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SOVEREIGN MANAGED FUTURES
Sovereign Domestic Program

  • CTA Name : Sovereign Managed Futures
  • Program Name : Sovereign Domestic Program
  • Start Date : 2005-07-25
  • Trading Strategy
  • Systematic : 100%
  • Discretionary : 0%
  • Fundamental : -
  • Technical : -
  • Diversified Market Strategy : Yes
  • Sector Specific Strategy : -
  • Trade Duration
  • Long-Term : Yes
  • Mid-Term : -
  • Short-Term : -
  • Multi-Term : -
  • Markets Traded
  • Stock Index : Yes
  • Interest Rates : Yes
  • Currencies : Yes
  • Metals : Yes
  • Energy : Yes
  • Grains : Yes
  • Meats : -
  • Softs : Yes

Sovereign Managed Futures

Sovereign Domestic Program


There is no performance data for this program

Our trading philosophy is centered around taking advantage of the fundamental supply and demand forces which act on commodities markets. By quantifying fundamental influences on the market and weighting them appropriately, we feel we can take advantage of long term trends earlier which increases our overall winning percentage of trades. We have developed a statistical model and a trend requirement that is adaptive to changing market conditions. This system, in conjunction with rigorous money management techniques, provides a winning strategy for our clients. We use a proprietary statistical model as an overlay on top of a trend following system to filter trade entries to improve the winning percentage of trades over typical trend following systems. In backtesting, we achieved a winning percentage of 51.7% on long trades over a 10 year period and an overall winning percentage of 43.1% for the same period. This is in line with our goal of achieving a winning percentage of 10 15% higher than typical trend following systems. Once in a trade, we manage the position very similarly to most trend followers, so we expect to achieve similar asymmetrical payoff ratios (the ratio of the size of the gain on the average winning trade to the size of the loss on the average losing trade) to other trend followers



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