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Recent Statistics
  • Jul Return: 0.00%
  • YTD Return: 4.07%
  • Annual CROR:1 8.31 %
  • Worst DD:2 -11.31%
  • Losing Streak:3 0.00 %
  • Sharpe Ratio:4 0.73
  • Min Investment: $125,000
  • AUM:5 $7,872,000
  • Calmar Ratio:6 1.80
The advisor trades primarily in the U.S. Index Futures. As of December 31, 2013, Pinstripe was trading roughly $33,000,000 in total assets. The objective of the Advisor's Standard Trading Program is to achieve capital appreciation through the trading of futures contracts. The Advisor seeks to trade stock index futures with a focus on the E-Mini S&P. Additionally, the Advisor seeks to enter into trades that can capitalize on short-term, intraday trends, both on the long and short sides. The Advisor engages in position trading; although, an occasional trade may be entered and exited on the say day. At times, depending upon market or other conditions, the Advisor may abstain from making trades until trade opportunities arise. From time to time, the Advisor may buy and sell options contracts on the E-mini S&P.


The Advisor attempts to accomplish three specific goals in the following order of importance: Preservation of Capital, Consistent Profitability, and Superior Absolute Returns. The Advisor uses quantitative based strategies to identify high probability patterns that develop in the U.S. Index futures markets. The strategies attempt to purchase futures that have experience a sharp, short term decline in value but are still within a long-term up-trend. Conversely, the strategies attempt to sell U.S. Index futures that have experience a sharp, short-term spike in value but are still within its long-term down trend. The models are applied to multiple timeframes. The average holding period for a trade is 2-5 days.

Accounting Notes: From August 2009 through August 2013, Mr. Tagliaferro directed accounts, individually, prior to the registration of Pinstripe Trading, LLC as a CTA, pursuant to CFTC Regulation 4.14(a)(10), which exempts a person from registration as a CTA if during the course of the preceding 12 months, such person has not furnished commodity trading advice to more than 15 persons and the person managing the accounts does not hold himself or itself out generally to the public as a CTA. ProForma performance has been adjusted to reflect a 0% management fee and 25% incentive fee.


  • Trading Methodology
    100% Systematic
  • Style Sub-Categories
    Mean Reversion
  • Trading Style
    100% Trend Following
  • Market Allocation

  • Holding Period
    100% Short Term
  • Sector
    US
    Contracts
    Futures

ProForma Results Adjusted to Reflect a 0% Mgt Fee & 25% Inc Fee

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2017 -0.40% 0.00% 1.81% 2.64% 0.00% 0.00% 0.00%   4.07% -0.4%
2016 0.00% -2.79% 0.00% 0.00% 1.82% 3.84% 0.41% 0.53% 2.62% -1.84% 4.61% -0.01% 9.31% -2.79%
2015 -3.01% 12.01% 1.14% -0.17% 1.61% 1.46% 3.87% -1.40% 1.48% -0.32% 0.00% 0.00% 17.15% -3.01%
2014 -6.87% 2.17% 4.85% 2.18% 0.71% 0.15% 0.80% 0.01% -1.60% -3.30% 0.00% 2.80% 1.39% -6.87%
2013 0.00% 0.00% 1.07% 3.36% 0.52% -2.01% 4.41% -5.17% 0.00% 2.64% 0.00% 3.44% 8.17% -5.17%
2012 0.00% 0.00% 3.94% 0.50% -9.70% 3.92% 6.00% -0.52% -0.92% 3.25% 3.90% 0.70% 10.64% -9.7%

Years200920102011201220132014
ROR10.03%0.43%5.96%10.64%8.17%1.39%
Max DD-0.34%-6.00%-11.26%-9.70%-5.17%-6.87%

Years201520162017 YTD
ROR17.15%9.31%4.07%
Max DD-3.01%-2.79%-0.40%


PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

Program Information
  • Start Date: Aug-2009
  • New Money: Yes
  • Min Investment: $125,000
  • Fund Minimum: $0
  • Notional Funds: Yes
  • NFA Member: Yes
  • NFA Number: 0461710
  • Currency: US Dollar
  • AUM:5 $7,872,000
  • Annual CROR:1 : 8.31%
  • Worst Drawdown:2 -11.31 %
  • Losing Streak:3 0.00 %
  • Sharpe Ratio:4 0.73
  • Calmar Ratio:6 1.80
  • Margin:7: 8%
  • Mgt Fee: 0%
  • Incentive Fee: 25.00%
  • Other Fees: $50 Monthly Accounting Fee
  • Avg Comm:8 $15.00
  • Max Comm:9:
  • Round Turns:10 700
Additional Information
  • Other Memberships: None Listed
  • Correlations: AG CTA Index: 0.042 | AG Systematic CTA Index: 0.011 |
  • Accounting Notes: From August 2009 through August 2013, Mr. Tagliaferro directed accounts, individually, prior to the registration of Pinstripe Trading, LLC as a CTA, pursuant to CFTC Regulation 4.14(a)(10), which exempts a person from registration as a CTA if during the course of the preceding 12 months, such person has not furnished commodity trading advice to more than 15 persons and the person managing the accounts does not hold himself or itself out generally to the public as a CTA. ProForma performance has been adjusted to reflect a 0% management fee and 25% incentive fee.

  • Chart
    Chart
  • * By selecting to be contacted by a Representatives Autumn Gold may refer you to a third party broker or directly to the Manager.

    (P) - Proprietary Trading Results (C) - Client Trading Results

    1. Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on an Non-Compounded basis. This would occur when a Manager trades based on account unit rather than on account equity.

         The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period.

         Annual Rate of Return ("Annual ROR") is calculated adding each month's return.

    2. The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value.

    3. The Current Losing Streak ("Losing Streak") represents the extent of the Adviso'rs current drawdown.

    4. Sharpe Ratio is a risk adjusted ratio that rewards consistancy of returns. Traders are penalized for volatility regardless of whether it is onthe up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.

    5. Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.

    6. Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.

    7. Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.

    8. The Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly.

    9. Maximum Commission ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

    10. Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account.

  • RISK DISCLOSURE

    PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

    THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR 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 RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

    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 ON INVESTING IN THIS TRADING PROGRAM 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.

    AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.