Lafayette Trading, LLC

Global Equity Index Program

Year-to-Date
N/A
Minimum Investment
900,000
Management Fee 2.00%
Performance Fee 20.00%
Annualized Volatility 9.36%
Sharpe (RFR=1%) -0.28
CAROR
Assets 880,000
Worst Drawdown -9.24
S&P Correlation 0.37

Summary

Lafayette Trading, LLC ("Lafayette") employs a short-term, systematic model to generate trade signals on equity index future contracts. The technology has been employed on U.S. markets since Nov-01 and beginning in Sep-09 the technology was applied to a basket of European and Asian equity indices and combined with the U.S. Program creating the Global Program. The technology is comprised of nine different alpha generating algorithms. The algorithms work in tandem to generate the trade direction and risk allocation. Results Sep 2009 – present is the net performance (2/20) for proprietary accounts managed by Lafayette Trading, LLC.