Roy Fund, The : Systematic Equity Indices Large-Cap

archived programs
Year-to-Date
N / A
Nov Performance
-3.67%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
17.71%
Sharpe (RFR=1%)
0.41
CAROR
6.98%
Assets
$ 208k
Worst DD
-25.92
S&P Correlation
-0.37

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
8/2005
Systematic Equity Indices Large-Cap -3.67 - - - - - - 33.96
S&P 500 5.74 - - - - - - 172.73
+/- S&P 500 -9.41 - - - - - - -138.77

Strategy Description

Summary

-Trading Description: The SYSTEMATIC EQUITY INDICES LARGE-CAP PROGRAM looks at anomalies between the major cash stock indices. When the proprietary mathematical relationship model (MRM) is sufficiently bullish or bearish, we take positions in that direction using the E-mini S&P futures.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 0%
Average Commission $0
Available to US Investors Request Information

Subscriptions

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

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-Trading Description: The SYSTEMATIC EQUITY INDICES LARGE-CAP PROGRAM looks at anomalies between the major cash stock indices. When the proprietary mathematical relationship model (MRM) is sufficiently bullish or bearish, we take positions in that direction using the E-mini S&P futures. Stop-loss orders are employed for risk management. Trade management is achieved by constantly monitoring the MRM for deterioration whereby we exit or reverse our positions. This technique is employed on both a day-trade and position trade basis to achieve very steady, stable returns and to minimize overnight exposure. Background: Mr. Roy attended Loyola University of Chicago where he concentrated his studies in the fields of Economics, Mathematics and Statistics. Mr. Roy received scholastic recognition in 1992, by placing first in the statistical analysis competition held at Northwestern University as well as being selected by the National Science Association as 1 of 10 students nationally to participate in a statistical modeling research project at Western Washington University. While attending college, Mr. Roy was registered as a Commodity Trading Advisor and programmed trading strategies that he used primarily for his personal trading. After college, Mr. Roy developed, programmed, and implemented mechanical trading systems for Robbins Trading Company before accepting a position with Bressert Investment Group in Chicago where he created a trading systems division to implement the firm's proprietary trading systems. Mr. Roy founded two consulting companies, MarketSolve and TradeStorm, Inc., to cater to the specialized system development and programming needs of professional traders and institutional trading entities. Mr. Roy is currently a registered AP and Vice President with Alaron Futures and Options in Chicago and with Green Street Discount, a wholly owned IB of Alaron. Mr. Roy has been with Alaron for the last 8 years. Mr.Roy was registered with the CFTC as a Floor Broker in February, 2002. In July, 2002, Mr. Roy created a cutting edge electronic trading division within Alaron. Mr. Roy founded The Roy Funds, Inc. in January, 2004 and registered it as both a Commodity Trading Advisor and an National Futures Association member in April, 2004. The Roy Funds began trading proprietary accounts in September, 2004 and began managing customer funds in January, 2005. Over the last 14 years, Mr. Roy has researched, designed, and implemented hundreds of technical trading strategies for use by individual and institutional clients worldwide.

   

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
-25.92 11 2 9/1/2007 8/1/2008
-12.60 10 - 1/1/2009 11/1/2009
-9.12 3 3 7/1/2006 10/1/2006
-7.23 5 1 12/1/2005 5/1/2006
-5.47 1 2 6/1/2007 7/1/2007
-1.95 1 1 10/1/2005 11/1/2005
-1.66 1 1 3/1/2007 4/1/2007
-0.03 1 1 1/1/0001 8/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
62.31 5 9/1/2008 1/1/2009
19.50 5 11/1/2006 3/1/2007
14.97 2 6/1/2006 7/1/2006
6.88 2 2/1/2008 3/1/2008
5.98 2 8/1/2007 9/1/2007
5.72 2 9/1/2005 10/1/2005
4.66 2 5/1/2007 6/1/2007
3.95 1 4/1/2006 4/1/2006
3.00 1 12/1/2005 12/1/2005
1.05 1 9/1/2009 9/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.87 5 4/1/2008 8/1/2008
-14.57 4 10/1/2007 1/1/2008
-10.22 7 2/1/2009 8/1/2009
-9.12 3 8/1/2006 10/1/2006
-5.78 3 1/1/2006 3/1/2006
-5.47 1 7/1/2007 7/1/2007
-5.28 1 5/1/2006 5/1/2006
-3.67 2 10/1/2009 11/1/2009
-1.95 1 11/1/2005 11/1/2005
-1.66 1 4/1/2007 4/1/2007
-0.03 1 8/1/2005 8/1/2005
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods52.0050.0047.0041.0035.0029.0017.00
Percent Profitable44.2354.0057.4573.1782.8689.6688.24
Average Period Return0.692.475.0511.6113.0013.5728.52
Average Gain5.019.2514.2819.9117.9416.4832.95
Average Loss-2.84-5.48-7.40-11.03-10.85-11.67-4.75
Best Period18.7744.7159.6046.6129.2831.2147.32
Worst Period-7.54-14.18-17.55-24.78-21.39-15.64-5.53
Standard Deviation5.1111.3716.6318.1912.9711.4816.44
Gain Standard Deviation4.4511.1516.4313.026.777.8111.39
Loss Standard Deviation2.084.293.987.897.994.021.11
Sharpe Ratio (1%)0.120.200.270.580.891.011.55
Average Gain / Average Loss1.761.691.931.811.651.416.94
Profit / Loss Ratio1.451.982.614.937.9912.2452.06
Downside Deviation (10%)2.825.376.939.188.247.407.29
Downside Deviation (5%)2.624.815.747.355.944.532.68
Downside Deviation (0%)2.574.685.456.915.413.901.65
Sortino Ratio (10%)0.100.230.370.720.660.451.75
Sortino Ratio (5%)0.230.460.791.441.942.559.51
Sortino Ratio (0%)0.270.530.931.682.403.4817.28

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.