NDC Mean Reversion FT - A (Extended Markets)
Manager: Jay Laughlin
Address: 150 W Burberry Cir, The Woodlands, TX, 77384, U.S.A.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.
|Inception Date:||Dec 1, 2013|
|Annual Mgt Fee:||2%|
|Average Monthly Gain:||0.17%||2.48%|
|Average Monthly Loss:||-0.41%||-2.02%|
|Sharpe Ratio (RF 1%):||-1.83|
|Annualized Std Dev:||1.84|
|Directional||Long / Short|
|Holding Period||Short Term|
Monthly Returns as Percentage by Year
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.
The objective of the program is threefold:
1) To achieve capital appreciation through a systematic computer generated), diversified trading approach that does not rely upon favorable conditions in any particular market or market direction;
2) To provide investors a "hedge" against benchmarks such as the S&P 500 and traditional commodity trading advisor investment methodologies, in particular, trend following.
3) To minimize client risk through diversification and low margin to nominal funding ratio.
Description of the Trading System.
NDC Mean Reversion FT applies Fourier Transform signal processing to multiple US futures contracts. The strategy's technology identifies short term price waves. NDC utilizes transforms to resolve the amplitude and frequency of these waves, removing white noise (random walk). Mean reversion and inverse mean reversion are employed. Mean reversion is a theory by which prices at amplitude crests and troughs tend to revert to the wave's mean. Positions are of short duration (average 2 days). The strategy supports a very low margin to nominal funding ratio (target average 8%, target maximum 16%). The program attempts to achieve its objective and portfolio diversification through the speculative trading of U.S. regulated futures contracts in markets such as metals, indexes, financial, meats, grains and softs. By diversifying across a wide array of markets, NDA attempts to diminish the importance of any one position in the portfolio. Entry and exit decisions are program controlled and automated.
NDC Mean Reversion FT - A (Extended Markets) Strategy:
Program is designed to provide additional diversification for nominal funding increments of approximately $200,000. The program employs the same algorithm as the NDC Mean Reversion FT - A program except tracking additional markets. The nominal higher funding increment enables participation in markets with higher margin requirements. Markets tracked include Energies, Currencies, Metals (typically Gold), and Agriculture (typically Soybeans). During periods in which the algorithm cannot resolve a sufficient number of markets, other markets may be employed. There is no assurance the Extended Markets program returns will correlate to the NDC Mean Reversion FT - A program. In fact, non-correlation of returns is preferred in a diversified portfolio.
Systematic Investment Approach.
The program employs a "systematic" approach to trading futures contracts. In this context, the term "systematic" implies trading decisions are executed, without discretion, either electronically or in the event of internet disruption, manually based upon the instructions generated by the computer trading system (NDC Mean Reversion FT ) licensed by the Advisor's parent company, NovoDyn Capital Corp. (the "Trading System"). The trading system employs short-term trades using multiple time frames and multiple models (typical durations range from a few hours to ten or more days; average holding period is 2 days). By applying the algorithm to as many futures markets as possible, the Trading System seeks to achieve maximum diversification.
An Emphasis on Risk Management.
Diversification is just one element of the system's risk management mechanisms. The management of risk is an integral part of the Trading System. By executing multiple short duration trades across a variety of strategies and time frames, the program attempts to avoid kurtosis ("fat tail") risk which describes events outside a normal distribution such as market "crashes" or events encountered by firms such as Long-Term Capital Management. Furthermore, the Trading System automatically sets positions based on risk expectations posed by factors such as historical price decline, seasonality, backwardation/contango, volatility, money management and margin.
An Alternative To Traditional Approaches.
Trend-following systems can be excellent investments but are frequently unprofitable for long periods of time in particular markets or market sectors, and sometimes for periods longer than a year. The Trading system offers an alternative (hedge) against common CTA methodologies such as trend following. The system can best be described as a hybrid. By applying a non-directional strategy, the system provides for the capability of producing alpha during sideways markets but under certain circumstances, the system will ignore mean reversion exit signals and allow profits to run (similar to a trend following arrangement). Note, however, there is no assurance the Trading System will achieve low correlation to other approaches such as trend following or be an effective hybrid
NovoDyn Advisors, LLC (NFA ID: 435960) is a Texas limited liability company formed in 2011 and became a member of the National Futures Association ("NFA") in December 2011. It registered with the United States Commodity Futures Trading Commission ("CFTC") as a Commodity Pool Operator ("CPO") in November, 2011 and as a Commodity Trading Advisor ("CTA") in April 2013. Having never accepted commodity pool subscriptions, the firm withdrew as a CPO in May 2013. The firm has been registered with the State of Texas as an investment adviser since January 2011. Additional information on NovoDyn is available at the SEC's website at www.adviserinfo.sec.gov. The searchable IARD/CRD number for NovoDyn Advisors, LLC is 156451. Since its inception, NovoDyn's primary business is the management of automated trading systems created by third parties such as NovoDyn's parent company, NovoDyn Capital Corp.
There have been no material administrative, civil, or criminal actions, whether pending, on appeal or concluded, against Advisors' principals, within the five years preceding the date of this Disclosure Document or at any other time.
The performance of account directed by the Advisor is set forth in our Risk Disclosure Document
Mr. Laughlin, born 1951, is a managing Member and listed principal of NovoDyn Advisors, LLC (November, 2011) and associated person (December, 2011). He is also an NDA Investment Advisor Representative (January, 2011) registered in the State of Texas.
Mr. Laughlin became a partner of Aectra Refining & Marketing (June 1989 - August 1992). With Aectra's permission, he started Ameristar Fuels (1989). Ameristar became one of the largest independent suppliers of jet fuel to airlines and overnight companies in the world. He sold his interest in the firm in March 1997. In April 1997, Mr. Laughlin entered into negotiations resulting in the purchase (January 1998) of Southwest Airport Services (later, Global FBO Holdings) which became the largest U.S. private, single point into-wing supplier of jet fuel to the Department of Defense. During this period (January 1998 - December 2001), Mr. Laughlin served as the company's President and as a consultant to NASA's aviation division in turbine fuel composition and acquisition. As part of Mr. Laughlin work with NASA and the Department of Defense, Mr. Laughlin sold his interest in Global FBO Holdings (December 2001) to lead a team (January, 2002 - December 2009) that commercialized a fuel acquisition platform (serving as President of PerfectStop, Inc. from April 2002 - December 2009) which led to the sale of the product to a large bank. During this time period, Mr. Laughlin continued to pursue his research and consulting work via NovoDyn Capital Corp. (President May, 2001 - present). The firm specializes in the design and implementation of mathematical systems for the algorithmic trading of futures and equities. These products are then licensed to hedge funds, commodity trading advisors (CTAs), registered investment Advisors (RIAs) and commercial hedging operations.
In December 2009, at the request of a NovoDyn Capital Corp.'s client, R2M Quant Fund, LP, Mr. Laughlin served as Director of Trading to the fund's registered investment advisor (HMB Stonebridge) until January 2011 when the client requested Mr. Laughlin and Mr. Thompson form their own RIA, NovoDyn Advisors, LLC. Today, Mr. Laughlin serves as NovoDyn Capital Corp.'s CEO and Advisors' Chief Risk Officer and Director of Trading.