Statera Micro | Proprietary Pro Forma Results

Statera Micro Program.  The Statera Micro Program is a short-term systematic mean reversion position and momentum day trading program which trades the Micro S&P 500 futures contract. The program’s trading edge is derived from exploiting the financialization of equity markets, taking advantage of the market structure and long bias which has arisen from broad equity market indexes. The program is divided into two components: a day trade and overnight component, each containing several systematic trading models. It is a smaller version of our Statera MR Pogram, which trades the Emini-S&P futures contract. Risk is managed using volatility adjusted stops and position sizing.

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.
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Monthly Non-Compounded Rates of Return

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year DD
2020 5.18% -4.33% 0.85% 8.37% 8.71% 9.21% 0.18% -3.69% 4.72% -5.06% -4.39% -1.98% 17.78% -11.43%
2021 12.64% 3.85% 3.84% 3.51% -0.65% -3.67% 3.35% -3.95% -0.48% 18.44% -5.40%

VAMI above is based on monthly composite non-compounded rates of return. 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.

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

STRATEGY

The program is divided into two components: a day trade and overnight component, each containing several systematic trading models.  The position or overnight component consists of a mean reversion and pattern recognition strategy.  The mean reversion strategy seeks to profit from short term overbought or oversold conditions which occur against the dominant trend.  This model is long biased, with net short positions only possible in structural bear markets. There are two pattern recognition trades in the overnight component of the program which look for buying opportunities in cyclical market patterns, such as monthly option and quarterly equity futures expiration.  Overnight positions are typically held one to three days.

The day trade component is also heavily long-biased, though net short positions are taken in bull market conditions as well as bear markets. The main day trading model is a momentum model, which analyzes advancing and declining shares to arrive at a directional signal for the day.  In addition, the system employs a short term trend and momentum reversal algorithm to account for failures of the market to follow through with momentum.

RISK

Positions are sized to volatility, with larger positions taken in lower volatility markets and smaller positions in higher volatility markets.  A variety of range based stops are employed at the system level for each system to protect against large losses for any given trade in the model, as well as an overall portfolio stop employed at the model level.  For each $10,000 trading unit, a maximum of 1 contract can be held overnight.  While the program is traded systematically, we apply a discretionary overlay to account for risk factors which are not contemplated by the trading models, such as event risk.

PERFORMANCE ANALYSIS

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 $1,362 $1,349 $1,719 $1,190 $1,000 $1,023 $1,110 $1,066
Cumulative ROR 36.22% 34.88% 71.90% 19.04% 0.00% 2.33% 11.01% 6.57%
CAGR 20.97% 18.65% 36.28% 10.47% 0.00% 1.33% 6.15% 3.70%
Max Drawdown -11.43% -20.00% -13.10% -23.20% 0.00% -18.92% -4.29% -3.60%
Date of Max DD 12-2020 03-2020 03-2020 03-2020 09-2021 05-2020 10-2020 03-2020
Current DD -5.40% -3.65% -3.66% -3.93% 0.00% 0.00% -0.05% -1.01%
% Losing Months 40.91% 31.82% 31.82% 36.36% 0.00% 22.73% 40.91% 40.91%
Worst Month -5.06% -12.51% -7.66% -13.74% 0.00% -9.67% -1.93% -1.48%
Max Run Up 41.62% 39.99% 78.43% 23.91% 0.00% 2.33% 11.06% 7.65%
% Winning Months 54.55% 63.64% 63.64% 59.09% 0.00% 40.91% 54.55% 54.55%
Best Month 12.64% 12.68% 15.19% 11.84% 0.00% 9.27% 5.59% 1.91%
Average Gain 5.37% 4.72% 6.14% 4.54% 3.95% 1.72% 1.01%
Average Loss -3.13% -4.65% -3.93% -4.72% -6.22% -1.09% -0.63%
Average Month 1.65% 1.52% 2.66% 0.97% 0.00% 0.20% 0.49% 0.29%
Monthly Standard Deviation 5.09% 5.68% 5.93% 5.95% 0.00% 4.52% 1.84% 0.98%
Sharpe Ratio 1.12 0.93 1.55 0.56 0.16 0.93 1.04
Sortino Ratio 0.70 0.40 0.97 0.21 0.03 0.63 0.59
Ulcer Index 0.57 0.76 0.47 1.16 0.00 1.48 0.33 0.25
UPI Index 9.92 6.95 19.61 2.87 0.48 5.11 4.07
Mar Ratio 1.83 0.93 2.77 0.45 0.07 1.43 1.03
Downside Deviation 2.30% 3.55% 2.68% 4.01% 0.00% 3.36% 0.79% 0.51%
Kurtosis -0.6391 1.0634 -0.3825 1.1323 0.4910 1.3046 -0.7759
Skew 0.4895 -0.4662 0.1407 -0.5065 -0.4945 1.0704 0.0467
Correlation ----- 0.11 0.11 0.13 -0.12 -0.16 0.02
R^2 ----- 0.01 0.01 0.02 0.00 0.01 0.03 0.00
Beta ----- 0.10 0.09 0.12 -0.13 -0.45 -0.45
Alpha ----- 1.49% 1.39% 1.53% 1.38% 1.66% 1.86% 1.62%
Annualized Alpha ----- 19.36% 18.01% 19.95% 17.86% 21.89% 24.76% 21.32%

ACCOUNTING NOTE

This trading program uses the Only Accounts Trading method to compute return and returns are simple non-compounded returns, since trading P&L is not reinvested in the program. Month to date return for the current month is estimated using a $10K tracking account applying a 2% management fee, a 22% incentive fee and a $2 round turn commission.

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.