Synthesis Index | Client Composite Performance

Synthesis Index.  Roe Capital’s Synthesis Index tracks Prime Market Trader’s Synthesis Index, a benchmark and market timing system designed for ETF and mutual fund trading (as tracked by Timer Trac). The goal is to replicate the performance of the benchmark in separately managed accounts trading futures. The program takes signals from seven underlying strategies with the goal of producing a return profile similar to equity indices, with better risk adjusted returns.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Monthly Compounded Rates of Return

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year DD
2020 0.09% -3.13% -5.21% 7.34% 1.98% 2.31% 3.37% 3.85% -1.84% -1.59% 4.37% 1.76% 13.36% -8.17%
2021 0.07% -1.11% 1.18% 2.87% -0.12% 2.41% 1.88% 1.60% -2.43% 6.40% -2.43%

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.

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

STRATEGY

The Synthesis Index is a fully systematic equity market timing strategy comprised of seven sub systems, each consisting of an algorithmic trading model applying a multi-variate analysis to equity market prices. Each sub-system produces a long/short/flat signal which can be used to trade equity markets. The Synthesis Index from Roe Capital applies these signals to the E-mini and Micro E-mini NASDAQ futures contract.

They system can be long or short one to seven contracts at any given time. The system is heavily long biased, given the long bias present in equity indexes.

RISK

Positions are sized to volatility, with larger positions taken in lower volatility markets and smaller positions in higher volatility markets.  The system does not work stops and may hold positions for months at a time.

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 $1,206 $1,349 $1,719 $1,190 $1,000 $1,023 $1,110 $1,066
Cumulative ROR 20.62% 34.88% 71.90% 19.04% 0.00% 2.33% 11.01% 6.57%
CAGR 11.31% 18.65% 36.28% 10.47% 0.00% 1.33% 6.15% 3.70%
Max Drawdown -8.17% -19.87% -13.10% -22.43% 0.00% -12.74% -4.29% -3.60%
Date of Max DD 03-2020 03-2020 03-2020 03-2020 09-2021 05-2020 10-2020 12-1899
Current DD -2.43% -3.65% -3.66% -3.93% 0.00% 0.00% -0.05% -1.01%
% Losing Months 31.82% 31.82% 31.82% 36.36% 0.00% 22.73% 40.91% 40.91%
Worst Month -5.21% -12.51% -7.66% -13.74% 0.00% -9.67% -1.93% -1.48%
Max Run Up 23.62% 39.99% 78.43% 23.91% 0.00% 2.33% 11.06% 7.65%
% Winning Months 63.64% 63.64% 63.64% 59.09% 0.00% 40.91% 54.55% 54.55%
Best Month 7.34% 12.68% 15.19% 11.84% 0.00% 9.27% 5.59% 1.91%
Average Gain 2.50% 4.72% 6.14% 4.54% 3.95% 1.72% 1.01%
Average Loss -2.20% -4.65% -3.93% -4.72% -6.22% -1.09% -0.63%
Average Month 0.94% 1.60% 2.78% 1.01% 0.00% 0.21% 0.52% 0.31%
Monthly Standard Deviation 2.81% 5.68% 5.93% 5.95% 0.00% 4.52% 1.84% 0.98%
Sharpe Ratio 1.15 0.97 1.62 0.59 0.16 0.97 1.08
Sortino Ratio 0.58 0.40 0.97 0.21 #NUM! 0.03 0.63 0.59
Ulcer Index 0.28 0.79 0.49 1.10 0.00 0.77 0.36 0.27
UPI Index 11.60 7.02 19.82 3.18 0.94 4.93 3.91
Mar Ratio 1.38 0.94 2.77 0.47 0.10 1.43 1.03
Downside Deviation 1.54% 3.55% 2.68% 4.01% 0.00% 3.36% 0.79% 0.51%
Kurtosis 0.4973 1.0634 -0.3825 1.1323 0.4910 1.3046 -0.7759
Skew -0.0170 -0.4662 0.1407 -0.5065 -0.4945 1.0704 0.0467
Correlation ----- 0.95 0.97 0.88 0.54 0.14 0.37
R^2 ----- 0.90 0.94 0.78 0.00 0.30 0.02 0.14
Beta ----- 0.47 0.46 0.42 0.34 0.20 0.20
Alpha ----- 0.18% -0.35% 0.51% 0.94% 0.86% 0.82% 0.61%
Annualized Alpha ----- 2.20% -4.15% 6.29% 11.86% 10.79% 10.35% 7.57%

ACCOUNTING NOTE

This trading program uses the Only Accounts Trading method to compute return and returns are compounded returns. Month to date return for the current month is estimated using a $100K tracking account applying a 2% management fee, a 22% incentive fee and a $5 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.