OBJECTIVE

To produce low-correlation returns using a seasonal approach to futures 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

  • The trading strategy is to trade futures contracts primarily using seasonal spreads in a diversified manner.

    Listed below are eight major categories with some of their respective individual futures contracts that are 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: Soybeans, Soy Meal, Soybean Oil, Corn and Wheat

Indices: S&P 500, Dow Jones Industrial Average, Nasdaq 100

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

  • 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.

 

Though seasonal patterns exist, taking advantage of them in futures is not so simple, as seasonal patterns are well-known by producers and buyers. As a result, futures prices typically have already factored in the seasonal aspects of supply and demand. Examples of seasonal price moves are not meant to imply that such moves or conditions are common occurrences or likely to occur. No representation is made that the Bensboro Companies will achieve its objectives or avoid substantial losses.