Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
The Monticello Equity Spreads Portfolio is a managed futures program which trades according to a fundamental principle of equity futures markets, one which has been tested over many years. This program requires $100,000 to trade, but is available to trade "notionally" funded with less capital on deposit. Please review our disclosure document for details.
Investment Strategy
This principle has been distilled into several complimentary algorithmic trading models which are primarily "contrarian" in nature, which is to say they analyze markets for key points of momentum exhaustion. The goal is to profit from short term trades capitalizing on the price movement from this exhaustion.The "spreads" traded in the portfolio are weighted spreads of the E-mini S&P 500 futures over the E-mini NASDAQ futures. The system takes a long or short position in the E-mini S&P 500 futures and takes the opposite position in the E-mini NASDAQ futures. Intraday the trading models "leg out" of these spreads according to predetermined profit targets or stop losses.
Risk Management
90% of the trades executed in this program are done so automatically with no human intervention, except in the management of the execution itself. This is done so that its performance is dispassionate, not subject to the oscillating emotions of the Advisor trading it. Human intervention does occur, especially around the release of economic data which may introduce price volatility in the market, but intervention is kept to a minimum.The opposite leg of this trade is initiated to reduce the directional bias of the portfolio's position and thereby reduce its exposure to extreme price movement in the overnight market. Although these equity markets are strongly correlated to one another, their correlation is not exact. The resulting variance in equity streams adds a component of diversification to the portfolio.
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
ROE Capital Management Monticello Equity Spreads Portfolio
Average RoR
0.52%
Max Gain
8.19%
Gain Frequency
61.54%
Average Gain
3.27%
Gain Deviation
2.70%
Risk
Standard Deviation
4.76%
Worst Loss
-15.06%
Loss Frequency
38.46%
Average Loss
-3.89%
Loss Deviation
3.98%
Reward/Risk
Sharpe (RFR=1%)
0.09
Skewness
-0.87
Kurtosis
1.82
Reward
ROE Capital Management Monticello Equity Spreads Portfolio
Compound RoR
5.00%
Average RoR
5.90%
Max Gain
15.51%
Gain Frequency
79.49%
Average Gain
13.44%
Gain Deviation
9.36%
Risk
Standard Deviation
16.51%
Worst Loss
-15.55%
Loss Frequency
20.51%
Average Loss
-23.32%
Loss Deviation
13.78%
Reward/Risk
Sharpe (RFR=1%)
0.32
Skewness
-2.23
Kurtosis
9.56
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
0.52
1.04
1.95
8.49
18.34
8.71
Min
-15.06
-19.92
-20.70
-22.98
-5.39
2.65
Max
8.19
13.03
24.41
39.76
36.38
12.21
% Positive
61.54
62.16
58.82
75.00
81.25
100.00
Avg. Pos. Period
3.27
5.94
9.97
16.18
23.15
8.71
Avg. Neg. Period
-3.89
-7.02
-9.51
-14.58
-2.52
0.00
# of Periods
39.00
37.00
34.00
28.00
16.00
4.00
Drawdown Report
Depth
Length (Months)
Recovery (Months)
Peak
Valley
-22.98
12
—
7/2010
7/2011
-10.99
2
2
3/2010
5/2010
-10.32
3
2
12/2008
3/2009
-4.72
1
1
10/2008
11/2008
-1.77
1
2
7/2008
8/2008
No data available in table
Consecutive Gains
Run-up
Length (Months)
Start
End
39.76
12
4/2009
3/2010
14.73
2
6/2010
7/2010
8.19
1
12/2008
12/2008
7.38
1
8/2011
8/2011
6.30
2
6/2008
7/2008
5.05
3
9/2010
11/2010
2.83
2
9/2008
10/2008
0.51
1
4/2011
4/2011
No data available in table
Consecutive Losses
Run-up
Length (Months)
Start
End
-20.37
4
12/2010
3/2011
-10.99
2
4/2010
5/2010
-10.32
3
1/2009
3/2009
-6.25
1
8/2010
8/2010
-4.72
1
11/2008
11/2008
-2.28
3
5/2011
7/2011
-1.77
1
8/2008
8/2008
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.
