Statera MR Program

Statera MR Program.  The Statera MR Program is a short-term systematic mean reversion position and momentum day trading program which trades the Emini-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 the widely traded equity index.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Monthly SIMPLE Rates of Return for Our Model Statera MR Tracking Account

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year DD
2018 0.82% -5.83% -0.15% 3.55% 2.26% -0.28% 0.37% -15.46%

VAMI above is based on daily rates of return for a model tracking account net of the fees on the table below. The S&P 500 (S&P 500) is 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.  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

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 $100,000 trading unit, a maximum of 3 contracts 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

Results in the table below are presented using simple, non-compounded rates of return from a model tracking account with a typical fee structure detailed in the table. Please see the accounting notes below.

Statistics ROR P&L
Cumulative P&L 0.37% $368.85
Max Drawdown -15.46% -$15,455.60
Current Drawdown -4.08% -$4,078.46
% Losing Days 42.74% 53
Worst Day -10.84% -$10,845.00
Worst Month 3.55% $3,545.28
Max Run Up 4.27% $4,271.21
% Winning Days 41.94% 52
Best Day 3.87% $3,873.40
Best Month 3.55% $3,545.28
Average Daily Gain 1.06% $1,058.74
Average Daily Loss -1.01% -$1,009.93
Average Month 0.06% $61.48
Monthly Standard Deviation 0.03 $3,239.38
Profit Factor 1.09 3.24%
Sharpe Ratio -0.06
Sortino Ratio -0.04
Kurtosis 2.5204
Skew -1.3389
Total Contracts 452
Date Trading Began 2018-01-01
Commission $7.20
Account Minimum $100,000.00
Management Fee 2.00%
Incentive Fee 22.00%
Liquidity Daily
Leverage 4 to 1
Max Margin to Equity 20%

For the purposes of comparing Statera MR against benchmarks, monthly compound rates of return are used in the analysis below for standardization. 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 $1,004 $1,035 $1,138 $998 $982 $993 $950 $980
Cumulative ROR 0.37% 3.50% 13.82% -0.25% -1.84% -0.75% -5.02% -1.97%
CAGR 1.56% 2.87% 22.79% -2.92% -6.54% 4.46% -12.01% -3.55%
Max Drawdown -15.46% -10.16% -10.38% -11.58% -10.72% -11.14% -10.98% -2.94%
Date of Max DD 02-2018 02-2018 04-2018 03-2018 03-2018 02-2018 06-2018 05-2018
Current DD -3.74% -3.67% 0.00% -7.36% -6.34% -10.43% -10.51% -1.97%
% Losing Months 50.00% 33.33% 33.33% 33.33% 50.00% 66.67% 50.00% 66.67%
Worst Month -5.79% -3.89% -3.99% -4.28% -4.72% -6.21% -6.34% -1.15%
Max Run Up 0.82% 5.62% 13.82% 5.79% 3.01% 9.92% 3.90% -1.15%
% Winning Months 50.00% 66.67% 66.67% 66.67% 50.00% 33.33% 50.00% 33.33%
Best Month 3.74% 5.62% 8.65% 5.79% 5.20% 9.92% 3.90% 0.71%
Average Gain 2.29% 2.59% 4.75% 2.02% 3.06% 6.15% 1.39% 0.68%
Average Loss -2.07% -3.29% -2.68% -3.99% -3.55% -3.07% -3.00% -0.83%
Average Month 0.11% 0.63% 2.27% 0.01% -0.24% 0.00% -0.81% -0.33%
Monthly Standard Deviation 3.27% 3.51% 4.73% 3091.10% 3.93% 5.59% 3.40% 0.81%
Sharpe Ratio 0.11 0.62 1.66 0.00 -0.21 0.00 -0.82 -1.41
Sortino Ratio 0.05 0.11 0.91 -0.10 -0.20 0.12 -0.35 -0.40
Ulcer Index 2.84 1.52 1.03 1.95 1.91 1.74 2.41 1.49
UPI Index 0.13 1.43 7.62 0.03 -0.44 0.00 -1.16 -0.76
Mar Ratio 0.10 0.28 2.20 -0.25 -0.61 0.40 -1.09 -1.21
Downside Deviation 2.59% 2.12% 1.89% 2.53% 2.86% 3.02% 3.05% 0.75%
Kurtosis 2.3518 -0.8428 -1.3521 0.0325 -1.7370 1.8378 1.2538 -1.8662
Skew -1.2541 0.0253 0.0088 0.3832 0.2935 1.2320 -0.5183 0.6636
Correlation ----- 0.41 0.36 0.38 0.09 -0.01 0.36 -0.11
R^2 ----- 0.17 0.13 0.14 0.01 0.00 0.13 0.01
Beta ----- 0.53 0.24 0.49 0.53 0.33 0.60 0.60
Alpha ----- -0.29% -0.55% 0.03% 0.17% 0.01% 0.53% 0.48%
Annualized Alpha ----- -3.43% -6.37% 0.32% 2.05% 0.13% 6.59% 5.94%

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. Simple rates of return are used for monthly and annual returns above since the profits are not reinvested in the system.

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.