Marchese Capital Management

Diversified Futures Program

Year-to-Date
N/A
Minimum Investment
100,000
Management Fee 2.00%
Performance Fee 20.00%
Annualized Volatility 34.11%
Sharpe (RFR=1%) 0.86
CAROR 27.85%
Assets 444,397
Worst Drawdown -31.15
S&P Correlation -0.05

Summary

-Michael A. Marchese is employed by MCM and is the sole person responsible for overseeing MCM's trading decisions. MCM's trading approach draws upon Michael Marchese's judgement, experience and his knowledge of the technical factors affecting markets and attempts to identify optimal trading opportunities. The underlying premise of MCM's trading approach is that prediction of future prices is futile, and that trading of markets should be focused on current prices and disciplined risk management. MCM believes that markets exhibit trends of different time frames. These trending markets create opportunity which MCM attempts to identify and take advantage of. MCM's systems focus on areas under a trader's control; how much to risk per trade, how much to trade, when to enter, when to exit and whether or not to trade at all. Furthermore, each potential trading opportunity is addressed the same way, as follows; a. What percentage of capital will be at risk on this trade? b. What is the recent volatility of the particular market? c. How many contracts are warranted based on the current volatility and the pre-determined risk? d. Do technical factors warrant a long or short position? e. What is the exit strategy to be employed? f. What is the correlation between this trade and current portfolio positions? Risk management is a primary focus of MCM's trading strategies. Stop loss levels are determined at the time the trade is entered and each position is tracked using specific parameters to determine exit levels as profitable positions exhibit a decrease in momentum. Stops are designed to remove losing trades quickly and to attempt to limit any loss to no more than a nominal percentage of the account's net assets. MCM designs systems utilizing different risk parameters and different technical indicators, to approach various market environments.