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Princeton Investments and Technologies LLC - Commodity Arbitrage Plus Program

Principal(s): Ron Wang
Strategy: Commodity Calendar Spreads & Stock Index Futures Trading
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Statistics & Program Information

Feb Return   5.36% Worst Drawdown (2)    -11.01% Minimum Investment   $150,000
YTD Return   7.33% Losing Streak (3)    0.00 % AUM (5)   $3,242,655
Annual CROR (1)   13.13 Sharpe Ratio (4)   1.25 Calmar Ratio (6)    N/A
Trading Methodology
50% Systematic
50% Discretionary
 Style Sub-Categories
Fundamental
Pattern Recognition
Quantitative

 Trading Style
60% Spread Trading
40% Equity Index Investment & Trading
Market Sector
40% Stock Indices
15% Metals
15% Energies
15% Agriculturals
15% Meats
 Holding Period
30% Medium Term
50% Short Term
20% Intraday
 Sector
US
Contracts
Futures
Start Date   Oct-2019 Currency   US Dollar Margin (7)   60%
New Money   Yes AUM (5)   $3,242,655 Management Fee    0-2%
Min Investment    $150,000 Annual CROR (1)   13.13 Incentive Fee    20%-30%
Fund Minimum    $150,000 Losing Streak (3)    0.00 % Other Fees   None
Notional Funds    No Worst Drawdown (2)    -11.01 % Avg Comm (8)   $1.70 RT + Exchange & Data Fees
NFA Member    Yes Sharpe Ratio (4)    1.25 Max Comm (9)   
NFA Number    0511550 Calmar Ratio (6)    N/A Round Turns (10)    500
Starting Date:  Oct-2019 Currency:  US Dollar
Open to New Investors:  Yes Current Assets:  $3,242,655
Open to US Investors:  Yes Annual CROR:  13.13%
Minimum Fund Investment:  $150,000 Worst Monthly Drawdown:  -11.01
Minimum Managed Account:  $150,000 Current Losing Streak:  0.00 %
Domocile:   Calmar:  N/A
Subscriptions:  N/A Sharpe Ratio:  1.25
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:  2.00% Auditor:  Not Listed
Incentive Fee:  20.00% NFA Member:  Yes
Other Fees:  None FINRA Member:  No
Other Memberships:  None
Type of Fund:
 Domicile:
 Strategy:
Track Record Prepared By: Internally Prepared
Correlations: AG CTA Index: 0.480             

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

Princeton Investments and Technologies ("PINT") uses the Commodity Arbitrage Plus Program ("CAPP") to manage client accounts presently. The CAPP has two sets of strategies, the Commodity Arbitrage Strategy ("CAS") and the Macro Trading Strategy ("MTS"). The CAS trades commodity calendar spread futures while the MTS trades with the stock index futures.

The Commodity Arbitrage Strategy (CAS) grew out of Dr. Wang's proprietary trading experience since September 2003. The program uses statistical methods as well as the trader's experience to identify trading opportunities in commodity calendar spread markets. Calendar spreads are pairs of future contracts of same commodity but with different futures expirations. An example of a calendar spread for WTI crude oil would be long December 2018 WTI crude oil while at the same time short November 2018 WTI crude oil contract. In general we do not trade the directional underlying commodity market unless we have strong signals with conservative risk limits.

The Macro Trading Strategy (MTS) grew out of Dr. Wang's investment experiences. So far we long only the stock index futures but try to avoid relatively large stock market dips such as bear markets in which the major stock index S&P 500 declines over 20%. In the future we may enter into either long or short positions depending on prevailing market conditions.

Risk Strategy

Risk management is essential to capital growth and long-term investment success. It is a cornerstone of the PINT's trading program since inception. We implement stringent risk management from several aspects:

      We have an overall portfolio level stop-loss: If the drawdown reaches the preset maximum of 10%, the entire portfolio is mandated to stop-loss.
      We use low leverage: The total utilized margin is mandated to be under 25% of the portfolio value. Usually the total utilized margin is under 10% of the portfolio value.

The Commodity Arbitrage Strategy ("CAS") trades calendar spreads of many different commodities: The portfolio weight of each position is inversely proportional to its volatility, thus volatile calendar spreads get lower weight. We mandate that we would not commit over 5% of capital on each of the commodity sectors we trade and in general do not commit over 2.5% on each sector. We trade mostly liquid spread markets so that our risk control can actually be achieved if necessary.

The Macro Trading Strategy ("MTS") trades the front month E-mini S&P500 or NASDAQ-100 futures contracts, and so far we have tried to just long the futures. We do not commit over 5% of capital for trading margin and we usually do not commit over 2.5% of capital. We take out the long position as long as we see unfavorable macro market situation.

Background

Dr. Ron Wang founded Princeton Investments and Technologies LLC in 2016 and have traded with the ComArbPlus Program since October 2019. Prior to that, He founded Quantitative Fund LLC in September 2003 and traded all kinds of commodity calendar spreads proprietarily for about 12.5 years. He worked for Merrill Lynch, Lehman Brothers and AIG from 1999-2003. He received a PhD in mathematics at Harvard University and an MS in Computational Finance at Carnegie Mellon.

Accounting Notes:

The Performance shown herein represents Client Performance. For Proprietary Performance results please refer to Princeton Investments and Technologies' Latest Disclosure Document.

Performance

Client Performance since October 2019

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2024 1.87% 5.36%   7.33% 0%
2023 -0.06% -1.42% 3.87% 2.15% 3.60% 2.92% 0.75% -4.26% -0.51% -0.88% 5.75% 4.92% 17.63% -5.59%
2022 -1.88% -0.99% 1.67% 1.11% 1.97% -0.45% 1.81% 2.10% -0.13% 0.05% -0.32% -2.71% 2.11% -3.1%
2021 0.29% -1.34% 1.34% 1.42% 0.13% 1.09% 1.00% 2.33% -1.87% 4.01% 0.25% -3.59% 4.95% -3.59%
2020 2.43% 0.65% 2.72% 3.93% 3.57% 1.82% 4.16% 6.74% -6.73% -4.59% 6.29% 2.79% 25.46% -11.01%
2019  -0.02% 1.12% 0.48% 1.59% -0.02%


Annual Performance

Years201920202021202220232024 YTD
ROR1.59%25.46%4.95%2.11%17.63%7.33%
Max DD-0.02%-11.01%-3.59%-3.10%-5.59%0.00%



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

VAMI, Assets under Management & Worst Drawdown

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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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