Dubia Capital

Index Futures Program (SP500)

The program is technical in nature and 100% systematic, with systematic consideration shown to scheduled fundamental data releases. The program’s highly diverse decision routines are weighted equally among trend-following, counter-trend, pattern recognition, seasonal and counter-seasonal logic sets. The program seeks to generate returns trading the day-to-day price fluctuations of the S&P 500 index. When a signal is generated the program takes a naked position in the associated futures market, typically for a period of less than twenty-four hours. No options or spreads are utilized. The program is in no way designed to track the performance of the S&P 500. Correlation to U.S. stock indices or any other investment program not designed with similar methodology, goals and execution will be near zero over time. The program is equally likely to be long or short, and averages one trade per trading session. The program has an active position in the market roughly 60% of the time. Margin utilization per position is generally 5% to 15% of account equity, with an extreme maximum of less than 20%. Program participation will be capped at fifty million dollars, although capacity is several times this amount.