UVER Performance

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Univariate Entry/Re-Entry System (U.V.E.R.). Based on a model for analyzing equity markets which accounts for price, market breadth, volume and volatility, as well as treasury spreads and interest rates, Roe Capital’s UVER System distills these data points into a direction signal to which discretionary overlay is applied in order to take a medium term trend following position in equity index futures. The system typically takes positions in E-mini NASDQ futures, but can take positions in E-mini S&P and VIX futures contracts.

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Client Composite Net Monthly Performance
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year DD
2017 0.23% 0.51% 2.38% -1.05% 5.44% 1.71% 1.49% 0.85% 12.03% -1.08%

Performance Analysis U.V.E.R S&P 500 SG CTA
VAMI $1,120 $1,092 $1,015
Cumulative Return 12.03% 9.19% 1.55%
Annualized Return 18.58% 14.09% 2.33%
Average Gain 1.80% 1.11% 1.48%
Average Loss -1.05% 0.00% -1.88%
Max DD -1.08% 0.00% -3.52%
Risk Analysis U.V.E.R S&P 500 SG CTA
Sharpe Ratio 2.46 4.20 0.20
Correlation (r) -- 0.55 0.32
r2 -- 0.30 0.10
Downside Devialtion 0.37% 0.00% 1.42%
Skewness 1.24 0.08 0.23
% Positive 87.50% 100.00% 62.50%
Max DD -1.08% 0.00% -3.52%
Largest Gain 5.44% 2.22% 4.35%
Largest Loss -1.05% 0.05% -3.43%
Volatility 1.92% 0.85% 2.38%

STRATEGY

Using a proprietary method of quantitative analysis, the model produces a directional signal to which a discretionary overlay is applied in order to take a medium term trend following position in equity index futures. The goal of the discretionary overlay is to maximize return while minimizing exposure, seeking exposures to equity prices on 50% of trading days with a beta of 50%. Positions may be taken in the E-mini Nasdaq, E-mini S&P 500 or the VIX futures and may be held only intraday, but typically for 2 to 3 weeks. Options on futures in these markets may be traded on occasion with the goal of mitigating risk or enhancing return. US Treasury bills may be purchased with unencumbered cash in order to generate interest income. Positions are sized according to the strength of the signal and adjusted for market volatility.

RISK DISCLOSURE

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. There is always a risk of loss in futures trading. The above data is month-end compounded capsule performance results net of all trading expenses and fees of the advisor. Actual returns may differ from reported results due to differences in contribution dates, commission and fee structures. The above benchmarks (SG CTA Index and S&P 500) are for illustrative purposes only, are un-managed, reflect reinvestment income and dividends and do not reflect the impact of advisory fees. Be advised that any index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. Further, there can be limitations and biases to indices such as survivorship, self reporting and instant history. Roe Capital Management makes no warranty, representation or guarantee with regard to the accuracy of index data. THIS COMMUNICATION IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR THE SOLICITATION OF AN OFFER TO INVEST IN ANY MANAGED FUTURES PRODUCT. ANY SUCH OFFER OR SOLICITATION CAN BE MADE ONLY BY MEANS OF A DISCLOSURE DOCUMENT AND ADVISOR AGREEMENT (WHICH CONTAIN A DETAILED DESCRIPTION OF RISK FACTORS).

THE RISK OF LOSS IN TRADING COMMODITY FUTURES CAN BE SUBSTANTIAL AND MAY NOT BE SUITABLE FOR ALL INVESTORS. Prior to investing with Roe Capital Management, investors need to carefully consider whether such trading is suitable for them in light of their own specific financial condition. Transactions in securities futures, commodity and index futures and options on futures carry a high degree of risk.  Please review Roe Capital’s Disclosure Document for a more detailed description of the risks associated with investing in managed futures, as well as a complete disclosure of Roe Capital’s composite trading results.