Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
This program engages in arbitrage trading in the international energy markets. Specifically energy futures contracts listed on The International Commodity Exchange known as ICE and energy futures contracts listed on NYMEX will be traded in this program. Since the program utilizes arbitrage techniques it is always long contracts on one exchange while being short similar contracts on the other exchange and/or vice versa. There may be a fractional amount of a contract net long or short due to rounding because the contract sizes on the two exchanges are not an equal match.
The essence of the program is to attempt to take advantage of both random and structural differences in the price movement in the spread between these contracts as opposed to trading the outright or flat price of the energy contacts. The program uses a mathematical model which reads live price data from the exchanges and creates an index which in turn generates buy and sell signals. Traders review these signals against a list of criteria and then utilize both traditional and high frequency trading venues to enter and exit transactions. Performance for 2013 and 2014 are based on a negotiated incentive fee 0f 0% and 30% starting 2015.
AUM & Cumulative Returns
Distribution
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial. Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Average
0.36
1.22
2.70
5.61
11.35
14.86
Min
-5.31
-5.77
-5.71
-8.08
-11.74
-9.58
Max
14.85
21.25
21.45
23.50
44.02
39.53
% Positive
46.48
52.17
54.55
61.67
85.42
77.78
Avg. Pos. Period
2.04
4.04
7.29
11.36
14.08
20.33
Avg. Neg. Period
-1.39
-1.97
-2.81
-3.64
-4.62
-4.31
# of Periods
71.00
69.00
66.00
60.00
48.00
36.00
Drawdown Report
Depth
Length (Months)
Recovery (Months)
Peak
Valley
-12.21
15
—
12/2017
3/2019
-5.67
9
4
12/2015
9/2016
-5.61
2
2
9/2013
11/2013
-4.78
2
1
5/2013
7/2013
-4.55
3
5
4/2017
7/2017
-1.95
1
2
7/2015
8/2015
-0.61
1
1
5/2015
6/2015
-0.16
1
1
5/2014
6/2014
No data available in table
Consecutive Gains
Run-up
Length (Months)
Start
End
21.45
4
12/2013
3/2014
12.59
2
1/2015
2/2015
7.33
5
12/2016
4/2017
5.82
2
8/2013
9/2013
4.90
4
9/2015
12/2015
2.82
1
12/2017
12/2017
2.68
1
8/2017
8/2017
2.13
1
10/2016
10/2016
1.91
1
7/2015
7/2015
1.86
2
7/2014
8/2014
1.38
1
5/2013
5/2013
1.13
1
11/2018
11/2018
0.98
1
7/2016
7/2016
0.78
2
6/2018
7/2018
0.68
2
3/2018
4/2018
0.30
1
5/2015
5/2015
0.04
2
2/2016
3/2016
No data available in table
Consecutive Losses
Run-up
Length (Months)
Start
End
-5.97
4
12/2018
3/2019
-5.61
2
10/2013
11/2013
-5.16
3
4/2016
6/2016
-4.91
2
1/2018
2/2018
-4.78
2
6/2013
7/2013
-4.55
3
5/2017
7/2017
-2.47
3
8/2018
10/2018
-1.95
1
8/2015
8/2015
-1.89
1
5/2018
5/2018
-1.22
1
11/2016
11/2016
-1.04
2
8/2016
9/2016
-0.61
1
6/2015
6/2015
-0.51
1
1/2016
1/2016
-0.41
3
9/2017
11/2017
-0.16
3
4/2014
6/2014
No data available in table
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.