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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:$5,658,860
QEP:Yes
Incentive Fee:20%
Annual Mgt Fee:2%
Min Investment:$500,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:27.99%104.19%
Annual ROR:3.92%11.77%
YTD:-0.71%11.93%
1 Year:-6.98%38.10%
Alpha:0.33
Beta:0.03
Statistics Program S&P 500
Average Monthly Gain:2.23%3.06%
Average Monthly Loss:-2.41%-3.48%
Winning Months:4653
Losing Months:3124
Current DD:8.390.00
Max DD:19.3220.00
Sharpe Ratio (RF 1%):0.29
Annualized Std Dev:9.96

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
20212.05-2.610.980.76-1.81-0.71
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 typically are 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

We invest only in spreads that exhibit some seasonal tendencies through the use of futures contracts in eight major categories. Equities, equity futures and/or equity derivatives are not used.

Listed within each category below are some of the respective individual futures used at various times:

Currencies: Australian Dollar, British Pound, Canadian Dollar, Euro, Japanese Yen, and the Swiss Franc

Energy: Crude Oil, Heating Oil, Gasoline, and Natural Gas

Grains: Corn and Wheat

Interest Rates: US Treasury Bills, Notes, & Bonds, and Euro Dollars

Livestock: Feeder Cattle, Lean Hogs, and Live Cattle

Metals: Copper, Gold, Palladium, Platinum, and Silver

Softs: Cocoa, Coffee, Cotton, Orange Juice, and Sugar

Soybean Complex: Soybeans, Soybean Meal, and Soybean Oil

If a spread’s current pattern is similar to its long-term and intermediate-term seasonal patterns we generally expect past patterns may repeat to a high degree of probability based on similar economic and fundamental conditions.

Time targets, rather than price targets, are customarily used to determine optimal entry and exit points for trade execution.

PROCESS

We target total margin commitments generally between 5% - 20% of assets, with a target margin 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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