Mehnert Capital Management
Mehnert Diversifed Trading Program
Methodology: Systematic
Strategy: Trend / Momentum
Sub-Strategy: Short Term
Market Focus: Diversified
Strategy Description
The Mehnert Diversified Trading Program employs a time variant systematic trading strategy, designed to capture the bulk of the prevailing market moves regardless of time frame. The manager utilizes multiple proprietary oscillators designed to capture price momentum across a broad and diverse group of markets. The system also incorporates a statistical trade filter, which attempts to avoid taking positions where the likelihood of success is low.
Risk Management
Risk is managed via position sizing and stop loss limits. Positions are sized based upon expected volatility, with a goal of losing no more than 2% on a position during adverse market moves. The strategy also utilizes time based stops, with positions being exited if markets do not behave as expected within a predefined time frame. On average, losing trades are held for 1 day, while winning trades are held for approximately 17 days.
General Information
Management Fee: 2.00% Typical Trade Duration: Days to Weeks
Performance Fee: 20.00% Round Turns per Million: 1,800
Manager Assets: $1,200,000 Typical Margin‐to‐Equity: 5-15%
Strategy Assets: $480,623 Managed Account Minimum: $750,000
Performance Statistics
Date Range: 03/12 – 10/17 Maximum Drawdown: -18.41%
Annualized ROR: -0.66% Sharpe Ratio (0% RFR): 0.00
Standard Deviation: 13.16% Correlation to S&P 500: -0.26
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 · Mehnert Capital 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.
