2020 CTA Challenge Top 5

Discretionary Global Macro Program

Methodology: Discretionary
Strategy: Macro / Fundamental
Sub-Strategy: N/A
Market Focus: Commodities

Strategy Description

This program trades primarily in futures spreads or in futures and options spreads. The program seeks to capture profits based on the Advisor’s assessment of the relative value of two related agricultural futures or options contracts. The trading method is proprietary, and uses supply and demand analysis and seasonal trend analysis, among other strategies. The firm employs a fundamental discretionary trading style, drawing upon such considerations as supply/demand analysis, seasonal patterns, weather forecasts, and historical price/use ratios. FSCC attempts to control risk by utilizing spread trades, a low margin-to-equity ratio, option volatility calculations and other proprietary techniques. Trade duration may vary from a few days to several months, although most trades tend to be relatively long-term.

General Information

Management Fee: 0.00%
Incentive Fee: 20.00%
Strategy AUM: $22,466,547
Firm AUM: $22,466,547
Typical Trade Duration:  
Round Turns per Million:  1,200
Typical Margin-to-Equity: 10
Managed Account Minimum: $500,000

Performance Statistics

Date Range: 03/05 – 01/21
Annualized ROR: 6.95%
Standard Deviation: 7.52%
Maximum Drawdown: -12.48%
Sharpe Ratio (0% RFR): 0.92
Correlation to S&P 500: 0.14

Performance Comparison

Date Range: 02/05 – 12/20

performance chart 32109

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

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This Report was prepared by Coquest Advisors and is furnished to the recipient for informational purposes only and should not be construed as a solicitation to invest with the commodity trading advisor (“CTA”) described herein. The information in this Report is qualified in its entirely and limited by reference to the CTA’s Disclosure Document. The information contained in this report is privileged and confidential and may not be reproduced or circulated to any person without the prior written consent of Coquest Advisors. Efforts are made to verify the accuracy of the information provided in this report, but the data cannot be guaranteed to be reliable at all times.