180.31-0.01-0.25-0.35-0.53-0.62-0.64
Sortino Ratio (5%)0.420.791.221.000.740.610.290.200.37
Sortino Ratio (0%)0.531.011.591.501.341.250.880.861.34

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.