This article focuses on the background of the CTA as well as the Program.
The CTA of this program's educational background includes a Bachelor's Degree in electrical engineering/computer science from Princeton University and a Master's degree in systems engineering from the University of Pennsylvania. He was initially sought out from a recuiter in 1987 to fill a quantitative trading position at Basque Indosuez. Prior to that initially his career started in the direction of his education. He worked for General Electric on radar signaling processing for missles. He was also a director of research and development on an artificial heart project for the Electro-Catheter Corporation.
Program Information
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Program Description
Style
Systematic / contrarian / indices / medium term
Strategy
The fully-systematic contrarian program employs multiple models to forecast short and intermediate term tops and bottoms in the S&P 500 index, and then simultaneously generate trades, buying identified bottoms, and selling identified tops. This trading program targets net performance of 20% annually with volatility of 9%. It has an average holding period of about 7 trading days. It has extremely high liquidity due to the high daily trading volume of the S&P 500 futures, and estimated capacity of $1 billion.
Statistics
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Monthly Performance
| Year | JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | DEC | NOV | YEAR |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | -0.14 | -0.14 | |||||||||||
| 2004 | 0.61 | 2.87 | 2.66 | 3.54 | -1.75 | 2.82 | 0.76 | 2.63 | -0.53 | 4.54 | -4.09 | 2.34 | 17.3 |
| 2005 | 2.19 | 3.32 | -1.23 | 1.24 | 2.88 | 1.11 | -0.73 | 2.91 | 1.45 | -0.08 | -2.11 | 2.44 | 14.05 |
| 2006 | 0.38 | 2.09 | 4.85 | 8.59 | -3.95 | 1.82 | 2.84 | 3.08 | 5.29 | -1.98 | 9.92 | 1.28 | 38.98 |
| 2007 | 4.56 | -7.81 | -3.09 | -0.72 | 8.41 | 5.73 | -6.58 | 22.86 | 0.56 | -1.29 | 7.17 | 7.28 | 39.24 |
| 2008 | -8.42 | 7.34 | 2.35 | 8.53 | 4.65 | -6.12 | 4.13 | 1.93 | 9.99 | -2.71 | 3.49 | 4.88 | 32.25 |
| 2009 | 2.25 | -1.81 | -0.63 | 2.15 | 1.87 | 0.22 | -5.52 | 2.67 | -0.9 | 0.41 | 0.98 | 1.59 | 3.03 |
Managed Futures are typically for high networth investors. The popularity of Managed accounts have grown at an amazing rate over the last several years due in part to the liquidity, transparency, and their ability to compliment and enhance existing portfolios. Managed Futures accounts are traded by liscenced CTA'S or Commodity Trading Advisors. Typically CTA's are looking to return LONG-TERM steady growth for their clients. There are endless types of strategies and markets that can be traded, many that are non-correlated to the equity markets. For example, a CTA could trade everything form Grains, to Financials, to Metals, to Energies and more. For More information on Managed Futures feel free to contact me or click on the link below for a free CME report on Managed Futures.
http://www.zaner.com/3.0/mmckManaged1.asp
Thanks,
Matt Mckinney
312-277-0115
THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND FOREIGN EXCHANGE ("FOREX") IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN HAVE THE EFFECT OF SUBSTANTIALLY MAGNIFYING POTENTIAL LOSSES AS WELL AS GAINS. YOU SHOULD CAREFULLY CONSIDER WHETHER COMMODITY FUTURES, OPTIONS AND FOREX ARE SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON. THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION TO INVEST IN THESE TRADING PROGRAMS SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.
