ClearPath

ClearPath ProgramThe ClearPath Managed Futures Program allocates between three distinct, proprietary stock index-based models, which are short-to-intermediate term in nature. The models measure credit market conditions, employment, valuations, market sentiment as well as market breadth.  ClearPath’s trading is managed by Portfolio Manager Ralph Vince.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Results are pro-forma of a proprietary model tracking account of a principal of the Advisor.  Please see the accounting notes below.

Monthly Pro-Forma Compound Rates of Return

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year DD
2019 0.24% 3.27% 2.75% 0.25% 0.63% 0.57% 7.91% 0.00%

VAMI above is based on monthly compounded rates of reutrn pro-forma of the fees below of a proprietary account of the portfolio manager. The S&P 500 (S&P 500) is presented with gross compound monthly rates of return for benchmarking purposes and is not directly investable.  SocGen’s CTA Index (SGCTA) is presented net of all fees using monthly compound returns and is not directly investable.  The iShares Aggregate US Bond ETF (US Bonds) is presented net of all fees and inclusive of all distributions to benchmark performance against a diversified portfolio of bonds. 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.

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STRATEGY

ClearPath allocates between three distinct, proprietary stock index-based models, which are short-to-intermediate term in nature. The models concentrate their trading in E-mini and Micro S&P 500 futures, though options on these contracts may be traded as well.  The risk metrics of any trading program benefit dramatically when a model is not in a position in a given market at all times. This fact can not only reduce correlation to the broad averages, but typically can also improve other metrics like Sharpe ratio. ClearPath accomplishes this by using filters on its the three systems – wherein each system uses a different filter, based on longer-term econometric models.  These filters allow only trading signals to be used when consistent with the filter models. The models measure credit market conditions, employment, valuations, market sentiment as well as market breadth.

MEET THE PORTFOLIO MANAGER

Ralph Vince is a programming expert who has been developing trading systems for fund managers, sovereign wealth funds and staking systems for “professional gamblers” since the early 1980’s.  He has developed trading and money management strategies and implemented trading for the legendary high-profile fund manager and trader Larry Williams when he won the 1987 Robbins World Cup Trading Championship. Mr. Vince has served on the Board of Directors of the Market Technician’s Association of New York, and has written numerous books published by John Wiley & Sons as well as professional papers on money management for trading.  His work was featured in a chapter of the Edwards & Magee classic, Technical Analysis of Stock Trends, regarded as the bible of Technical Analysis, one of the very few additions since the original publication in 1948.  Mr. Vince has worked as a Portfolio Manager at the Abu Dhabi Investment Authority, and is regarded as a recognized authority on position sizing in trading. His allocation algorithms have been licensed by Dow Jones Indexes. Ralph Vince’s books and peer-reviewed academic papers on mathematics and money management for trading, often co-authored with the top minds in the field of mathematics, appear in such publications as The Journal of Investment Strategies and The Far East Journal of Theoretical Statistics.

PERFORMANCE ANALYSIS

Below, review ClearPath’s performance relative to major US and international stock indexes, as well as the SocGen CTA Index and a portfolio of Bonds (iShares AGG).
Summary statistics like CAGR and any annualized data should be discounted given the short length of the track record. Only the iShares AGG is an investable product. All other benchmarks listed below are not investable.

CTA S&P 500 NDX DJIA FESX HS SGCTA AGG
VAMI $1,079 $1,069 $1,080 $1,046 $1,057 $949 $1,015 $1,021
Cumulative ROR 7.91% 6.94% 7.99% 4.59% 5.71% -5.08% 1.48% 2.14%
CAGR 15.38% 14.36% 16.61% 9.39% 11.75% -9.89% 2.99% 4.34%
Max Drawdown 0.00% -1.81% -2.01% -1.72% -1.16% -7.39% -5.50% -0.65%
Date of Max DD 12-2019 08-2019 08-2019 08-2019 08-2019 08-2019 10-2019 12-1899
Current DD 0.00% 0.00% 0.00% 0.00% -0.85% -2.46% -5.20% -0.65%
% Losing Months 0.00% 14.29% 14.29% 14.29% 42.86% 28.57% 28.57% 28.57%
Worst Month 0.00% -1.81% -2.01% -1.72% -1.16% -7.39% -3.19% -0.53%
Max Run Up 7.91% 6.94% 7.99% 4.59% 6.62% 0.00% 7.05% 2.82%
% Winning Months 85.71% 71.43% 57.14% 57.14% 42.86% 42.86% 42.86% 42.86%
Best Month 3.27% 3.40% 4.31% 2.86% 4.16% 3.12% 3.56% 2.59%
Average Gain 1.28% 1.73% 2.47% 1.57% 2.63% 1.75% 2.42% 1.04%
Average Loss -1.81% -2.01% -1.72% -0.73% -5.04% -2.79% -0.48%
Average Month 1.28% 1.14% 1.31% 0.76% 0.95% -0.80% 0.28% 0.36%
Monthly Standard Deviation 1.33% 1.69% 2.08% 1.48% 1.97% 3.43% 2.57% 1.05%
Sharpe Ratio 3.02 2.08 1.97 1.48 1.44 -0.94 0.20 0.77
Sortino Ratio ----- ----- 1.57 1.07 1.57 -0.27 0.15 1.28
Ulcer Index 0.00 0.09 0.12 0.08 0.08 0.69 0.08
UPI Index 38.63 34.48 28.65 34.09 0.77 10.45
Mar Ratio 7.94 8.26 5.47 10.17 -1.34 0.54 6.63
Downside Deviation 0.00% 0.74% 0.82% 0.70% 0.59% 3.21% 1.63% 0.28%
Kurtosis -0.5918 0.2373 -0.1749 0.2734 -0.3297 2.2118 -1.0776 5.2242
Skew 1.1746 -0.3427 0.0810 -0.0591 0.9464 -1.3872 0.1220 2.1708
Correlation ----- -0.42 -0.60 -0.27 0.18 -0.52 0.04 0.54
R^2 ----- 0.18 0.36 0.07 0.03 0.27 0.00 0.29
Beta ----- -0.43 -0.46 -0.31 0.08 -0.19 0.01 0.01
Alpha ----- 1.69% 1.82% 1.43% 1.15% 1.04% 1.21% 1.03%
Annualized Alpha ----- 22.26% 24.23% 18.64% 14.64% 13.15% 15.46% 13.07%

ACCOUNTING NOTE

Data displayed is from a model tracking account (proprietary) of a principal of the firm.  The data is  presented pro-forma of the following fees:  2% annual management fee and $6 round turn commission (inclusive of exchange, brokerage, transaction and NFA fees).  Please see our disclosure document for more information on 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 daily pro-forma proprietary performance results net of the fees described in the accounting note. 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.