Centurion Investment Management
Centurion Diversified 2X (Composite Program)
Methodology: Systematic
Strategy: Other Technical
Sub-Strategy: Ultra Short Term
Market Focus: Diversified
Strategy Description
The Centurion Diversified Program employs an ultra short-term pattern recognition strategy, designed to capture both momentum and mean reversion moves across time frames ranging from 1 hour to several days. The manager employs dozens of unique model types, including moving averages, breakouts, price gaps, support and resistance lines, etc. The strategy trades a broad and diverse group of markets, including equity indices, interest rates, currencies, and commodities.
Risk Management
Risk is managed primarily via a combination of volatility targeting and stop loss limits. The strategy targets a long term volatility level of 5-6%, with individual position sizes weighted equally on a volatility adjusted basis. All trades have multiple exits, including stop loss limits, time stops, and profit targets. At the portfolio level, the manager employs a daily stop loss limit of 3% and monthly stop loss limit of 10%, at which level all trading would cease.
General Information
Management Fee: 2.00% Typical Trade Duration: 6 Hours
Performance Fee: 20.00% Round Turns per Million: 5,000
Manager Assets: $10,000,000 Typical Margin‐to‐Equity: 2%
Strategy Assets: $0 Managed Account Minimum: $10,000,000
Performance Statistics
Date Range: 08/12 – 12/18 Maximum Drawdown: -23.76%
Annualized ROR: 0.04% Sharpe Ratio (0% RFR): 0.01
Standard Deviation: 7.04% Correlation to S&P 500: -0.13
Disclosures
This Report was prepared by Coquest Advisors and is furnished to the recipient for informational purposes only and should not be construed as a solicitation to invest with the commodity trading advisor (“CTA”) described herein. The information in this Report is qualified in its entirely and limited by reference to the CTA’s Disclosure Document. The information contained in this report is privileged and confidential and may not be reproduced or circulated to any person without the prior written consent of Coquest Advisors. Efforts are made to verify the accuracy of the information provided in this report, but the data cannot be guaranteed to be reliable at all times.
Coquest Strategy Summary · Centurion Investment Management
Coquest Advisors · 12222 Merit Dr. Suite 1130 · Dallas, TX 75251 · coquestadvisors.com · October 2019
This material is provided as is for informational purposes only and may contain opinions which are solely those of its author. This material is not a solicitation, nor an offer to sell or a recommendation to buy a security. Past performance is not necessarily indicative of future results.
