PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. See disclaimers below.

VAMI presented above for this manged futures program is actual monthly non-compounded performance net of all fees (commission, management and incentive fees below) as reported by the CTA. Composite returns are used when available, month to date returns are estimated from a model tracking account.  Please see accounting notes (if any) below. Index performance is based on monthly data. Price returns used for the S&P 500, total returns (price + distributions) used from the iShares US Aggregate Bond ETF (AGG) to simulate the performance of a diversified portfolio of bonds and net returns used for the SocGen CTA Index. The S&P 500 and SocGen CTA Index are not directly investable. Please consider that any index performance is for the constituents of that index only and does not represent the entire universe of possible investments within that asset class. Limitations and biases to indices include survivorship, self reporting, instant history, etc.

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Roe Capital Management
Asymmetric Managed Futures Program

Historical Performance

Performance Summary

CTA S&P 500 SGCTA AGG
VAMI $443 $1,253 $1,025 $1,064
Cumulative ROR -55.68% 25.34% 2.52% 6.40%
CAGR -41.87% 16.25% 1.67% 4.22%
Max Drawdown -60.11% -20.00% -8.58% -0.87%
Date of Max DD 12-2020 03-2020 10-2020 12-1899
Current DD -60.11% 0.00% -4.23% -0.35%
% Losing Months 42.11% 31.58% 47.37% 42.11%
Worst Month -31.76% -12.51% -3.19% -0.54%
Max Run Up 11.10% 25.34% 7.05% 6.77%
% Winning Months 52.63% 63.16% 47.37% 52.63%
Best Month 27.85% 12.68% 3.56% 1.73%
Average Gain 4.33% 4.62% 1.81% 0.81%
Average Loss -13.38% -4.93% -1.49% -0.24%
Average Month -3.54% 1.44% 0.16% 0.35%
Monthly Standard Deviation 12.80% 5.92% 2.00% 0.66%
Sharpe Ratio -0.96 0.84 0.25 1.75
Sortino Ratio -0.39 0.34 0.11 1.72
Ulcer Index 3.84 0.92 1.74 0.05
UPI Index -3.20 5.35 0.29 23.17
Mar Ratio -0.70 0.81 0.20 4.83
Downside Deviation 11.40% 3.75% 1.22% 0.20%
Kurtosis 1.9956 1.0499 -0.6524 -0.6011
Skew -0.2092 -0.3853 0.3876 0.6962
Correlation ----- -0.43 -0.32 0.06
R^2 ----- 0.19 0.10 0.00
Beta ----- -0.93 -2.01 -2.01
Alpha ----- -2.27% -3.34% -3.87%
Annualized Alpha ----- -24.06% -33.44% -37.70%
Average Commission $3
Management Fee 0-2%
Incentive Fee 20-25%
Minimum Account $20K
Current AUM $20K
Investor Restrictions None

Monthly ROR

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year DD
2019 0.24% 3.27% 2.75% 0.25% 0.63% 0.44% 7.77% 0.00%
2020 0.74% 2.33% -10.04% -0.14% -4.86% -1.79% -14.80% -25.77% 27.85% 4.83% -31.76% -17.84% -58.88% -60.11%

RISK MANAGEMENT

The program works a live stop on all trades in addition to a daily risk budget on all trades.  Positions are sized to volatility and the program spends a substantial amount of time in cash.

Drawdown ROR above is based on actual monthly non-compounded returns net of all fees, as reported by the CTA and indexes.  Month to date estimated using live tracking accounts (see the accounting note for more details).

Correlation Matrix

CTA S&P NDX DJIA SX5E HSI CTA Bonds
CTA -0.43 -0.55 0.08 0.10 0.03 -0.32 0.06
S&P -0.43 0.95 0.81 0.08 0.48 0.12 0.15
NDX -0.55 0.95 0.67 0.00 0.38 0.10 0.16
DJIA 0.08 0.81 0.67 0.23 0.55 0.05 0.02
SX5E 0.10 0.08 0.00 0.23 0.13 -0.42 -0.37
HSI 0.03 0.48 0.38 0.55 0.13 -0.39 -0.25
CTA -0.32 0.12 0.10 0.05 -0.42 -0.39 0.35
Bonds 0.06 0.15 0.16 0.02 -0.37 -0.25 0.35

This table represents a correlation matrix of the monthly rates of return for the following programs:  this CTA, S&P 500 Index, Nasdaq 100 Index, Down Jones Industrial Average Index, EuroStoxx 50 Index, Hang Seng Index, SG CTA Index and iShares US Aggregate Bond ETF (AGG).  Please consider that any index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship, self reporting, instant history, etc. The performance data for these indexes is compiled from various sources and is based on end of day data available to us.

Monthly Return Distribution above for this managed futures program is monthly non-compounded ROR net of all fees as reported by the CTA. Month to date estimated using live tracking accounts (see the accounting note for more details).

Daily Return Distribution above for this managed futures program is non-compounded net ROR net of all fees as reported by the CTA. Month to date estimated using live tracking accounts (see the accounting note for more details).

PROGRAM DESCRIPTION

The Asymmetric Managed Futures Program is a hybrid systematic/discretionary trading program based on a quantitative model which generates trading signals by determining turning points in market trends and consolidation periods. The quantitative model evaluates the four-dimensional envelope of market price structure—time, space, volume and velocity—while the discretionary overlay considers exogenous factors, such as event and geopolitical risk.

Estimated sector attribution as reported by the CTA.

Daily GROSS P&L presented above is actual P&L net of the commissions and gross of  the fees listed above for the model tracking account used to present daily returns for this program. It is intended to help customers match system performance to their brokerage statements.  Please see the accounting notes below for material assumptions and disclosures regarding this account.

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Accounting Notes:
Month to date performance is estimated using a model tracking account with $100,000 USD in equity which began trading at inception using a 2% management fee, a 22% incentive fee and a $4.25 commission per contract traded. Composite performance is updated as soon as it is available.

IMPORTANT RISK FACTORS AND PERFORMANCE DISCLOSURES

THE RISK OF LOSS IN TRADING COMMODITY FUTURES AND OPTIONS CAN BE SUBSTANTIAL AND MAY NOT BE SUITABLE FOR ALL INVESTORS.

Prior to purchasing or leasing a trading system from this or any other system vendor or investing in a trading system with a registered commodity trading representative, investors need to carefully consider whether such trading is suitable for them in light of their own specific financial condition. In some cases, futures accounts are subject to substantial charges for commission, management, incentive or advisory fees. It may be necessary for accounts subject to these charges to make substantial trading profits to avoid depletion or exhaustion of their assets. In addition, one should carefully study the accompanying prospectus, account forms, disclosure documents and/or risk disclosure statements required by the CFTC or NFA, which are provided directly by the system vendor, CTAs and/or the broker carrying your account.  Trading methodologies which may be described on this tear sheet--including such terms as systematic, discretionary, day trading, swing trading, trend following, arbitrage, relative value, volatility trading, spread trading, options trading, contrarian, counter-trend, global macro, etc.--carry unique and specific risks. Please consult the disclosure document of this CTA for a detailed description of risk factors specific to this trading program. Past performance is not necessarily indicative of future results.

Important Information About this Trading Program Analysis

Unless otherwise specified, the tables and charts above represent the summation of actual monthly rates of return as reported by the CTA.  Unless labeled as proprietary, these returns are client composite returns, profits are reinvested and all rates of return are compounded and net of all fees, including commissions, incentive and management fees.  Please be aware of the following for each section:

VAMI Chart
This chart represents the visualization of the growth of a hypothetical $1,000 investment in this trading program, as compared to such an investment in the S&P 500 (S&P 500), the SG CTA Index (SGCTA) and the iShares Aggregate US Bond ETF (Bonds). Unless otherwise noted above, this VAMI chart is presented inclusive of all fees and utilizes monthly non-compounded rates of return for the CTA and compounded rates of return for the benchmarks.  The S&P 500 (S&P 500) is unmanaged, not directly investable, reflects reinvestment income and does not reflect the impact of advisory fees. SocGen’s CTA Index (SGCTA) is not directly investable and reflects reinvestment income and any distributions. The iShares Aggregate US Bond ETF (US Bonds) is investable, reflects reinvestment income and distributions and is used to benchmark program performance against a diversified portfolio of bonds. Please consider that any index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. There can be limitations and biases to indices such as survivorship, self reporting, instant history, etc. The performance data for these benchmarks is compiled from various sources and is based on end of day data available to us. Please refer to the accounting notes above (if any) for more information. 

Performance Summary Table
Each listing in the table is defined in a 'tooltip', simply tap on the statistic to read its definition. Each statistic is calculated for one trading unit of the trading program using non-compounded returns as reported by the CTA. 

Monthly ROR Table
This table represents the compounded monthly rate of return as reported by the CTA. Unless otherwise noted above, this table is presented inclusive of all fees. Please refer to the accounting notes above (if any) for more information. 

Drawdown Comparison to Benchmarks
This chart represents the drawdowns experienced by this program, the S&P 500, the SocGen CTA Index and the iShares US Aggregate Bond ETF (AGG listed as BONDS) for the stated time period using monthly compounded rates of return.

Monthly Return Distribution
This chart represents the distribution of compounded monthly returns of this program as reported by the CTA. Please see the accounting notes above (if any).

Correlation Matrix
This table displays the correlation of monthly rates of return between this program and the following benchmarks:  S&P 500 Index, Nasdaq 100 Index, Down Jones Industrial Average Index, EuroStoxx 50 Index, Hang Seng Index, SG CTA Index and iShares Aggregate US Bond ETF (US Bonds). Only the iShares Aggregate US Bond ETF is directly investable. All rates of return reflect reinvestment income except this program. Please consider that any index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship, self reporting, instant history, etc. The performance data for these indexes is compiled from various sources and is based on end of day data available to us.

Daily Gross Actual P&L Chart
This chart represents the actual gross daily profit and loss for one trading unit of the trading program. Unless otherwise noted above, this chart is presented GROSS of ALL commissions and fees. This chart is intended to assist customers in matching P&L to their daily brokerage statements, etc. It represents a rolling 30 day period to make the chart easier to read.

Actual dollar and percentage gains/losses experienced by investors would depend on many factors not accounted for in these statistics, including, but not limited to, starting account balances, market behavior, fees, incidence of split fills and other variations in order execution, and the duration and extent of individual investor participation in the specified trading program. While the information and statistics given are believed to be complete and accurate we cannot guarantee their completeness or accuracy. These results are not indicative of, and have no bearing on, any individual results that may be attained by the trading system in the future.

The information contained in this report is provided with the objective of “standardizing” trading program performance measurements, and it is intended for educational/informational purposes only. All information is offered with the understanding that an investor considering investing in a trading program must carry out his/her own research and due diligence in deciding whether to investing in a trading program noted within or without this report. This report does not constitute a solicitation to purchase or invest in any trading system which may be mentioned herein.

NO FINANCIAL ADVICE PROVIDED: BTR TRADING GROUP AND ALGOEX.COM MAKES NO REPRESENTATIONS AS TO WHETHER A MANAGED FUTURES INVESTMENT IS APPROPRIATE FOR YOU. FURTHER, BTR TRADING GROUP AND ALGOEX.COM MAKE NO REPRESENTATION OR GUARANTEE AS TO THE PERFORMANCE OF ANY MANAGED FUTURES TRADING PROGRAM OR STRATEGY. THROUGH YOUR OWN SELECTION, IT IS UP TO YOU TO DECIDE WHETHER A STRATEGY IN WHICH YOU PARTICIPATE IS APPROPRIATE FOR YOU. YOU ACKNOWLEDGE THAT YOU ARE CAPABLE OF INDEPENDENTLY ANALYZING SUCH CONTENT USING YOUR OWN EXPERTISE, DUE DILIGENCE AND DECISION MAKING AND THAT YOU ARE NOT RELYING ON THIS SITE AS A BASIS FOR ANY DECISIONS YOU MAY MAKE CONCERNING INVESTMENTS.

YOU SHOULD NOT CONSIDER ANY CONTENT ON THIS SITE TO BE PROFESSIONAL INVESTMENT, TAX, TRADING OR OTHER FINANCIAL ADVICE. NOTHING ON THE SITE SHOULD BE CONSTRUED AS A RECOMMENDATION OF ANY SECURITY, FUTURES CONTRACT, COMMODITY, TRANSACTION, INVESTMENT STRATEGY, OR EXCHANGE OR MARKET BY BTR TRADING GROUP, ITS AFFILIATES OR ANY THIRD PARTY. ALL CONTENT ON THIS SITE IS IMPERSONAL AND NOT TAILORED TO THE INVESTMENT NEEDS OF ANY SPECIFIC PERSON.

General Risk Disclosure for Futures Trading: Transactions in securities futures, commodity and index futures and options on futures carry a high degree of risk. The amount of initial margin is small relative to the value of the futures contract, meaning that transactions are heavily “leveraged”. A relatively small market movement will have a proportionately larger impact on the funds you have deposited or will have to deposit: this may work against you as well as for you. You may sustain a total loss of initial margin funds and any additional funds deposited with the clearing firm to maintain your position. If the market moves against your position or margin levels are increased, you may be called upon to pay substantial additional funds on short notice to maintain your position. If you fail to comply with a request for additional funds within the time prescribed, your position may be liquidated at a loss and you will be liable for any resulting deficit.