Northern Capital Partners, LLC : Spread Program

Year-to-Date
4.88%
Oct Performance
1.03%
Min Investment
$ 250k
Mgmt. Fee
1.20%
Perf. Fee
25.00%
Annualized Vol
4.63%
Sharpe (RFR=1%)
1.84
CAROR
9.83%
Assets
$ 3.0M
Worst DD
-2.17
S&P Correlation
0.09

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
11/2017
Spread Program 1.03 1.06 4.88 4.84 29.09 - - 32.49
S&P 500 -2.77 -0.04 1.21 7.65 26.97 - - 40.10
+/- S&P 500 3.80 1.10 3.66 -2.82 2.12 - - -7.61

Strategy Description

Summary

Performance prior to October 2017 reflects a margin to capital ratio considerably greater than that which has been employed since that date. Margin ratios since October 2017 are indicative of current levels. Beginning in July 2019 only investor funds are represented.

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Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 2.00
Management Fee 1.20%
Performance Fee 25.00%
Average Commission $6.00
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 1750 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD
Worst Peak-to-Trough 2.17%
Sector Focus Arbitrage & Spread Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 80.00%
1-30 Days 20.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Arbitrage
50.00%
Spreading/hedging
50.00%
Strategy Pie Chart

Composition

Energy
34.00%
Grains
33.00%
Livestock
33.00%
Composition Pie Chart

Summary

Performance prior to October 2017 reflects a margin to capital ratio considerably greater than that which has been employed since that date. Margin ratios since October 2017 are indicative of current levels. Beginning in July 2019 only investor funds are represented.

Investment Strategy

The Spread Program employs a risk parity strategy in the execution of the mean reversion models. Risk is managed based on a mean-variance approach designed to balance volatility across all assets held in a client portfolio. The program is systematic and is focused on producing absolute returns specific to the requirements and risk tolerance of the individual client.

The Northern Capital Spread Program is quantitative in nature and does not employ technical or fundamental analysis. The system makes use of grain, livestock and energy futures exclusively.

Risk Management

Selected positions are added to the portfolio using optimized sizing. Position weight is determined by making use of a covariance matrix (correlations between positions) and the expected performance. Positions with higher correlations to the rest of the portfolio will have a reduced weighting. If risk exceeds the previous predictions on a position, then size will be adjusted to not let it dominate the portfolio. The best risk adjusted results are possible when no single position dominates the portfolio. Existing position will be closed and replaced once the program determines that a more optimal portfolio can be created.

   

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
-2.17 1 4 10/1/2018 11/1/2018
-1.92 2 2 2/1/2018 4/1/2018
-1.43 4 1 11/1/2019 3/1/2020
-1.07 1 1 8/1/2019 9/1/2019
-0.36 1 1 3/1/2019 4/1/2019
-0.28 1 1 7/1/2018 8/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
7.18 3 5/1/2018 7/1/2018
6.39 4 11/1/2017 2/1/2018
6.36 7 4/1/2020 10/1/2020
4.85 4 5/1/2019 8/1/2019
3.84 2 9/1/2018 10/1/2018
3.44 2 10/1/2019 11/1/2019
2.32 1 3/1/2019 3/1/2019
2.18 2 12/1/2018 1/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.17 1 11/1/2018 11/1/2018
-1.92 2 3/1/2018 4/1/2018
-1.43 4 12/1/2019 3/1/2020
-1.07 1 9/1/2019 9/1/2019
-0.36 1 4/1/2019 4/1/2019
-0.28 1 8/1/2018 8/1/2018
-0.20 1 2/1/2019 2/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods36.0034.0031.0025.0019.0013.00
Percent Profitable69.4482.35100.00100.00100.00100.00
Average Period Return0.792.294.599.2414.4519.25
Average Gain1.442.894.599.2414.4519.25
Average Loss-0.75-0.52
Best Period4.447.1810.9815.8120.4025.63
Worst Period-2.17-1.400.955.378.6514.38
Standard Deviation1.341.972.222.653.213.40
Gain Standard Deviation1.011.602.222.653.213.40
Loss Standard Deviation0.610.50
Sharpe Ratio (1%)0.531.041.843.114.035.07
Average Gain / Average Loss1.935.56
Profit / Loss Ratio4.8325.96
Downside Deviation (10%)0.690.790.35
Downside Deviation (5%)0.530.38
Downside Deviation (0%)0.500.29
Sortino Ratio (10%)0.561.345.98
Sortino Ratio (5%)1.335.42
Sortino Ratio (0%)1.597.86

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.