Summary

The Short-Term Managed Futures Program is a systematic, multi-strategy program that is designed to be negatively correlated with the S&P 500. The Program’s S&P 500 correlation objective is -0.50. We trade only one instrument: the E-mini S&P 500 futures contract. All positions have an intraday holding period. Since we do not hold positions overnight, there is no exchange-mandated margin requirement on our trades. We use max leverage of 200% of nominal equity, but average leverage of only 20% of nominal equity. The Program trades infrequently. Our strategies generate highly selective entry signals because we want to reduce the incidence of losing trades. Also, we use volatility-adjusted stops to limit the magnitude of any remaining losses.