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Program Details

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Bensboro Advisors, LLC 

Bensboro Seasonal Spread Trading Program

Manager: Matt Trump

Address: 120 E Basse Rd Ste 102, San Antonio, TX, 78209-8356, U.S.A.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:Jan 1, 2015
AUM:$4,556,196
QEP:Yes
Incentive Fee:20%
Annual Mgt Fee:2%
Min Investment:$500,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:18.97%88.06%
Annual ROR:2.24%8.40%
YTD:1.44%-18.76%
1 Year:1.78%-15.22%
Alpha:0.23
Beta:-0.01
Statistics Program S&P 500
Average Monthly Gain:2.13%3.25%
Average Monthly Loss:-2.47%-4.01%
Winning Months:5562
Losing Months:3932
Current DD:14.8518.76
Max DD:19.3224.77
Sharpe Ratio (RF 1%):0.13
Annualized Std Dev:9.86

Methodology

Discretionary:20%
Systematic:80%

Strategy

StrategySingle Strategy
DirectionalLong / Short
Holding PeriodLong & Short Term
---------------------------
Fundamentals:5%
Pattern Recognition:10%
Quantitative:80%
Technical Analysis:5%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
20222.13-0.70-3.865.941.072.500.27-4.99-1.671.201.44
20212.05-2.610.980.76-1.81-2.910.95-2.780.30-2.63-1.860.33-9.02
20202.922.150.534.31-1.52-0.731.33-1.96-2.81-1.97-1.301.021.71
20191.983.395.69-0.513.330.340.822.27-2.050.332.041.3120.41
20180.751.160.42-0.252.750.221.202.970.744.571.180.4117.25
20172.82-0.68-6.847.08-1.45-5.03-4.87-0.90-4.12-0.182.310.78-11.30
2016-6.34-3.562.18-3.437.06-0.822.874.240.912.150.80-2.452.86
20153.083.900.76-3.17-0.27-1.16-3.44-1.23-4.74-2.653.244.61-1.61

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

OBJECTIVE: To produce low-correlation returns using a seasonal approach to futures spread trading.

PHILOSOPHY: We believe futures generally provide low correlation compared to other asset classes. Spreads generally provide even lower correlation to other asset classes - even when compared to most managed futures strategies which are typically trend-following. Seasonality can significantly shape sentiment and short-term flows, thus influencing the market over the short-term. Diversification across many categories and instruments generally results in risk mitigation.

STRATEGY: The trading strategy is to trade futures contracts using seasonal spreads, in a diversified manner. No equity index futures, crypto-currency futures, options on futures, or individual security futures will be used.

PROCESS: We target total margin commitments generally between 5-20% of assets, with a target of 12.5%. We typically employ loss limit targets on individual spread positions and maximum allocations for each category. We use spreads across a wide variety of instruments and categories with varying time horizons and sides (bull, bear, and inter-commodity spreads) in an attempt to aid in risk mitigation through diversification.

Company Info

Bensboro Advisors, LLC (the "Trading Advisor") was organized in September 2014 as a Texas Limited Liability Company. It is registered with the Commodity Futures Trading Commission (“CFTC”) as a Commodity Trading Advisor ("CTA"), and it is a member of the National Futures Association ("NFA").

Manager Info

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