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Advanced Arbitrage Concepts 

Advanced Arbitrage Concepts Account Closed

Manager: Hendrik Steenhuysen

Address: 2010 Montego Ct, Oldsmar, FL, 34677, U.S.A.

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:Aug 8, 2012
AUM:$1,117,000
QEP:No
Incentive Fee:0%
Annual Mgt Fee:0%
Min Investment:$50,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:10.52%67.68%
Annual ROR:14.27%99.20%
YTD:0.00%7.90%
1 Year:0.00%15.09%
Alpha:2.54
Beta:-1.11
Statistics Program S&P 500
Average Monthly Gain:2.04%2.09%
Average Monthly Loss:-1.88%-1.74%
Winning Months:77
Losing Months:22
Current DD:0.871.50
Max DD:2.891.50
Sharpe Ratio (RF 1%):1.14
Annualized Std Dev:11.69

Methodology

Discretionary:35%
Systematic:65%

Strategy

StrategySingle Strategy
DirectionalLong / Short
Holding PeriodLong & Short Term
---------------------------
Arbitrage:100%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
2013-2.893.06-0.870.000.000.00-0.79
20129.021.830.3511.40

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

Financial Engineering and High Frequency Trading have combined to create a completely different trading arena in virtually everything publicly traded such as stocks, bonds, foreign exchange and commodities. This program uses aspects of both to engage in arbitrage trading in the international energy markets. Specifically energy futures contracts listed on The International Commodity Exchange known as ICE and energy futures contracts listed on NYMEX will be traded in this program. Since the program utilizes arbitrage techniques it is always long contracts on one exchange while being short similar contracts on the other exchange and/or vice versa. There may be a fractional amount of a contract net long or short due to rounding because the contract sizes on the two exchanges are not an equal match.
The essence of the program is to attempt to take advantage of both random and structural differences in the price movement in the spread between these contracts as opposed to trading the outright or flat price of the energy contacts. The program uses a mathematical model which reads live price data from the exchanges and creates an index which in turn generates buy and sell signals. Traders review these signals against a list of criteria and then utilize both traditional and high frequency trading venues to enter and exit transactions.

Company Info

Advanced Arbitrage Concepts is a sole proprietor located at 2010 Montego CT, Oldsmar, FL 34677, Tel: (813) 412-1688. The CTA's books and records will be kept at the above address and will be made available for inspection by all federal, state, local, and industry regulators.

Manager Info

Mr. Hendrik Steenhuysen

In September 2002 Mr. Steenhuysen joined Premier Mortgage Funding, a mortgage loan originator, as a loan officer, in February 2003 became a branch recruiter, and in January of 2004 he became National Sales Manager and served in that capacity until July 2007. In January 2007 he joined Manduca Trading LLC, an Introducing Broker. He became registered with the CFTC as an Associated Person and approved as a Branch Manager in January, 2007. He continues to manage the Oldsmar, Florida branch office and trades for individual futures accounts.
Mr. Steenhuysen DBA Advanced Arbitrage Concepts was listed as a principle on December 2, 2011 and registered with the CFTC as a CTA and an associated person on December 7, 2011. Mr. Steenhuysen is a trading principal.