LEF Capital Advisors LLC

Aspen Performance Tear Sheet

LEF Capital Advisors LLC
E-mini S&P 500 • Jan 13, 2009 — Mar 17, 2026 • 2524 trades — Net of 1.25% mgmt / 15% perf fees

Aspen is a fully automated systematic strategy trading E-mini S&P 500 futures on 30-minute bars. The strategy identifies momentum shifts and trades both long and short, averaging approximately 2-3 trades per week.

New trade entries occur between 9:00 AM and 3:30 PM Eastern. Trades may be held overnight until exit conditions are met. While held overnight, active broker-level stop orders protect all open positions 24 hours a day. The strategy does not require overnight monitoring.

The strategy does not open positions on FOMC announcement days, trading holidays, or early-close sessions, and closes all open positions no later than 3:30 PM Eastern the day before holidays and early-close days to avoid thin liquidity periods.

The 2009-2011 period coincided with extreme post-crisis volatility and frequent mean-reversion behavior that challenged momentum-based entries. Notably, even during this adverse regime, max drawdown remained contained and the strategy recovered without intervention. Performance improved meaningfully as markets normalized, and the strategy has delivered consistent returns across multiple distinct regimes since 2012 — including the COVID crash, 2022 bear market, and the 2023-2025 rally.

Strategy build period begins January 2009. A pre-build period backtest extending to January 2007 (including the 2008 financial crisis) is available upon request. That period shows a max drawdown of approximately $51K on a ~$100K starting equity — consistent with the historic severity of that crisis and outside the scope of the validated build period.

Performance metrics reflect a single ES contract traded throughout the entire backtest period on an account that started with $50,000. Position sizing was held constant regardless of account growth. All figures are net of a 1.25% annual management fee and 15% performance fee (quarterly periods, high-water mark). Commissions of $8,598 are also deducted. Slippage is not explicitly modeled; given the strategy's average hold time of 2.21 days and average winning trade of $1,247, slippage impact on a liquid instrument like ES is expected to be minimal.

CAGR
11.02%
17.3 years
Total Return
506.64%
$100,000 → $606,642
Net Profit
$506,642
17.3 years
Sharpe Ratio
1.70
annualized
Sortino Ratio
3.68
MAR Ratio
1.09
CAGR / Max DD
Max Drawdown
10.12%
$19,800.39
Recovery Factor
25.59
Profitable Months
72%
149 of 207

Cumulative Returns

Equity curve

Underwater (Drawdown) Chart

Underwater drawdown chart

Strategy vs Buy-and-Hold

Strategy vs Buy-and-Hold comparison
CAGR
Strategy
11.02%
Buy & Hold
9.95%
Max Drawdown
Strategy
10.12%
Buy & Hold
29.45%
Sharpe
Strategy
1.70
Buy & Hold
0.88
MAR Ratio
Strategy
1.09
Buy & Hold
0.34
B&H Total Return
413.22%
E-mini S&P 500 1324 → 6793
B&H Max Drawdown
29.45%
DD Reduction
66%
less drawdown than B&H
MAR Advantage
3.2x
vs buy-and-hold
$100,000 invested in this strategy grew to $606,642 over 17.3 years with a worst-case drawdown of $19,800. The same $100,000 in buy-and-hold E-mini S&P 500 grew to $513,223 but suffered a worst-case drawdown of $151,145 — roughly 2.9x more pain while the strategy actually earned more ($606,642 vs $513,223).

Correlation & Alpha Analysis

Measures how independent the strategy's returns are from the underlying market.

Strategy vs benchmark monthly returns scatter
Correlation
0.332
Moderate
Beta
0.180
market sensitivity
Alpha (ann.)
8.86%
skill-based return
R-Squared
0.110
11.0% explained
Up Capture
46.9%
139 up months
Down Capture
-6.6%
67 down months
About 11.0% of this strategy's returns are explained by the market, suggesting a mix of alpha and beta exposure. Annualized alpha is 8.86% with a beta of 0.180.

Monthly Returns (%)

JanFebMarAprMayJunJulAugSepOctNovDecYTD
20090.9%-5.4%4.1%3.5%2.6%-1.9%4.1%1.4%-1.0%1.4%1.6%-0.7%10.5%
2010-2.4%1.6%2.5%0.3%1.9%-0.0%1.4%-2.7%2.4%0.5%1.5%0.3%7.3%
20111.9%-0.4%0.3%0.9%-0.0%0.9%-1.1%0.5%2.8%5.0%-0.3%-0.7%9.9%
20121.8%0.2%0.3%-0.8%-2.9%4.2%0.1%0.9%0.2%0.3%-0.2%0.5%4.6%
20131.7%-0.8%0.3%0.8%-0.0%-1.0%0.1%-1.1%-0.4%2.5%2.8%-1.0%4.0%
2014-1.4%3.4%1.0%0.4%1.0%0.7%0.2%1.0%-1.5%5.7%0.7%-3.4%7.6%
2015-2.0%0.9%-2.1%-0.6%0.7%0.4%0.2%-4.4%3.0%2.8%2.1%-1.5%-0.8%
2016-0.5%4.0%1.0%0.1%1.4%1.4%1.7%1.7%-1.3%-2.1%3.0%0.6%11.2%
20170.9%2.0%-1.1%-0.4%1.9%-0.3%0.8%0.4%1.2%1.1%0.1%-0.5%6.1%
20182.9%-0.0%0.8%1.1%2.1%-1.3%2.2%1.0%-0.1%2.2%2.5%3.6%18.3%
20192.3%2.3%0.3%0.8%-3.9%5.3%0.1%1.5%-0.5%4.6%0.2%0.5%14.0%
20201.2%1.6%1.8%1.7%4.9%6.1%0.0%2.8%4.4%1.0%1.9%-0.2%30.5%
20211.1%2.6%1.6%2.1%1.2%0.2%1.4%2.4%-1.7%1.8%-0.0%2.1%15.9%
20221.6%2.7%2.0%2.4%2.7%-1.3%1.3%0.5%1.6%5.8%1.0%0.1%22.1%
20233.9%-1.3%1.4%-0.5%0.8%1.3%0.3%-0.6%-0.4%-0.7%2.1%0.0%6.4%
20242.6%0.8%-1.2%1.5%1.1%-0.4%1.5%2.6%-0.4%-1.3%1.2%0.5%8.9%
20251.0%0.3%-0.0%7.3%0.2%-0.5%0.0%1.6%1.5%2.3%2.3%-0.8%16.1%
2026-0.3%1.5%0.4%—————————1.6%

Annual Returns

Annual returns bar chart
72% of months were profitable. Best calendar year: 2020 (+30.5%). Worst: 2015 (-0.8%). 1 of 18 calendar years had a loss (2015). 8 of 18 years delivered 10%+ returns. The longest consecutive losing streak was 3 months.

Risk-Adjusted Performance

Ann. Volatility
6.30%
Calmar Ratio
5.63
Omega Ratio
3.81
VaR (95%)
-1.83%
CVaR (95%)
-3.01%
Tail Ratio
2.24
Best Month
7.26%
Worst Month
-5.37%
Ulcer Index
2.00
Low stress
Equity R2
0.979
Very smooth
K-Ratio
6.857
Excellent
The Sharpe ratio of 1.70 is excellent — it measures return earned per unit of total volatility. A Sharpe above 1.0 is generally considered good; above 2.0 is exceptional.
The Sortino ratio (3.68) is notably higher than the Sharpe, which means most of the strategy's volatility is to the upside — gains are larger than losses on a standard-deviation basis. That's a desirable characteristic.
The MAR ratio of 1.09 (CAGR / max drawdown) is excellent — institutional quality. A MAR above 0.5 is widely considered the benchmark for institutional-grade CTA programs.
The Ulcer Index of 2.0 is low — investors experienced minimal sustained drawdown pain. Unlike max drawdown which is a single-point measure, the Ulcer Index penalizes both depth and duration of drawdowns — lower is better.
The Equity R2 of 0.979 indicates a very smooth equity curve — this measures how closely the growth path hugs a straight upward trend line, where 1.0 is perfectly linear. The K-Ratio of 6.857 is exceptional — institutional grade, rewarding both the slope and consistency of the equity curve. A high K-Ratio means the strategy grows steadily rather than in fits and starts.
Equity curve shape: Gains are distributed evenly across the full track record — the first, middle, and final thirds contributed 12%, 43%, and 45% respectively. This smooth, progressive growth pattern is the opposite of a curve-fit hockey stick, where gains would be heavily back-loaded. The K-Ratio of 6.857 mathematically confirms this consistency — it directly penalizes fits and starts in favor of steady, linear growth.
An Omega ratio of 3.81 (strong) means the probability-weighted sum of gains is 3.81 x the probability-weighted sum of losses. Above 2.0 is considered strong.
72% of months were profitable (149 winning months, 58 losing months).

Top 5 Drawdowns

#DepthAmountStartTroughRecoveryDuration
110.12%$16,001.53Dec 2014Sep 2015Mar 20161.3yr
26.36%$6,486.38Feb 2009Mar 2009Apr 20092.5mo
35.98%$8,540.25May 2013Oct 2013Nov 20136.3mo
45.53%$12,555.93Mar 2019May 2019Jul 20193.9mo
55.49%$6,521.58Jun 2010Aug 2010Dec 20105.8mo

Trade Statistics

Total Trades
2524
1572W / 952L
Win Rate
62.3%
Profit Factor
1.59
Expectancy
$200.73
per trade
Avg Win
$869.04
Avg Loss
$902.82
Win/Loss Ratio
0.96
Largest Win
$17,621.02
Largest Loss
-$9,294.65

Return Distribution

Return distribution histogram
Skewness
0.187
Kurtosis
1.447
VaR (99%)
-3.89%
CVaR (99%)
-4.57%

Day-of-Week Performance

Mon
$63,782.92
Tue
$115,891.04
Wed
$94,355.46
Thu
$106,973.49
Fri
$125,639.30
DayTradesWin RateP&LAvg P&L
Mon45061.6%$63,782.92$141.74
Tue57460.6%$115,891.04$201.90
Wed49160.1%$94,355.46$192.17
Thu53463.5%$106,973.49$200.32
Fri47565.9%$125,639.30$264.50

Trade Efficiency (MAE/MFE)

MAE vs MFE scatter plot
Avg Entry Efficiency
56.2%
Avg Exit Efficiency
31.5%
Avg Edge Ratio
8.49
MFE / MAE
Trades w/ MAE/MFE
2524

Edge Consistency Over Time

Profit factor measured against contract notional value, removing the effect of price growth.

Notional-normalized cumulative returns
1st Half PF
1.39
1262 trades
2nd Half PF
1.77
1262 trades
Edge
Stable
The strategy shows reasonable edge consistency with some variation between the first half (PF 1.39) and second half (PF 1.77). This level of variation is normal. The profit factor improved in the second half (1.39 → 1.77), suggesting the edge may be strengthening. This improvement is corroborated by the equity curve metrics: K-Ratio 6.857 and Equity R2 0.979 both confirm that growth has been consistent and linear across the full track record — not concentrated in the second half alone. A hockey-stick curve-fit would show a low K-Ratio and poor early-period R2. The average trade captures 0.1076% of contract notional value. By normalizing by the underlying contract price, this metric removes the natural price appreciation of the instrument over time and isolates the true trading edge.

Rolling 12-Month Performance

Rolling 12-month return and Sharpe
96% of all rolling 12-month windows produced a positive return (188 of 196 periods). Best rolling year: +33.8% (ended Sep 2020). Worst: -5.6% (ended Aug 2015). Rolling Sharpe exceeded 1.0 in 96% of periods — consistently strong risk-adjusted performance. The most recent rolling windows are running notably above the historical average — performance has been strengthening.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Trading futures involves substantial risk of loss and is not suitable for all investors. This document is for informational purposes only and does not constitute an offer to sell or solicitation to buy any securities.

Metrics Glossary

Metric Category Description
CAGR (Compound Annual Growth Rate)ReturnThe annualized rate at which the account grew over the full period, assuming reinvestment of all profits.
Total ReturnReturnOverall percentage gain or loss from start to finish, regardless of how long it took.
Net ProfitReturnTotal dollar profit or loss over the full period.
Profitable MonthsReturnPercentage of calendar months that ended with a net gain.
Best / Worst MonthReturnThe single best and worst monthly return in the entire track record.
Equity R² (Coefficient of Determination)Risk-AdjustedLinear regression of the log equity curve against time. Measures how closely the equity curve hugs a straight upward trend line. R² near 1.0 means very smooth, consistent growth — the ideal equity curve. Below 0.75 suggests choppy, inconsistent returns.
K-RatioRisk-AdjustedDeveloped by Lars Kestner. Measures both the slope and consistency of the log equity curve by dividing the regression slope by its standard error. Rewards strategies that grow steadily — a steep but erratic equity curve scores lower than a smoother one with the same CAGR. Above 0.5 is excellent; above 0.2 is good.
Sharpe RatioRisk-AdjustedReturn per unit of total volatility (annualized). Above 1.0 is good; above 2.0 is excellent.
Sortino RatioRisk-AdjustedLike Sharpe, but only penalizes downside volatility. A more investor-friendly measure of risk-adjusted return.
MAR Ratio (Managed Accounts Reports)Risk-AdjustedCAGR divided by maximum drawdown. Measures annual return earned per unit of peak-to-trough pain. Above 0.5 is solid; above 1.0 is strong. Also called the Calmar Ratio when calculated over a fixed 3-year window.
Calmar RatioRisk-AdjustedSimilar to MAR but uses the most recent 3-year CAGR. Evaluates recent performance relative to drawdown risk.
Omega RatioRisk-AdjustedRatio of all gains above 0% to all losses below 0%. Above 1.0 means more winning than losing dollar-wise.
Ulcer IndexRisk-AdjustedMeasures the depth and duration of drawdowns combined. Below 5 is low stress; above 15 is high stress.
Recovery FactorRisk-AdjustedNet profit divided by maximum drawdown — how many times over the strategy has earned back its worst loss.
Max DrawdownDrawdownThe largest peak-to-trough decline in account equity, as both a percentage and dollar amount. The most-watched risk metric.
Drawdown DurationDrawdownHow long from the start of a drawdown to full recovery. Longer durations are harder on investors psychologically.
Underwater ChartDrawdownVisual showing how far below the previous equity peak the account was at any point in time.
Win RateTrade StatsPercentage of trades that were profitable. A high win rate doesn't guarantee profitability if losses are much larger than wins.
Profit Factor (PF)Trade StatsTotal gross profit divided by total gross loss. Above 1.5 is good; above 2.0 is very strong.
ExpectancyTrade StatsAverage dollar amount expected per trade, factoring in win rate and average win/loss size.
Win/Loss RatioTrade StatsAverage winning trade divided by average losing trade. Shows the size relationship between wins and losses.
VaR (Value at Risk)Tail RiskAt 95% confidence, the worst loss you should expect in normal conditions — roughly 1 in 20 trades could be this bad or worse.
CVaR (Conditional Value at Risk)Tail RiskAlso called Expected Shortfall — the average loss in the worst-case tail beyond the VaR threshold. More conservative than VaR alone.
SkewnessTail RiskPositive skew means occasional large wins with small frequent losses (desirable). Negative skew means occasional large losses with small frequent wins.
KurtosisTail RiskHow "fat" the tails of the return distribution are. High kurtosis means more extreme outlier trades than a normal distribution would suggest.
Tail RatioTail RiskRatio of the 95th percentile gain to the 95th percentile loss. Above 1.0 means the best outcomes are larger than the worst outcomes.
Buy & Hold ReturnBenchmarkWhat a passive investor would have earned by buying the underlying instrument at the start and holding through the end.
CorrelationBenchmarkHow closely monthly returns move with the market. Near 0 = largely independent; near 1.0 = highly market-dependent.
BetaBenchmarkHow much the strategy moves per 1% market move. Beta of 0.3 means roughly 0.3% strategy move per 1% market move.
AlphaBenchmarkAnnualized return above what market exposure (beta) would explain. Positive alpha represents genuine skill-based return.
R-Squared (R², Coefficient of Determination)BenchmarkThe square of the Pearson correlation coefficient (r). In this context it measures what percentage of the strategy's returns are explained by market movement — low R² is desirable, meaning the strategy is largely independent of the market. Note: R² applied to the equity curve itself measures smoothness of growth, where high R² is ideal.
Up / Down CaptureBenchmarkHow much of the market's up-month gains and down-month losses the strategy participates in. Ideally: high up capture, low down capture.
Rolling 12-Month ReturnRolling / EdgeStrategy return measured over every consecutive 12-month window. Shows consistency across different market environments.
Rolling SharpeRolling / EdgeSharpe ratio over rolling 12-month windows. Consistently positive values indicate a durable, repeatable edge.
Notional-Normalized PFRolling / EdgeProfit factor relative to contract notional value, removing distortion from rising futures prices over time. Truer test of whether the edge has held up.

Please contact us for current performance information.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.