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Trading Strategy: S-Term / Systematic / Treasury & Equities
Program Description: The Private Client Institutional Program seeks to deliver high absolute returns by applying intraday momentum and reversal strategies to the S&P 500 e-mini futures market. It utilizes short term, systematic technical models to capitalize on directional moves in the equity futures markets.
Investment Information
Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
---|---|---|---|---|---|---|---|---|---|---|---|---|
2019 | 0.54% | 0.28% | -0.92% | 0.37% | -1.65% | -1.54% | -0.45% | 1.48% | -1.31% | 1.88% | 0.09% | 0.60% |
2020 | 4.20% | 0.13% | -0.61% | -0.29% | -2.33% | 4.92% | -3.81% | 0.01% | -0.42% | 0.96% | -0.47% | -0.94% |
2021 | 3.05% | 0.42% | -0.31% | 1.43% | -0.95% | 0.09% | 2.23% | -0.38% | 1.25% | 0.57% | -3.15% | 1.65% |
2022 | 1.85% | -0.13% | 1.66% | 2.79% | -1.74% | 1.15% | -1.69% | -2.20% | -0.28% | 5.56% | -1.02% | 1.61% |
2023 | -2.36% | -1.22% | 1.75% | 0.18% | -0.15% | -1.88% | -0.68% | -1.49% | 0.82% | -2.73% | 0.97% | -1.47% |
2024 | -0.22% | -0.46% | -0.94% |
2019 | 2020 | 2021 | 2022 | 2023 | 2024 YTD | |
---|---|---|---|---|---|---|
ROR | -0.70% | 1.04% | 5.91% | 7.53% | -8.06% | -1.61% |
Max DD | -4.13% | -4.64% | -3.15% | -4.71% | -8.06% | -1.61% |
+++ Accounting Notes: When calculating the yearly rate of return the Advisor resets the nominal value at the beginning of each month and as a result the yearly return is computed as an addition of all months and is not compounded.
Performance through May�19 is inclusive of both the S&P emini and the Ten-Year treasury futures markets. Performance since is exclusively the S&P emini. Between February 1, 2010 and June 30, 2019 R Best served as a trade manager for Hehmeyer Capital Management, LLC (formerly Kottke Associates, LLC). Hehmeyer Capital Management, LLC was the CTA of record for the Hehmeyer Systematic Treasury and Equity program and is a separate entity from the Advisor. R Best, LLC acted exclusively as its trade manager . Since July 1, 2019 R Best, LLC has acted as CTA of record for the Private Client institutional Program (formerly Hehmeyer Systematic Treasury and Equity program). R Best Private Client Institutional Returns are based on trading of customer accounts. This in-cludes $500k of proprietary funds through Jul’20. No material difference was made to perfor-mance as a result of these proprietary funds being included or subtracted. Performance through May’19 is inclusive of both the S&P emini and the Ten-Year treasury futures markets. Performance since is exclusively the S&P emini.
An Important Note on the Start Date and End Dates of this Report. If the Start Date of this Report Predates the Inception of the Program, the Maximum Drawdown from Inception may be larger than indicated in this report. The Inception of this program is Jan 2014
*** Historical Drawdowns & Recoveries: The drawdown begins in the month listed as start. The length in months of the drawdown is listed under length. The recovery begins in the following month, and the length of the recovery period is listed under recovery. The date listed as end is the month that the program recovered from the drawdown.
Statistical Notes
1. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of
2019-01-31 to 2024-03-31
2. The Compound Annual ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth.
3. Downside Deviation uses a 5% Minimum Acceptable ROR
4. Sharpe Ratio uses a 1% Risk Free ROR
5. Sortino Ratio uses a 5% Minimum Acceptable ROR
6. Calmar Ratio Uses last 36 months of Data
7. Sterling Ratio uses last 36 months of Data
8. The hypothetical growth of $1,000 VAMI
ROR = Rate of Return
AG CTA Index: The Autumn Gold CTA Index is a Non-Investable Index comprised of the client performance of all CTA programs included in the AG database and does not represent the complete universe of CTAs. CTA programs with proprietary performance are not included. Monthly numbers are updated until 45 days after the end of the month. Investors should note that it is not possible to invest in this index.
SP 500 TR: The S&P 500 indices are designed to reflect all sectors of the U.S. equity markets. The S&P 500 includes 500 blue chip, large cap stocks, which together represent about 75% of the total U.S. equities market. Companies eligible for addition to the S&P 500 have market capitalization of at least US$3.5 billion. The TR Index accounts for the reinvestment of dividends.
This report has been prepared from information provided by the Trader and is believed to be reliable. This report should be read in conjunction with the Trader's Disclosure Document or Fund's Offering Document.