Bensboro Seasonal Futures Fund LP
Executive Summary
Objective:
To produce low-correlation returns using a seasonal approach to futures spread 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 are typically 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:
* We invest only in spreads that exhibit some seasonal tendencies through the use of futures contracts in eight major categories. Equities, equity futures and/or equity derivatives are not used.
Listed within each category below are some of the respective individual futures 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: Corn and Wheat
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
Soybean Complex: Soybeans, Soybean Meal, and Soybean Oil
* Targets total margin commitments between 10% - 30% of assets.
* Employs loss limit amounts on all individual spread positions, as well as limit
* 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.
THE BENSBORO SEASONAL FUTURES FUND, L.P. IS ONLY AVAILABLE TO RESIDENTS OF THE UNITED STATES OF AMERICA.
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The performance data displayed herein is compiled from various sources, including BarclayHedge, and reports directly from the advisors. These performance figures should not be relied on independent of the individual advisor's disclosure document, which has important information regarding the method of calculation used, whether or not the performance includes proprietary results, and other important footnotes on the advisor's track record.
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