november 2014 performance report melissinos e trading

NOVEMBER 2014 PERFORMANCE REPORT

November was one of those months where it seemed like every position went in our favor. The deflationary trends in Energy and Metals markets picked up steam, thus benefiting our short positions. Long positions in Bonds and Stocks also produced profits. And let’s not forget the all-star sector of the second half of 2014 - Currencies. The USD continues to receive a bid as markets expect the Fed to wind down their QE operation and raise rates sometime next year. Meanwhile, it looks like Japan is trying to break QE records and Europe may just be getting started with their own QE program.

CommoditiesThe Gold and Silver bubbles continue to unwind. History shows that when bubbles burst, market prices go below where the breakout occurred. If this occurs again, we may see Silver at $5/oz (chart) and Gold at $400 (chart) one day. We remain short both markets as well as Copper.

The downtrend in Crude Oil and the distillates remain in tact. Last week, the decision by OPEC to not decrease production pushed Oil down ~10%. We’re short Energy markets.

We do not hold any positions in the Grains sector. Currently, it looks like the group is trying to find its way - either setting up for another continuation of the downtrend, firming up to bounce off the lows or just hanging out near the recent consolidation. We’ll stay on the sidelines until the trends present a clearer picture.

FinancialsCurrencies remain the darlings of our portfolio. For our first few years of trading, this sector was miserable. We took many consecutive small losses, which was frustrating. But now Currencies have broken out and continued trending. While this is great for our returns, it doesn’t mean we just sit back and relax. No, we still stick to our discipline. In the last couple of weeks, we’ve begun reducing Open Risk across the entire sector. We do this to stem the pain if and when the trends turn against us.

T R A D I N GMELISSINOS

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

OPEN POSITION RETURN & RISK

-3%

-2%

0%

2%

3%

5%

WTI

Bre

ntR

BO

BC

oppe

rG

old

Silv

erC

offe

eC

otto

nSu

gar

AU

DG

BP

CA

DEU

RJP

YN

ZD

CH

FU

SDIt

aly

10Y

5Y T

sy10

Y T

sy30

Y T

syM

SCI E

MI

Han

g Se

ngN

asda

qSP

50

0Fe

eder

Live

Cat

tle

Open PnLOpen Risk

TRADING COMMENTARY

NOV 9.15% YTD 34.06% Inception 41.57%

Copyright © 2014 Melissinos Trading. www.melissinostrading.com

Open Risk is the maximum equity a position could lose.

E

http://www.barchart.com/chart.php?sym=SIH15&t=BAR&size=M&v=2&g=1&p=MN&d=X&qb=1&style=technical&template=

http://www.barchart.com/chart.php?sym=SIH15&t=BAR&size=M&v=2&g=1&p=MN&d=X&qb=1&style=technical&template=

http://www.barchart.com/chart.php?sym=gcg15&style=technical&template=&p=MN&d=X&sd=&ed=&size=M&log=0&t=BAR&v=2&g=1&evnt=1&late=1&o1=&o2=&o3=&sh=100&indicators=&addindicator=&submitted=1&fpage=&txtDate=%23jump

http://www.barchart.com/chart.php?sym=gcg15&style=technical&template=&p=MN&d=X&sd=&ed=&size=M&log=0&t=BAR&v=2&g=1&evnt=1&late=1&o1=&o2=&o3=&sh=100&indicators=&addindicator=&submitted=1&fpage=&txtDate=%23jump

http://www.melissinostrading.com


PERFORMANCE REPORT

Agriculture23%

Currencies26%

Stock Indices11%

Energies11%

Metals11%

Livestock11%

CUMULATIVE RETURNS

PORTFOLIO OPEN RISK & MARGIN/EQUITY

5%

11.5%

18%

24.5%

31%

Jan-13 Mar-13 May-13 Aug-13 Oct-13 Dec-13 Feb-14 May-14 Jul-14 Sep-14

TRADING STRATEGY DESCRIPTION

We execute a long-term trend following program trading a globally diversified portfolio of 36 commodity, stock index, interest rate and currency markets. We intend to follow trends, both up and down, in a disciplined manner seeking above-average growth vs. peers in any 5 to 15 year holding period.

We impose Open Risk limits per position, sector and for the entire portfolio. We expect Open Risk to average 15%, to peak between 30-35% and trough as low as 0% (when holding no positions).

Open Risk is the maximum equity the entire portfolio could lose.

Open RiskMargin/Equity

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD2014 -2.83 6.70 5.26 1.97 -2.82 7.16 -5.94 3.07 8.25 0.99 9.15 34.062013 1.21 1.91 0.91 0.44 3.63 1.28 -0.40 1.39 -1.99 0.61 1.80 1.95 10.292012 -2.05 -0.67 -3.42 1.19 9.41 -6.88 6.80 0.30 -1.71 -6.73 -2.53 -5.81 -12.642011 -1.19 0.24 8.20 8.67 -9.06 1.17 5.51 9.56 -5.65 -6.21 NT NT 9.60

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


November 2014

850

1,012.5

1,175

1,337.5

1,500

Jan-11 Aug-12 Apr-14

Melissinos Barclay CTA Newedge Trend Newedge CTA BTOP 50 $1,415

$998$1,038

$1,046$1,039

E



INVESTMENT OBJECTIVEINVESTMENT OBJECTIVEINVESTMENT OBJECTIVEINVESTMENT OBJECTIVEINVESTMENT OBJECTIVESeeking above-average growth vs. peers in

any 5-15 year holding period.Seeking above-average growth vs. peers in














any 5-15 year holding period.

FIRM FACTSFIRM FACTSFIRM FACTSFIRM FACTSFIRM FACTSFirm InceptionFirm Inception Jan 2011CAGR 9.27%Annualized VolatilityAnnualized VolatilityAnnualized Volatility 16.55%Sharpe RatioSharpe Ratio 0.56Max Peak to Valley DrawdownMax Peak to Valley DrawdownMax Peak to Valley DrawdownMax Peak to Valley Drawdown -22.71%R/T per MillionR/T per Million 350Avg. Margin/EquityAvg. Margin/EquityAvg. Margin/Equity 9%

TRAILING RETURNSTRAILING RETURNSTRAILING RETURNSTRAILING RETURNSTRAILING RETURNS12-Mo Return12-Mo Return 36.67%18-Mo Return18-Mo Return 36.48%24-Mo Return24-Mo Return 39.27%36-Mo Return36-Mo Return 29.17%

CORRELATIONCORRELATIONCORRELATIONCORRELATIONCORRELATIONvs. S&P 500vs. S&P 500 -0.13vs. DJ U.S. Corp Bondvs. DJ U.S. Corp Bondvs. DJ U.S. Corp Bond -0.09vs. MSCI EAFEvs. MSCI EAFE -0.30vs. GSCI TRvs. GSCI TR -0.04

INVESTMENT TERMSINVESTMENT TERMSINVESTMENT TERMSINVESTMENT TERMSINVESTMENT TERMSPrivatePrivate Pool

Min. InvestmentMin. Investment $500K$500K $50KLiquidityLiquidity DailyDaily MonthlyLiquidityLiquidity DailyDaily MonthlyLock-UpLock-Up NoneNone NoneManagement Fees are negotiableManagement Fees are negotiableManagement Fees are negotiableManagement Fees are negotiableManagement Fees are negotiableIncentive Fees are negotiableIncentive Fees are negotiableIncentive Fees are negotiableIncentive Fees are negotiableIncentive Fees are negotiable

PERFORMANCE REPORT

PRIME BROKER #1

ADM Investor Services141 W. Jackson Blvd, #1600A

Chicago, IL 60604(800) 243-2649www.admis.com

PRIME BROKER #2

INTL FC Stone708 3rd Ave, 15th FlNew York, NY 10017

(312) 780-7034www.intlfcstone.com

ADMINISTRATION

Essential Fund Services270 N Avenue, #900

New Rochelle, NY 10801(914) 712-9700

www.essentialfundservices.com

AUDITOR

Alperin, Nebbia Assoc375 Passaic Ave, #200

Fairfield, NJ 07004(973) 808-8801

www.alpscpa.com

LEGAL

Fox, Swibel, Levin & Carrol200 W Madison, #3000

Chicago, IL 60606(312) 224-1228www.fslc.com

CASH MANAGER

Halyard Asset Mgmt50 Main Street, 9th Fl

White Plains, NY 10606(914) 437-5600

www.halyardmgmt.com

FIRM INFRASTRUCTURE

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


November 2014

0

3

6

9

12

15

(+12%)

(12-10

%)

(10-8%)

(8-6%)(6-4%)

(4-2%)(2-0%)

0-2%2-4%

4-6%6-8%

8-10%

10-12%

+12%

MONTHLY RETURNS DISTRIBUTION

http://www.admis.com/home

http://www.admis.com/home

http://www.intlfcstone.com












DISCLAIMER

FUTURES TRADING INVOLVES A SUBSTANTIAL RISK OF LOSSPAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

NT Between November-December 2011, Melissinos Trading transitioned to a commodity pool structure. As a result, no trades or fees were taken. ᴱRepresents estimated not actual performance.

Position profit/losses and exposure percentages above are based on the composite of all currently traded individual accounts and participants in Melissinos-Eupatrid, LP according to the Eupatrid Commodity Program. Position profit/losses and exposure percentages by position may vary between accounts included in the program. Open PnL: The green bars represent the profit and loss estimate every position in the portfolio. Open Risk: The grey bars above zero represent long positions, below zero represent short positions. The size of the bar represents the loss estimate for each position. The Barclay CTA Index is a leading industry benchmark of representative performance of commodity trading advisors. There are currently 551 programs included in the calculation of the Barclay CTA Index for the year 2014, which is unweighted and rebalanced at the beginning of each year. To qualify for inclusion in the CTA Index, an advisor must have four years of prior performance history. Additional programs introduced by qualified advisors are not added to the Index until after their second year. These restrictions, which offset the high turnover rates of trading advisors as well as their artificially high short-term performance records, ensure the accuracy and reliability of the Barclay CTA Index.

An investor cannot directly invest in an index. An index does not reflect fees that may be charged to an investment vehicle that is based on the index. Data is obtained from what Melissinos Trading holds to be reliable sources.

This information is produced by Melissinos Trading, LLC (the "Advisor"). The Eupatrid Commodity Program is managed by the Advisor. The performance presented here accurately reflects the actual net performance of the Eupatrid Commodity Program. The returns above are net of management and performance fees as well as all brokerage commissions, regulatory fees, administration and accounting fees. Performance is based on a composite rather than account by account, which creates an averaging effect on the results. Each individual’s account’s performance is likely to differ from the composite. Material differences among the accounts may be due to several factors including, but not limited to, varying advisory fees and the timing of their payment, brokerage commissions, miscellaneous expenses and the size of the account. In addition, results may vary depending on factors such as the order in which executed trades are allocated among the various accounts and/or the order in which trades for the various accounts are entered, the date the account started trading and the length of time the account was open. As a result of the variables, individual account performance may be more of less favorable than the composite performance herein. No representation is being made that any account is likely to achieve profits and losses similar to those shown. All information contained here, is subject to change without notice. Important information about the Eupatrid Commodity Program including risks, objective, strategy and fees is contained in the disclosure document. This is not and may not be used as a recommendation or a solicitation.

This document contains certain forward looking statements and projections. Such statements and projections are subject to a number of assumptions, risks and uncertainties which may cause actual results, performance or achievements to be materially different from future results, performance or achievements expressed or implied by these forward-looking statements and projections. Prospective investors are cautioned not to invest based on these forward-looking statements and projections. Certain information contained herein has been supplied to the Advisor by third parties. While the Advisor believes such sources are reliable, it cannot guarantee the accuracy of any such information and does not represent that such information is accurate or complete. An investment with the Advisor is speculative, involves a high degree of risk and is intended only for sophisticated investors who are able to bear the loss or more of their entire investment.

THIS MATERIAL IS FOR INFORMATIONAL PURPOSES ONLY. FUTURES TRADING IS SPECULATIVE AND INVOLVES A HIGH DEGREE OF RISK. PLEASE REVIEW MELISSINOS TRADING'S CURRENT DISCLOSURE DOCUMENT FOR A COMPLETE DESCRIPTION OF THE EUPATRID COMMODITY PROGRAM AND IT'S ASSOCIATED RISK.

november 2014 performance report melissinos e trading

Documents