Northern Capital Partners, LLC : Spread Program (Proprietary)

Year-to-Date
19.25%
Oct Performance
5.95%
Min Investment
$ 500k
Mgmt. Fee
1.20%
Perf. Fee
20.00%
Annualized Vol
11.16%
Sharpe (RFR=1%)
1.99
CAROR
25.10%
Assets
$ 1.0M
Worst DD
-4.53
S&P Correlation
-0.15

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 (Proprietary) 5.95 5.87 19.25 17.18 - - - 56.50
S&P 500 2.04 1.92 21.16 12.01 - - - 17.51
+/- S&P 500 3.91 3.95 -1.91 5.18 - - - 39.00

Strategy Description

Summary

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. ... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.00
Management Fee
1.20%
Performance Fee
20.00%
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
11%
Targeted Worst DD
Worst Peak-to-Trough
4.53%
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

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.

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.

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
-4.53 1 4 10/1/2018 11/1/2018
-4.20 2 2 2/1/2018 4/1/2018
-2.57 1 1 8/1/2019 9/1/2019
-0.92 1 1 3/1/2019 4/1/2019
-0.76 1 1 7/1/2018 8/1/2018
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
14.91 3 5/1/2018 7/1/2018
13.29 4 11/1/2017 2/1/2018
10.63 4 5/1/2019 8/1/2019
7.92 2 9/1/2018 10/1/2018
5.95 1 10/1/2019 10/1/2019
4.94 1 3/1/2019 3/1/2019
3.99 2 12/1/2018 1/1/2019
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-4.53 1 11/1/2018 11/1/2018
-4.20 2 3/1/2018 4/1/2018
-2.57 1 9/1/2019 9/1/2019
-0.92 1 4/1/2019 4/1/2019
-0.76 1 8/1/2018 8/1/2018
-0.59 1 2/1/2019 2/1/2019
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods24.0022.0019.0013.007.00
Percent Profitable70.8386.36100.00100.00100.00
Average Period Return1.935.3610.8521.7936.43
Average Gain3.536.4010.8521.7936.43
Average Loss-1.95-1.18
Best Period9.4114.9123.0633.5544.21
Worst Period-4.53-1.622.6212.8033.29
Standard Deviation3.224.315.035.453.74
Gain Standard Deviation2.213.665.035.453.74
Loss Standard Deviation1.380.45
Sharpe Ratio (1%)0.571.192.063.819.34
Average Gain / Average Loss1.815.41
Profit / Loss Ratio4.4134.28
Downside Deviation (10%)1.450.93
Downside Deviation (5%)1.290.55
Downside Deviation (0%)1.260.46
Sortino Ratio (10%)1.054.44
Sortino Ratio (5%)1.439.37
Sortino Ratio (0%)1.5411.74

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.