Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
Lafayette Trading, LLC ("Lafayette") employs a short-term, systematic model to generate trade signals on equity index future contracts. The technology has been employed on U.S. markets since Nov-01 and beginning in Sep-09 the technology was applied to a basket of European and Asian equity indices. The technology is comprised of nine different alpha generating algorithms. The algorithms work in tandem to generate the trade direction and risk allocation.Results Sep 2009 – present is the net performance (2/20) for proprietary accounts managed by Lafayette Trading, LLC.
Investment Strategy
The technology currently trades the DJ Euro Stoxx, DAX, Hang Seng, and Nikkei 225 (SIMEX) index equity futures contracts for accounts greater than $1MM. For accounts between $500K and $1MM the DAX contract is removed from the portfolio. All trades are short-term, with new trade signals generated on a daily basis. Historically, the technology is in cash approximately 50% of the time and the maximum leverage employed on any single position is 2:1. Historically, for those times when a signal is generated to take market risk, approximately 65% of the positions are long and 35% are short.
Risk Management
Based on new market data every trade is evaluated on a daily basis and therefore has a time-stop of approximately 24 hours. In addition, the algorithms work in tandem so that the size of the position is dictated by several factors: the number of algorithms that are triggered, which algorithms trigger, and the market environment in which the algorithms are triggering.
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.
Reward
Lafayette Trading, LLC Eur/Asia Equity Index Program
Average RoR
-0.26%
Max Gain
5.02%
Gain Frequency
54.55%
Average Gain
2.39%
Gain Deviation
1.51%
Risk
Standard Deviation
3.80%
Worst Loss
-7.89%
Loss Frequency
45.45%
Average Loss
-3.44%
Loss Deviation
3.17%
Reward/Risk
Sharpe (RFR=1%)
-0.09
Skewness
-0.84
Kurtosis
0.25
Reward
Lafayette Trading, LLC Eur/Asia Equity Index Program
Compound RoR
-3.85%
Average RoR
-3.27%
Max Gain
6.04%
Gain Frequency
36.36%
Average Gain
18.11%
Gain Deviation
5.22%
Risk
Standard Deviation
13.15%
Worst Loss
-9.03%
Loss Frequency
63.64%
Average Loss
-15.48%
Loss Deviation
10.98%
Reward/Risk
Sharpe (RFR=1%)
-0.31
Skewness
Kurtosis
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.
Drawdown Report
Depth
Length (Months)
Recovery (Months)
Peak
Valley
-13.55
3
—
11/2009
2/2010
-0.18
1
1
9/2009
10/2009
No data available in table
Consecutive Gains
Run-up
Length (Months)
Start
End
5.02
1
11/2009
11/2009
4.87
3
3/2010
5/2010
2.39
1
7/2010
7/2010
2.12
1
9/2009
9/2009
No data available in table
Consecutive Losses
Run-up
Length (Months)
Start
End
-13.55
3
12/2009
2/2010
-2.93
1
6/2010
6/2010
-0.18
1
10/2009
10/2009
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.
Top Performer Badges
Index
Award Type
Rank
Performance
Period
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.