Strategy SP Trader
SP Trader has developed and utilizes technology that takes positions in financial futures markets through a proprietary and fully automatic trading system. The system is quantitative, non-discretionary and neutral. The system is designed to ensure minimal draw downs by being correct a high percentage of the time, generally with a profit factor of 2.5. It takes advantage of opportunities in futures in both rising and falling markets and has no bias to either. SP Trader utilizes futures on markets which remain diversified by using a multi-dimensional approach comprised of lowly correlated strategies across different time frames and logics.
Cumulative Return of $1,000
Comparative Performance (January, 2002 – November, 2005)
| Description | SP Trader Equity Fund |
S&P 500 (w/div) | MSCI EAFE |
| Annualized Simple Return | 71.9% |
6.0% |
9.0% |
| Annualized Standard Deviation | 13.0% |
14.2% |
14.9% |
| Daily Standard Deviation | 0.9% |
1.2% |
1.2% |
| Annualized Sharpe (2.0%) | 5.5 |
0.3 |
0.5 |
| Annualized Sortino (2.0%) | 6.9 |
1.1 |
2.1 |
| Cumulative Simple Return | 462.01% |
22.2% |
31.8% |
| Average Monthly Return | 7.87% |
0.6% |
0.8% |
| Worst Drawdown | -0.4 |
-10.9 |
-25.4 |
Number of Months in WorstDrawdown |
1.0 |
1.0 |
4.0 |