Managed Futures Database, Resource & Tools

Program Details

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Monterosso Investment Management Company 

Monterosso Short-Term Managed Futures

Manager: Ryan Deming

Address: 4010 Palos Verdes Drive North, Rolling Hills Estates, CA, 90274, U.S.A.

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:May 25, 2008
AUM:$7,507,050
QEP:Yes
Incentive Fee:20%
Annual Mgt Fee:2%
Min Investment:$250,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:69.27%74.34%
Annual ROR:13.18%13.97%
YTD:0.00%7.90%
1 Year:0.00%15.09%
Alpha:0.26
Beta:0.00
Statistics Program S&P 500
Average Monthly Gain:3.07%3451.35%
Average Monthly Loss:-1.13%-3.41%
Winning Months:2738
Losing Months:2413
Current DD:6.632.07
Max DD:7.0942.70
Sharpe Ratio (RF 1%):0.99
Annualized Std Dev:12.26

Methodology

Discretionary:0%
Systematic:100%

Strategy

StrategyMulti-Strategy
DirectionalLong / Short
Holding PeriodIntraday
---------------------------
Mean Reversion:5%
Momentum:95%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
2012-0.210.03-0.26-0.12-1.580.10-2.71-4.69
2011-0.461.04-1.45-1.27-2.51-2.03-0.025.162.141.75-2.430.400.04
20100.410.92-0.100.813.01-1.191.630.990.46-0.270.35-0.157.03
20095.240.019.09-1.672.06-0.09-0.79-1.10-0.283.33-1.08-0.1814.93
20081.791.07-5.160.309.5413.9110.516.9544.32

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

The Short-Term Managed Futures Program is a systematic, multi-strategy program that is designed to be negatively correlated with the S&P 500. The Programs S&P 500 correlation objective is -0.50. We trade only one instrument: the E-mini S&P 500 futures contract. All positions have an intra-day holding period. Since we do not hold positions overnight, there is no exchange-mandated margin requirement on our trades.
We use max leverage of 200% of nominal equity, but average leverage of only 20% of nominal equity. The Program trades infrequently. Our strategies generate highly selective entry signals because we want to reduce the incidence of losing trades. Also, we use volatility-adjusted stops to limit the magnitude of any remaining losses.

Company Info

Monterosso Investments is a CFTC-registered Commodity Trading Advisor (CTA) and Commodity Pool Operator (CPO).

Our offices are located on the Palos Verdes Peninsula, just a few miles away from the Pacific Ocean.

We trade a systematic managed futures program that is designed to perform well in any market conditions. Past performance is not necessarily indicative of future results. The Program is a speculative investment designed for sophisticated investors who are able to bear a loss of their capital contributions and who can accept a high degree of risk in their investments.

Manager Info

Ryan Deming Portfolio Manager
Ryan graduated from UCLA in 1998 with a Bachelor of Arts in Philosophy. In 2002, he earned a Juris Doctor and Masters in Business Administration from the University of Southern California. While he was still at USC, Ryan began researching corporate executive compensation, and his research eventually
bore a trading strategy. After he graduated, Ryan turned to Mark for help with a statistical analysis of the strategy. Their collaboration was the precursor to Monterosso Investment Management Company, LLC. Ryan now has six years of
trading, risk management, and modeling experience, and moreover, six years of hedge fund and CTA administrative and operations experience.