Bitcoin E

Bitcoin E. Looking for exposure to Bitcoin without losing coins to hackers, scammers or equipment failure?  Roe Capital is proud to introduce Bitcoin E, a long-only exposure vehicle for investors looking to gain exposure to Bitcoin prices without the risk of trading or safekeeping actual Bitcoins.  Bitcoin E uses Bitcoin futures to track Bitcoin prices in separately managed accounts. Get managed exposure to cryptocurrencies without the risk of holding digital assets. Keep your money with a respected broker and trade on a regulated exchange protected by US law.  Avoid hackers, hot or cold storage device failure and the myriad other pitfalls of owning cryptocurrencies while still participating in the return potential of the new asset class.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Monthly Compound Rate of Return for Bitcoin E

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year DD
2018 -2.13% 29.52% -20.02% -13.31% -12.11% -36.37%

VAMI above is based on daily compound rates of return for a model tracking account net of the fees on the table below. CME’s Bitcoin Reference Rate (BRR), CME’s Bitcoin Futures Contract (BTC) and the S&P 500 (S&P) are presented with gross compound daily rates of return for benchmarking purposes.  SocGen’s CTA Index (SGCTA) is presented net of all fees using daily compound returns.  Please consider 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. There can be limitations and biases to indices such as survivorship, self reporting, instant history, etc.  Please see accounting notes below.

Program  Tear  Sheet Disclosure Document  CTA  Advisor  Agreement Open Your Account Now

STRATEGY

Bitcoin E is a long-only exposure vehicle using  CBOE Futures Exchange’s XBT and CME Group’s BTC futures contracts to provide clients long only exposure to Bitcoin prices.  Positions are maintained via our exposure management algorithm.  At contract expiration, positions will be rolled to the front month either by closing out the previous position and buying the front month or by allowing the contract to settle to cash and buying the front month, depending on market conditions.

PERFORMANCE ANALYSIS

Statistics ROR P&L
Cumulative P&L -12.11% -$876.75
Max Drawdown -36.37% -$3,451.62
Current Drawdown -32.95% -$3,127.04
% Losing Days 45.90% 28
Worst Day -11.97% -$895.58
Worst Month -20.02% -$1,836.84
Max Run Up 47.19% $3,451.62
% Winning Days 45.90% 28
Best Day 11.45% $774.44
Best Month 29.52% $2,091.65
Average Daily Gain 2.95% $213.43
Average Daily Loss -3.36% -$243.44
Average Month -1.49% -$219.19
Monthly Standard Deviation 0.22 $1,686.77
Profit Factor 0.88
Sharpe Ratio -0.26
Sortino Ratio 0.04
Kurtosis 1.7527
Skew 1.3741
Total Contracts 7
Date Trading Began 2018-03-29
Commission $3.27
Account Minimum 1 BTC
Management Fee 2.00%
Incentive Fee 0.00%
Liquidity Daily
Leverage 4 to 1
Max Margin to Equity 47%

Summary statistics like CAGR and any annualized data should be discounted given the short length of the track record.

CTA S&P 500 NDX DJIA FESX HS SGCTA AGG
VAMI $879 $1,062 $1,127 $1,034 $1,033 $989 $983 $998
Cumulative ROR -12.11% 6.23% 12.69% 3.39% 3.25% -1.09% -1.74% -0.18%
CAGR 5.59% 16.31% 35.27% 9.86% 9.37% 6.08% -7.45% 0.73%
Max Drawdown -36.37% -2.91% -4.74% -3.48% -5.16% -6.57% -4.23% -1.56%
Date of Max DD 06-2018 05-2018 04-2018 05-2018 05-2018 06-2018 06-2018 05-2018
Current DD -32.95% -0.70% 0.00% -2.62% -4.25% -5.85% -3.73% -0.66%
% Losing Months 75.00% 0.00% 0.00% 0.00% 25.00% 50.00% 25.00% 50.00%
Worst Month -20.02% 0.27% 0.37% 0.25% -3.67% -2.54% -2.52% -0.74%
Max Run Up 26.74% 6.23% 12.69% 3.39% 6.15% 2.62% 0.62% 0.22%
% Winning Months 25.00% 100.00% 100.00% 100.00% 75.00% 50.00% 75.00% 50.00%
Best Month 29.50% 2.29% 5.48% 1.07% 5.20% 2.38% 0.54% 0.71%
Average Gain 29.50% 1.53% 3.05% 0.84% 2.36% 1.31% 0.27% 0.47%
Average Loss -11.82% -3.67% -1.82% -2.52% -0.55%
Average Month -1.49% 1.53% 3.05% 0.84% 0.85% -0.26% -0.43% -0.04%
Monthly Standard Deviation 21.94% 0.93% 2.35% 1066.41% 3.62% 2.09% 1.41% 0.64%
Sharpe Ratio -0.24 5.69 4.50 0.00 0.82 -0.43 -1.06 -0.23
Sortino Ratio 0.04 ----- ----- ----- ----- ----- ----- -----
Ulcer Index 4.25 0.19 0.27 0.31 0.37 0.56 0.54 0.29
UPI Index -1.22 27.77 39.67 9.40 7.97 -1.59 -2.76 -0.51
Mar Ratio 0.15 5.60 7.44 2.84 1.81 0.92 -1.76 0.47
Downside Deviation 11.62% 0.00% 0.00% 0.00% 2.12% 0.64% 1.46% 0.43%
Kurtosis 1.7494 -0.1315 -3.3706 3.8611 1.5098 -0.2540 3.6370 -1.9494
Skew 1.3732 -1.0540 -0.1848 -1.9602 -0.1414 0.4342 -1.8772 0.1894
Correlation ----- -0.05 -0.08 0.00 0.03 0.20 0.14 -0.03
R^2 ----- 0.00 0.01 0.00 0.00 0.04 0.02 0.00
Beta ----- -23.04 -8.71 -51.59 5.52 9.47 7.82 7.82
Alpha ----- 30.28% 23.73% 33.71% -5.52% 2.20% 2.89% -6.65%
Annualized Alpha ----- 2291.03% 1186.83% 3164.74% -49.39% 29.79% 40.80% -56.19%

ACCOUNTING NOTE

Data displayed is from a model tracking account with the above fee structure.  Please see our disclosure document for this program for capsule performance results for all accounts traded pursuant to this program.

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 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.