Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
-Michael A. Marchese is employed by MCM and is the sole person responsible for overseeing MCM's trading decisions. MCM's trading approach draws upon Michael Marchese's judgement, experience and his knowledge of the technical factors affecting markets and attempts to identify optimal trading opportunities. The underlying premise of MCM's trading approach is that prediction of future prices is futile, and that trading of markets should be focused on current prices and disciplined risk management. MCM believes that markets exhibit trends of different time frames. These trending markets create opportunity which MCM attempts to identify and take advantage of. MCM's systems focus on areas under a trader's control; how much to risk per trade, how much to trade, when to enter, when to exit and whether or not to trade at all. Furthermore, each potential trading opportunity is addressed the same way, as follows; a. What percentage of capital will be at risk on this trade? b. What is the recent volatility of the particular market? c. How many contracts are warranted based on the current volatility and the pre-determined risk? d. Do technical factors warrant a long or short position? e. What is the exit strategy to be employed? f. What is the correlation between this trade and current portfolio positions? Risk management is a primary focus of MCM's trading strategies. Stop loss levels are determined at the time the trade is entered and each position is tracked using specific parameters to determine exit levels as profitable positions exhibit a decrease in momentum. Stops are designed to remove losing trades quickly and to attempt to limit any loss to no more than a nominal percentage of the account's net assets. MCM designs systems utilizing different risk parameters and different technical indicators, to approach various market environments.
Risk Management
Risk management is a primary focus of MCM’s trading strategies. Stop loss levels are determined at the time the trade is entered and each position is tracked using specific parameters to determine stop level adjustments in an effort to achieve optimum exit levels. Stops are designed to remove losing trades quickly and to attempt to limit any loss to no more than a nominal percentage of the account’s net assets. There is no guarantee that the risk per position will be limited to the pre-determined amount upon exiting a position
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
Marchese Capital Management Diversified Futures Program
Average RoR
2.52%
Max Gain
33.83%
Gain Frequency
55.77%
Average Gain
8.70%
Gain Deviation
8.36%
Risk
Standard Deviation
9.85%
Worst Loss
-16.92%
Loss Frequency
44.23%
Average Loss
-5.28%
Loss Deviation
4.68%
Reward/Risk
Sharpe (RFR=1%)
0.25
Skewness
0.80
Kurtosis
1.22
Reward
Marchese Capital Management Diversified Futures Program
Compound RoR
27.85%
Average RoR
30.12%
Max Gain
61.09%
Gain Frequency
76.92%
Average Gain
41.35%
Gain Deviation
28.95%
Risk
Standard Deviation
34.11%
Worst Loss
-7.31%
Loss Frequency
23.08%
Average Loss
-7.31%
Loss Deviation
16.23%
Reward/Risk
Sharpe (RFR=1%)
0.86
Skewness
-0.25
Kurtosis
-6.32
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
-31.15
3
19
4/2006
7/2006
-11.68
3
3
2/2008
5/2008
-11.17
1
1
1/2006
2/2006
-10.48
6
—
5/2009
11/2009
-7.10
1
1
—
8/2005
-4.61
3
1
1/2009
4/2009
-4.08
1
1
8/2008
9/2008
-0.59
1
1
11/2005
12/2005
No data available in table
Consecutive Gains
Run-up
Length (Months)
Start
End
50.19
3
9/2005
11/2005
47.05
2
3/2006
4/2006
37.65
4
11/2007
2/2008
30.72
4
10/2008
1/2009
30.00
3
10/2006
12/2006
14.94
1
5/2009
5/2009
13.67
1
8/2008
8/2008
11.91
1
9/2007
9/2007
11.55
1
6/2008
6/2008
9.62
1
8/2006
8/2006
7.48
4
4/2007
7/2007
3.35
1
1/2006
1/2006
0.83
1
10/2009
10/2009
0.38
2
7/2009
8/2009
No data available in table
Consecutive Losses
Run-up
Length (Months)
Start
End
-31.15
3
5/2006
7/2006
-24.20
3
1/2007
3/2007
-11.68
3
3/2008
5/2008
-11.17
1
2/2006
2/2006
-7.10
1
8/2005
8/2005
-6.08
1
8/2007
8/2007
-4.89
1
9/2009
9/2009
-4.61
3
2/2009
4/2009
-4.44
1
11/2009
11/2009
-4.08
1
9/2008
9/2008
-2.68
1
6/2009
6/2009
-1.39
1
10/2007
10/2007
-1.06
1
7/2008
7/2008
-0.59
1
12/2005
12/2005
-0.42
1
9/2006
9/2006
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.