Old Park Capital : Maestro Managed Futures

archived programs
Year-to-Date
N / A
Jan Performance
0.73%
Min Investment
$ 400k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.61%
Sharpe (RFR=1%)
0.25
CAROR
2.80%
Assets
$ 219.0M
Worst DD
-20.09
S&P Correlation
0.12

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
9/2010
Maestro Managed Futures 0.73 - - - - -2.55 16.13 16.13
S&P 500 -5.07 - - - - 50.84 51.55 203.55
+/- S&P 500 5.80 - - - - -53.39 -35.42 -187.43

Strategy Description

Investment Strategy

The Maestro Managed Futures Strategy is a systematic trading programme that arbitrages the daily variation in the valuation of highly liquid exchange traded index futures over a number of time zones. More specifically, the strategy aims at exploiting the opportunities... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 400k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 5.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors No

Subscriptions

High Water Mark No
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 5000 RT/YR/$M
Avg. Margin-to-Equity 6%
Targeted Worst DD
Worst Peak-to-Trough 3.00%
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

Arbitrage
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Investment Strategy

The Maestro Managed Futures Strategy is a systematic trading programme that arbitrages the daily variation in the valuation of highly liquid exchange traded index futures over a number of time zones. More specifically, the strategy aims at exploiting the opportunities created by the extended trading session for futures contracts i.e. the fact that futures contracts trade during a longer time period of the day than the underlying markets. For example, EuroStoxx Futures trade on Eurex from 8:00 am CET to 10:00 pm CET whereas the underlying European cash equity markets trade only from 9:00 am CET to 5:30 pm CET. When both the futures and the underlying market trade, the futures price is guided by the behaviour of the underlying market. But after the close of the underlying market, the futures is “orphaned”, i.e. trades without the informational support of the underlying market. The futures may then get carried away by external factors such as markets of other regions, i.e. the futures may experience a price deviation that may not be in line with the valuation of the underlying market in absence of significant news. Maestro exploits the fact that in absence of significant news the futures will mean-revert back to the valuation level of the underlying market when the latter re-opens the following day. The Maestro strategy is applied to Eurostoxx futures and S&P futures in a way that optimizes the use of capital. Positions are opened between 5:30 to 10:00 pm (CET) for the Eurostoxx. The remaining capital is allocated the strategy on the S&P from 10:30 pm to 3:30 pm (CET) the following day. We aim to close the positions on the Eurostoxx by 10:30 am and from 3:30 pm to 10:15 pm (CET) on the S&P. If the mean-reversion doesn’t occur on the Eurostoxx we wait until 5:30 pm (CET) to close-out the Eurostoxx position. At 5:30 pm (CET) we have no position at all on the Eurostoxx futures and at 10:15 pm (CET) we have no position at all on the S&P futures. Maestro is a strictly daily strategy. De-correlation effect and increased activation frequency as the strategy is applied to different time windows depending on the corresponding futures. Exposure capacity that is not used for Eurostoxx futures is made available to S&P futures, which enables a dynamic and efficient use of the capital while constraining the maximum risk exposure. Natural cross-hedging of exposures when Maestro is applied to each futures in an opposite direction to the other (in which case full exposure in both futures is permitted).

Risk Management

Several closed-out levels are considered for winning trades.

Several closed-out levels are considered in case of adverse futures price behaviour, i.e. when instead of mean-reverting, the futures further deviates. These levels are determined on each day depending on the volatility environment.

Careful monitoring of the news flow by the management team to prevent activation or to immediately close already activated trades in case of scheduled events with potentially high market impact or unscheduled events with adverse market impact.

A stop-loss level is determined before the trading session. The maximum loss for a trading session is then limited to this stop-loss level.

The strongest risk mitigation is the fact that it is a strictly daily strategy.

   

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
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Sharpe Ratio: (RF=1%)
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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
-20.09 11 - 11/1/2014 10/1/2015
-5.84 6 16 3/1/2012 9/1/2012
-3.57 2 1 8/1/2011 10/1/2011
-2.15 1 2 3/1/2011 4/1/2011
-1.69 1 2 2/1/2014 3/1/2014
-1.21 1 2 6/1/2014 7/1/2014
-0.69 1 2 12/1/2011 1/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
14.69 7 9/1/2010 3/1/2011
10.88 4 11/1/2013 2/1/2014
9.50 4 5/1/2011 8/1/2011
8.35 2 11/1/2011 12/1/2011
5.46 3 4/1/2014 6/1/2014
4.38 3 6/1/2013 8/1/2013
3.90 5 10/1/2012 2/1/2013
2.86 4 8/1/2014 11/1/2014
1.89 2 6/1/2015 7/1/2015
1.05 1 11/1/2015 11/1/2015
0.90 2 2/1/2012 3/1/2012
0.79 1 8/1/2012 8/1/2012
0.73 1 1/1/2016 1/1/2016
0.62 1 4/1/2015 4/1/2015
0.29 1 1/1/2015 1/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.21 3 8/1/2015 10/1/2015
-7.23 2 2/1/2015 3/1/2015
-4.70 4 4/1/2012 7/1/2012
-3.98 2 9/1/2013 10/1/2013
-3.57 2 9/1/2011 10/1/2011
-2.88 3 3/1/2013 5/1/2013
-2.15 1 4/1/2011 4/1/2011
-1.97 1 9/1/2012 9/1/2012
-1.69 1 3/1/2014 3/1/2014
-1.21 1 7/1/2014 7/1/2014
-0.91 1 12/1/2014 12/1/2014
-0.69 1 1/1/2012 1/1/2012
-0.29 1 5/1/2015 5/1/2015
-0.24 1 12/1/2015 12/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods65.0063.0060.0054.0048.0042.0030.0018.00
Percent Profitable63.0860.3263.3364.8172.9280.9580.0066.67
Average Period Return0.260.691.253.445.587.3911.0215.30
Average Gain1.573.525.739.4110.7810.6815.2726.09
Average Loss-1.98-3.62-6.47-7.55-8.40-6.60-5.97-6.28
Best Period5.829.3913.1622.8828.1923.5727.5939.64
Worst Period-11.65-15.21-13.90-19.66-18.15-10.97-7.67-10.21
Standard Deviation2.494.767.2010.6410.728.4310.5017.78
Gain Standard Deviation1.322.533.686.436.235.236.6610.14
Loss Standard Deviation2.424.074.807.657.033.331.393.08
Sharpe Ratio (1%)0.070.090.110.230.380.640.760.63
Average Gain / Average Loss0.800.970.891.251.281.622.564.15
Profit / Loss Ratio1.361.481.532.293.456.8710.248.30
Downside Deviation (10%)2.043.966.138.799.198.0210.7616.50
Downside Deviation (5%)1.913.505.096.736.244.004.076.19
Downside Deviation (0%)1.883.404.846.295.613.192.733.97
Sortino Ratio (10%)-0.07-0.14-0.20-0.18-0.22-0.36-0.44-0.38
Sortino Ratio (5%)0.090.120.150.360.651.351.971.82
Sortino Ratio (0%)0.140.200.260.551.002.324.043.85

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.