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Senaca Capital LLC - Oceanaa Program



Principal(s): Martin Delahunty
Strategy: Pattern Recognition / Short-Term / G10 Currencies
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Statistics & Program Information

Mar Return   0.14% Worst Drawdown (2)    -3.99% Minimum Investment   $82,500
YTD Return   0.61% Losing Streak (3)    0.00 % AUM (5)   $742,500
Annual CROR (1)   12.12 Sharpe Ratio (4)   1.91 Calmar Ratio (6)    18.12
Trading Methodology
80% Systematic
20% Discretionary
 Style Sub-Categories
Pattern Recognition

 Trading Style
100% Pattern Recognition
Market Sector
100% Currencies
 Holding Period
70% Short Term
30% Intraday
 Sector
US
Contracts
Futures
Start Date   Jan-2019 Currency   US Dollar Margin (7)   8-20%
New Money   Yes AUM (5)   $742,500 Management Fee    1%
Min Investment    $82,500 Annual CROR (1)   12.12 Incentive Fee    20%
Fund Minimum    $0 Losing Streak (3)    0.00 % Other Fees   None
Notional Funds    Yes Worst Drawdown (2)    -3.99 % Avg Comm (8)   
NFA Member    Yes Sharpe Ratio (4)    1.91 Max Comm (9)   
NFA Number    0509058 Calmar Ratio (6)    18.12 Round Turns (10)    8,800
Starting Date:  Jan-2019 Currency:  US Dollar
Open to New Investors:  Yes Current Assets:  $742,500
Open to US Investors:  Yes Annual CROR:  12.12%
Minimum Fund Investment:  $0 Worst Monthly Drawdown:  -3.99
Minimum Managed Account:  $82,500 Current Losing Streak:  0.00 %
Domocile:   Calmar:  18.12
Subscriptions:  N/A Sharpe Ratio:  1.91
Redemptions:  N/A US Attorney:  Not Listed
Lock Up:  N/A Offshore Attorney:  Not Listed
Hurdle Rate:  N/A Administrator:  Not Listed
Administraton Fee:  0.00% Prime Broker:  Not Listed
Management Fee:  0.00% Auditor:  Not Listed
Incentive Fee:  0.00% NFA Member:  Yes
Other Fees:  None FINRA Member:  No
Other Memberships:  None
Type of Fund:
 Domicile:
 Strategy:
Track Record Prepared By: Lisa Casagni, CPA
Correlations: AG CTA Index: -0.043              AG Systematic CTA Index: -0.027             

P - Proprietary Trading Results * C - Client Trading Result * P&C - Combines Client & Proprietary Trading Results (the accounting notes will identify the time frame for each.

1. Rates of Return: Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on a Non-Compounded basis. This would occur when a Manager trades based on account unit rather than on account equity.

The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. The Annual Rate of Return ("Annual ROR") is the annualized Mean Return.

2. The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value.

3. Start & End Dates: Indicates the Start and End Dates of the Worst Peak-to-Valley Drawdown.

4. The Current Losing Streak ("Losing Streak") represents the extent of the Advisor's current drawdown.

5. Annualzied Standard Deviation is one way to look at consistency of returns. It measures the degree by which the monthly returns vary from the average (mean) return.

6. Downside Deviation is a measure of downside volatility. It only considers those monthly performance results that are less than the monthly Minimum Acceptable Rate of Return.

7. The Sharpe Ratio is a risk-adjusted ratio that rewards consistency of returns. Traders are penalized for volatility regardless of whether it is on the up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.

8. The Sortino Ratio is a risk-adjusted ratio. The higher the number the better. Results are dependent upon the Minimum Acceptable Rate of Return (currently set at 5%.

9. The Sterling Ratio is a risk-adjusted return measurement calculated by dividing the Annualized Compound ROR by the Average Yearly Maximum Drawdown less an arbitrary 10%. The Sterling Ratio is normally calculated using the last 36 months of data.

10. The Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.

11. The Omega Function accounts for the non-normal distributions of returns and takes into account the investor's preferences for loss and gain. Omega is computed directly from the returns distribution and measures the total impact of the moments instead of each one of them individually.

12. Minimum Investment represents the minimum account size.

13. Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.

14. The Number of Winning Months represents the months with positive return.

15. The Number of Losing Months represents the months with negative return.

16. The Percentage of Winning Months represents the % of winning months.

17. Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.

18. Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account.

19. Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly.

20. Maximum Commisions ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

Trading Description, Risk Strategy & Background

Trading Description

The Oceanaa Futures program is a short-term statistical pattern recognition strategy. The program only trades one derivative of one specific pattern and is unique to the G10 currency markets. We have studied over 100 years of G10 data in all market conditions and this pattern has emerged with enough frequency to trade. We trade positions within a strict, established framework and more importantly, manage the risk within defined parameters of the performance envelope of the Ascinaa program. The Ascinaa program has always been heavily bias toward managing risk and maintain low drawdowns and low volatility. We have now leveraged this in the Oceanaa program to provide a more dynamic performance profile but nevertheless maintain the same risk management techniques.

We believe we can make positive annual return streams in any given year and in any market condition that presents itself. From historical data and past performance, we have been able to recover from drawdowns expeditiously. The drawdowns in the program have been relatively small and infrequent. With the Oceanaa program, we aim to produce minimum positive returns of 5-7% annually. Our aim is to produce returns averaging 10-15% and believe that is a realistic expectation based on historical data and past performance. That said, there are some years where we feel 18-25% + is obtainable. We believe that most years, our annual drawdowns will be less than 1%. We expect a maximum annual drawdown of approximately 5% but still producing positive returns. On certain intramonth trades this will increase but any drawdowns, should be able to be recovered in a relatively short time frame.

No trading decisions are executed based on fundamental analysis of the market. There is a consideration prior to, or during trading positions, times of potential high volatility and fat tail events. These can include, but not limited to, central bank information and speeches, economic news, other economic releases and liquidity. It should be noted that there may be some months where the criteria of the trading program are not met. No trading will be carried out in these months.

Risk Strategy

There is a heavy bias in the program to manage drawdowns and volatility. Through our understanding of the monthly historical data, and past performance, we consider we are able to recover relatively quickly if drawdowns occur in any given month. Within the development, and risk framework of the program, positions are strategically placed concurrent with tight stop loss orders on larger than average margin to equity trades. Some stages will require minor margin requirements and these stop loss orders will have a somewhat different and larger separation.

Background

Accounting Notes:

Hypothetical ProForma Performance Results adjusted for a 1% management fee and a 20% incentive fee from Jan 2019 to Oct 2023 based on the a 4x leveraged version of the Ascinaa Program. The Oceanaa Futures utilises the same risk management framework and architecture as the Ascinaa Program with 4X leverage. Client results starting in November 2023.

Performance

Hypothetical ProForma Performance results are based on 4X leverage results of Senaca Ascinaa program adjusted for a 1% management fee and 20% incentive fee from Jan 2019 to Oct 2023. Client results from Nov 2023.

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2024 0.00% 0.47% 0.14%   0.61% 0%
2023 1.04% -0.08% 1.36% 0.16% 0.20% 0.48% 0.73% -0.08% 1.15% -0.08% -0.44% 1.50% 6.08% -0.52%
2022 -0.01% 0.59% 0.23% 0.48% 2.13% -0.22% 2.42% 0.76% 0.52% -0.08% 0.27% -0.01% 7.27% -0.22%
2021 2.16% -2.86% -1.16% 0.27% 4.21% 0.13% 0.94% 4.14% 0.16% 3.47% 0.13% 0.25% 12.23% -3.99%
2020 0.09% -0.08% -0.08% -0.05% 4.79% 3.01% 0.20% 0.09% 1.05% 2.65% 2.23% 0.13% 14.81% -0.21%
20192.40% 0.02% 1.62% 1.44% 1.83% 0.63% 1.59% 8.27% 1.09% 0.13% -0.01% 2.62% 23.6% -0.01%


HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.

ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.

Annual Performance

Years201920202021202220232024 YTD
ROR23.60%14.81%12.23%7.27%6.08%0.61%
Max DD-0.01%-0.21%-3.99%-0.22%-0.52%0.00%



PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

VAMI, Assets under Management & Worst Drawdown

Chart

Monthly Returns

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RISK DISCLOSURE

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ('FOREX') IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.

THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.

 
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