Tracking CTAs since 1994
CTA Profiles
Tracking CTAs since 1994
Principal(s): M. Kelly Farrell & Albert L. Hu
Strategy: Trend / Option Writing / Indexes
Request Disclosure Document
Premium Capture System: Within this program, DCM will also write covered and/or uncovered options to capture premiums to increase the potential profits. (Option positions may also increase the risk of market exposure from time to time.) Each month puts and calls will be written - the goal being to capture the premiums either by letting the written options expire or by purchasing them back at lower price.
The Volatility Index (also known as the VIX) will be used to determine the number of options to sell and what strike prices to be utilized. Strict risk controls will be in place to limit the downside risks and achieve a desirable risk/reward ratio.
Use of Trend-Following Analysis
The trend following portion of the program may utilize sort-term, medium-term or long-term positions. The program may trade both the long and short sides of the market. In its evaluation of the markets, DCM employs a trend-following strategy. One method of successful speculative commodity trading depends upon establishing a position and then maintaining the position while the market moves in a favorable direction. The trader then seeks to exit the particular market and may establish reverse positions when the initial trend either does not materialize or reverses. Trading will not typically be successful if the particular market is moving in an erratic and non-trending manner. Because of the nature of the commodities markets, there will be frequent false-trends. A pure trend-following trading system, method, strategy or model will never direct market entry or exit at the most favorable prices. Rather, this type of trading method seeks to close out losing positions and to hold portions of profitable positions for as long as the trader determines that the particular market trend continues to exist and liquidates when the trend reverses. As a result, the number of losing transactions can be expected to exceed the number of profitable transactions. However, if the approach is successful, these losses should be relatively smaller and should be more than offset by a few larger gains.
Use of Stock Index Options
The option trading for this program is based primarily on writing out-of-the-money call and put options with the expectation that the options will either be bought back at a lower price or expire. In order to efficiently control risk, based on a proprietary risk control system developed by Mr. Hu, the trader will roll out of positions either vertically (to a further month) or diagonally (further out-of-the-money), as determined by current market conditions. From time to time, options may also be rolled closer to the underlying futures price if the perceived risk/reward is favorable. Technical analysis, chart reading and pattern recognition are used to determine which options to write for each monthly cycle. Occasionally, options may be purchased to either hedge positions or speculate on substantial movement in the underlying stock index.
N/A
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 1.47% | -1.08% | 0.37% | -1.08% | ||||||||||
| 2024 | -0.52% | 2.42% | 1.42% | -4.68% | 4.08% | 2.39% | 0.63% | -9.58% | 1.54% | -0.71% | 2.17% | -3.22% | -4.78% | -9.85% |
| 2023 | -0.64% | -1.66% | -0.53% | 1.11% | 0.10% | 1.94% | 1.51% | -1.32% | -2.27% | 0.28% | 2.60% | 2.37% | 3.41% | -3.55% |
| 2022 | -7.08% | -0.29% | -1.22% | -1.18% | 3.13% | -4.63% | 4.90% | -1.28% | 1.70% | -0.64% | -1.30% | -0.66% | -8.73% | -11.05% |
| 2021 | -0.40% | 1.79% | 0.57% | 2.81% | 0.58% | 1.37% | 1.00% | 1.60% | -2.77% | 4.14% | 0.09% | 2.38% | 13.8% | -2.77% |
| 2020 | 0.82% | -5.09% | -3.21% | -0.69% | 1.24% | -0.17% | 4.18% | 3.79% | -3.51% | 2.19% | 1.48% | 2.76% | 3.36% | -8.77% |
| 2019 | 3.99% | 3.74% | 1.43% | 3.08% | -6.77% | 6.85% | 1.53% | -6.99% | 0.21% | -1.74% | 0.52% | 3.16% | 8.33% | -8.42% |
| 2018 | 4.52% | -5.28% | 0.80% | 1.45% | 1.65% | 1.21% | 2.39% | 3.04% | 0.61% | -5.41% | 0.44% | -8.06% | -3.44% | -12.65% |
| 2017 | 1.38% | 2.48% | 0.44% | 0.55% | -0.08% | 0.61% | 1.82% | 0.58% | 1.63% | 1.82% | 2.44% | 1.11% | 15.78% | -0.08% |
| 2016 | -10.44% | -0.06% | 3.70% | 0.57% | 2.28% | 1.79% | 2.77% | 0.32% | 0.82% | -0.87% | 0.18% | 0.68% | 1.02% | -10.49% |
| 2015 | -2.12% | 6.09% | -0.71% | 1.97% | 0.30% | -0.64% | 1.76% | -5.33% | 1.12% | 3.12% | 1.10% | 1.11% | 7.59% | -5.33% |
| 2014 | -3.71% | 4.89% | 1.91% | 1.78% | 2.57% | 1.87% | -1.43% | 5.30% | 0.42% | -1.65% | 2.17% | -0.81% | 13.73% | -3.71% |
| 2013 | 4.03% | 0.59% | 1.94% | 2.37% | 1.47% | -0.76% | 4.93% | -1.43% | 4.43% | 2.99% | 1.09% | 2.22% | 26.42% | -1.43% |
| 2012 | 2.80% | 4.43% | 3.89% | 0.98% | -0.61% | 3.90% | 0.38% | 1.16% | 1.91% | 1.79% | 1.46% | -0.14% | 24.14% | -0.61% |
| 2011 | 1.43% | 2.79% | 2.76% | 2.41% | 0.05% | -2.53% | -2.34% | -3.91% | 2.82% | 5.71% | -0.40% | -0.31% | 8.39% | -8.53% |
| 2010 | 0.31% | -0.03% | 7.40% | 0.38% | -7.37% | -3.72% | 5.77% | -0.04% | 1.44% | 3.37% | 1.12% | 3.80% | 12.2% | -10.81% |
| 2009 | 2.32% | 2.24% | 1.77% | 6.46% | 0% | |||||||||
| Years | 2009 | 2010 | 2011 | 2012 | 2013 | 2014 |
|---|---|---|---|---|---|---|
| ROR | 6.46% | 12.20% | 8.39% | 24.14% | 26.42% | 13.73% |
| Max DD | 0.00% | -10.81% | -8.53% | -0.61% | -1.43% | -3.71% |
| Years | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 |
|---|---|---|---|---|---|---|
| ROR | 7.59% | 1.02% | 15.78% | -3.44% | 8.33% | 3.36% |
| Max DD | -5.33% | -10.49% | -0.08% | -12.65% | -8.42% | -8.77% |
| Years | 2021 | 2022 | 2023 | 2024 | 2025 YTD |
|---|---|---|---|---|---|
| ROR | 13.80% | -8.73% | 3.41% | -4.78% | 0.37% |
| Max DD | -2.77% | -11.05% | -3.55% | -9.85% | -1.08% |
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.