ROE Capital Management : Jefferson Index Program

archived programs
Year-to-Date
N / A
Aug Performance
7.22%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.35%
Sharpe (RFR=1%)
0.26
CAROR
3.85%
Assets
$ 150k
Worst DD
-20.44
S&P Correlation
0.33

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
11/2008
Jefferson Index Program 7.22 - - - - - -12.25 11.30
S&P 500 -5.68 - - - - - 7.52 299.92
+/- S&P 500 12.90 - - - - - -19.77 -288.62

Strategy Description

Summary

The Jefferson Index Program of the Advisor trades only the most aggressive systems from the Monticello Equity Spreads Portfolio (ROE Capital Management's 100K portfolio) in the E-mini S&P 500 futures market only. These systems are derived from a fundamental principle of equity futures... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $6.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 6500 RT/YR/$M
Avg. Margin-to-Equity 24%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 16.50%
Sector Focus Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Counter-trend
80.00%
Fundamental
20.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Jefferson Index Program of the Advisor trades only the most aggressive systems from the Monticello Equity Spreads Portfolio (ROE Capital Management's 100K portfolio) in the E-mini S&P 500 futures market only. These systems are derived from a fundamental principle of equity futures markets, one which has been tested over many years. This program generally requires $50,000 to trade, but is available to trade "notionally" funded with less capital on deposit. Please review our disclosure document for details.

Investment Strategy

This principle has been distilled into several complimentary algorithmic trading models which are primarily "contrarian" in nature, which is to say they analyze markets for key points of momentum exhaustion. The goal is to profit from short term trades capitalizing on the price movement from this exhaustion. Using the same signal as the Monticello Equity Spreads Portfolio, these systems will take a long or short position in the E-mini S&P 500 market. Unlike the Monticello Equity Spread Portfolio, no spread position is taken leaving its position 100% biased in the direction of the system’s signal.

Risk Management

95% of the trades executed in this program are done so automatically with no human intervention, except in the management of the execution itself. This is done so that its performance is dispassionate, not subject to the oscillating emotions of the Advisor trading it. Human intervention does occur, especially around the release of economic data which may introduce price volatility in the market, but intervention is kept to a minimum. Stops are placed intraday to mitigate risk.

   

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
-20.44 16 - 3/1/2010 7/1/2011
-9.14 1 5 1/1/2009 2/1/2009
-5.60 1 1 1/1/0001 11/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
34.09 13 3/1/2009 3/1/2010
13.43 2 12/1/2008 1/1/2009
7.59 2 6/1/2010 7/1/2010
7.22 1 8/1/2011 8/1/2011
5.92 3 9/1/2010 11/1/2010
0.07 1 5/1/2011 5/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.21 5 12/1/2010 4/1/2011
-9.14 1 2/1/2009 2/1/2009
-8.85 2 4/1/2010 5/1/2010
-6.41 1 8/1/2010 8/1/2010
-5.60 1 11/1/2008 11/1/2008
-1.22 2 6/1/2011 7/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods34.0032.0029.0023.0017.00
Percent Profitable64.7159.3858.6265.2264.71
Average Period Return0.410.901.736.378.76
Average Gain2.885.869.1216.1020.02
Average Loss-4.12-6.34-8.73-11.89-11.88
Best Period9.8310.2417.5433.2025.98
Worst Period-12.09-16.60-17.44-19.37-14.79
Standard Deviation4.437.1210.8315.9816.47
Gain Standard Deviation2.302.535.919.325.97
Loss Standard Deviation3.775.086.636.692.54
Sharpe Ratio (1%)0.070.090.110.340.44
Average Gain / Average Loss0.700.921.041.351.69
Profit / Loss Ratio1.281.351.482.543.09
Downside Deviation (10%)3.445.748.2910.6211.65
Downside Deviation (5%)3.295.237.208.458.07
Downside Deviation (0%)3.255.106.947.927.19
Sortino Ratio (10%)0.00-0.06-0.090.130.10
Sortino Ratio (5%)0.100.120.170.630.90
Sortino Ratio (0%)0.130.180.250.801.22

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.