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Recent Statistics
  • Jul Return: 0.70%
  • YTD Return: 9.90%
  • Annual CROR:1 21.65 %
  • Worst DD:2 -8.87%
  • Losing Streak:3 0.00 %
  • Sharpe Ratio:4 1.77
  • Min Investment: $200,000
  • AUM:5 $18,200,000
  • Calmar Ratio:6 2.36
Options strategy targets the mean reverting nature of volatility and is designed to achieve profitability when market either reverses direction or builds a plateau before the next move occurs.


Futures strategies take advantage of the wave-like nature of market movements and are designed to achieve profits by trading in the direction of market moves (up or down). Futures strategies are automatically traded by preprogramed algorithms to remove ill effects of human psychology from trading decisions. By combining mean reverting and directional trading strategies GNE has created a Trading Program which produces superior risk-adjusted returns in any market while reducing the volatility of such returns in any one cycle.

  • On-going real time portfolio risk analysis
  • Strict position limits used to ensure margin compliance at every phase of trade cycle for Options positions
  • Strict stop loss and trailing stop strategy used for Futures trades to limit impact of adverse market moves
  • Automatic hedging algorithms employed to offset impact to Options positions during stressful market conditions
  • Technical market cycle analysis used to shift trading strategies with respect to current market conditions

Michael Reznick is the founder and Managing Partner of GNE. Mr. Reznick has been managing Futures and Commodities trading programs since 2004 and has been registered with CFTC and a member of NFA since June of 2006. Throughout his professional career Mr. Reznick has been working on combining technical and statistical analysis of financial markets with computer based modeling and electronic trading to produce consistent returns in any market cycle while minimizing ill effects of human psychology during difficult market conditions. In 2011 Mr. Reznick developed, and started trading the S&P Options and Futures program currently used by GNE. Alex Trosman is the Investment Strategist and Trader of GNE. Mr. Trosman started his trading career by successfully executing ultra-short-term trading strategies, which he developed, using Index Futures Contracts. Using his computer programming skills and deep understanding of Futures Markets Mr. Trosman has developed “automatic trading” strategies used by GNE Management to take advantage of directional trading opportunities and hedging for Options strategies.


  • Trading Methodology
    90% Systematic
    10% Discretionary
  • Style Sub-Categories
    Momentum
    Option Writer
    Option Spread
    Other Option Strategy
    Volatility
    Mean Reversion
  • Trading Style
    20% Trend Following
    80% Contrarian
  • Market Allocation

  • Holding Period
    50% Medium Term
    40% Short Term
    10% Intraday
  • Sector
    US
    Contracts
    Futures
    Options

Performance Since December 2013

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2017 2.84% -3.24% 5.11% 1.52% 1.69% 1.07% 0.70%   9.9% -3.24%
2016 0.31% 1.04% -1.96% 2.68% 3.29% 2.50% -2.17% 3.99% 2.67% 0.56% 4.44% 0.35% 18.91% -2.17%
2015 1.29% 1.94% 3.09% 1.72% 1.69% 1.14% 3.23% -8.87% 8.81% -0.94% 6.67% 2.17% 23.07% -8.87%
2014 5.43% 4.82% 2.41% 6.10% -0.32% 0.64% -3.56% 5.85% -3.58% 1.98% 0.53% 5.17% 27.85% -3.58%
2013  -0.21% -0.21% -0.21%

Years20132014201520162017 YTD
ROR-0.21%27.85%23.07%18.91%9.90%
Max DD-0.21%-3.58%-8.87%-2.17%-3.24%


PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING. THERE IS UNLIMITED RISK OF LOSS ASSOCIATED WITH WRITING SHORT OPTION CONTRACTS.

Program Information
  • Start Date: Dec-2013
  • New Money: Yes
  • Min Investment: $200,000
  • Fund Minimum: $0
  • Notional Funds: Yes
  • NFA Member: Yes
  • NFA Number: 0466671
  • Currency: US Dollar
  • AUM:5 $18,200,000
  • Annual CROR:1 : 21.65%
  • Worst Drawdown:2 -8.87 %
  • Losing Streak:3 0.00 %
  • Sharpe Ratio:4 1.77
  • Calmar Ratio:6 2.36
  • Margin:7: 10% - 35%
  • Mgt Fee: 0.00%
  • Incentive Fee: 25.00%
  • Other Fees: Fees paid Monthly
  • Avg Comm:8 $5 per round trip
  • Max Comm:9:
  • Round Turns:10 2,500
Additional Information
  • Other Memberships: None Listed
  • Correlations: AG CTA Index: 0.191 | AG Systematic CTA Index: 0.137 | Option Writer Asset Weighted Index: 0.391 |
  • Track Record Prepared By: ACCPA

  • 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.