Trading Description

KTS Trading is a technically based mechanical trend following system. The program invests in a balanced portfolio of agricultural, energy, metals, index and foreign exchange futures and forward markets. Utilizing a strict set of fixed fractional and portfolio rules, short term losses are minimized while long term gains are preserved. The Advisor uses price and volume data in every market to identify the start of a meaningful potential price change. The system mechanically buys or sells short these markets as new trends show sings of development. Quite often the system will stay out of the market for a period of weeks or even months if a new signal does not assert itself.

Risk Strategy

The trading program uses a fixed fractional approach to establish position size and initial risk for every new individual position. This involves adjusting the position size and initial stop loss such that the same percentage or fraction of account equity is applied in a systematic and mechanical manner. For every open position, an offsetting stop loss order is generated daily without exception. These orders are then updated and confirmed on a daily basis for every account to reflect current price data.

Background

Bayside Pacific Advisors was founded in June of 2008 by Richard Seapy. He is registered as both principal and associated person with the firm. Since August 2007, Mr. Seapy has operated a pool utilizing the Global Managed Futures System as its strategy. He has been developing trading systems and strategies for over 6 years. Previously, Mr. Seapy has held positions as a market maker, equities principal and portfolio manager. He attended the University of Southern California and graduated with a Bachelor of Science in Business Finance.

Our Investing Program

Starting Date of ProgramJan-2008Sharpe Ratio2.01
Accepting New MoneyYesManagement Fee2%
Round Turns per Million18.000Incentive Fee 20%
Minimum Account Size$50.000Other FeesNo
Currency DenominationUS DollarsReturn since inception58.05%

Monthly Performance (2008 year) Portfolio / Barclay Hedge Fund Index

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
KTS Trading 9.00% 8.68% (14.46%) 5.07% (3.47%) 4.61% 1.49% (1.63%) (2.55%) (1.30%) (0.08%) (1.76%) 1.50%
Barclay Index (3.26%) 1.23% (2.38%) 1.93% 1.82% (1.73%) (2.10%) (1.21%) (6.99%) (8.41%) (2.80%) 0.37% (21.63%)

Monthly Performance (2009 year) Portfolio / Barclay Hedge Fund Index

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
KTS Trading (2.86%) (11.26%) 5.76% 10.55% 18.31% (6.17%) 14.80% (6.34%) 9.94% 7.91% 5.97% 0.07% 51.32%
Barclay Index (0.14%) (1.46%) 2.04% 4.27% 5.57% 0.37% 2.97% 1.78% 3.19% (0.06%) 1.33% 1.84% 23.74%

Monthly Performance (2010 year) Portfolio / Barclay Hedge Fund Index

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
KTS Trading (1.06%) 1.68% 2.42% 2.00% (2.36)% 2.26%
Barclay Index (0.41%) 0.76% 2.82% 1.26% (3.19)% (1.14%)

Post-Modern Portfolio Theory

Risk-Return AnalysisRegression Analysis
Start DateJan-2008Risk Free Rate3.30%
Annualized Return 58.05%Largest monthly drawdown(14.46%)
Mean Monthly Return1.85%Best monthly performance18.31%
Compound Monthly Return1.6%Standard Deviation7.25%
Average Monthly Loss(4.25%)Sortino Ratio (0%)0.40
Average Monthly Gain6.81%Sharp Ratio2.01

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