ROE Capital Management : Monticello Equity Spreads Portfolio

archived programs
Year-to-Date
N / A
Aug Performance
7.38%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
16.51%
Sharpe (RFR=1%)
0.32
CAROR
5.00%
Assets
$ 290k
Worst DD
-22.98
S&P Correlation
0.25

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
6/2008
Monticello Equity Spreads Portfolio 7.38 - - - - - -11.78 17.17
S&P 500 -5.68 - - - - - 7.52 170.64
+/- S&P 500 13.06 - - - - - -19.30 -153.47

Strategy Description

Summary

The Monticello Equity Spreads Portfolio is a managed futures program which trades according to a fundamental principle of equity futures markets, one which has been tested over many years. This program requires $100,000 to trade, but is available to trade "notionally" funded with less... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
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 9500 RT/YR/$M
Avg. Margin-to-Equity 25%
Targeted Worst DD -25.00%
Worst Peak-to-Trough 17.50%
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 10.00%
Systematic 90.00%

Strategy

Spreading/hedging
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Monticello Equity Spreads Portfolio is a managed futures program which trades according to a fundamental principle of equity futures markets, one which has been tested over many years. This program requires $100,000 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.The "spreads" traded in the portfolio are weighted spreads of the E-mini S&P 500 futures over the E-mini NASDAQ futures. The system takes a long or short position in the E-mini S&P 500 futures and takes the opposite position in the E-mini NASDAQ futures. Intraday the trading models "leg out" of these spreads according to predetermined profit targets or stop losses.

Risk Management

90% 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.The opposite leg of this trade is initiated to reduce the directional bias of the portfolio's position and thereby reduce its exposure to extreme price movement in the overnight market. Although these equity markets are strongly correlated to one another, their correlation is not exact. The resulting variance in equity streams adds a component of diversification to the portfolio.

   

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:
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Average Gain:
Gain Deviation:
Risk
Standard Deviation:
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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:
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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
-22.98 12 - 7/1/2010 7/1/2011
-10.99 2 2 3/1/2010 5/1/2010
-10.32 3 2 12/1/2008 3/1/2009
-4.72 1 1 10/1/2008 11/1/2008
-1.77 1 2 7/1/2008 8/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
39.76 12 4/1/2009 3/1/2010
14.73 2 6/1/2010 7/1/2010
8.19 1 12/1/2008 12/1/2008
7.38 1 8/1/2011 8/1/2011
6.30 2 6/1/2008 7/1/2008
5.05 3 9/1/2010 11/1/2010
2.83 2 9/1/2008 10/1/2008
0.51 1 4/1/2011 4/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-20.37 4 12/1/2010 3/1/2011
-10.99 2 4/1/2010 5/1/2010
-10.32 3 1/1/2009 3/1/2009
-6.25 1 8/1/2010 8/1/2010
-4.72 1 11/1/2008 11/1/2008
-2.28 3 5/1/2011 7/1/2011
-1.77 1 8/1/2008 8/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods39.0037.0034.0028.0022.0016.00
Percent Profitable61.5462.1658.8275.0072.7381.25
Average Period Return0.521.041.958.4914.8818.34
Average Gain3.275.949.9716.1825.2623.15
Average Loss-3.89-7.02-9.51-14.58-12.80-2.52
Best Period8.1913.0324.4139.7635.5836.38
Worst Period-15.06-19.92-20.70-22.98-15.52-5.39
Standard Deviation4.767.8111.8715.8618.1814.23
Gain Standard Deviation2.703.036.088.936.2910.87
Loss Standard Deviation3.986.407.956.162.442.63
Sharpe Ratio (1%)0.090.100.120.470.741.15
Average Gain / Average Loss0.840.851.051.111.979.18
Profit / Loss Ratio1.351.391.503.335.2639.80
Downside Deviation (10%)3.576.339.1310.2010.726.26
Downside Deviation (5%)3.435.868.098.297.562.21
Downside Deviation (0%)3.395.747.847.836.791.43
Sortino Ratio (10%)0.03-0.03-0.060.340.681.29
Sortino Ratio (5%)0.130.130.180.901.777.39
Sortino Ratio (0%)0.150.180.251.082.1912.80

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.