LEF Capital Advisors LLC

Aspen Performance Tear Sheet

LEF Capital Advisors LLC
E-mini S&P 500 • Jan 13, 2009 — Mar 6, 2026 • 2056 trades

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 ? NinjaTrader does not need to be running after a trade is opened and can be restarted before 9:00 AM Eastern each morning.

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.

All performance metrics reflect static position sizing of 2 ES contracts throughout the entire backtest period. No scaling was applied as equity grew. This fixed-size baseline allows direct comparison across years and provides a clean foundation for position sizing analysis.

CAGR
13.59%
17.3 years
Total Return
800.28%
$50,000 → $450,138
Net Profit
$400,138
17.3 years
Sharpe Ratio
1.32
annualized
Sortino Ratio
2.31
MAR Ratio
0.84
CAGR / Max DD
Max Drawdown
16.16%
$30,487.50
Recovery Factor
13.12
Profitable Months
73%
152 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
13.59%
Buy & Hold
9.95%
Max Drawdown
Strategy
16.16%
Buy & Hold
29.45%
Sharpe
Strategy
1.32
Buy & Hold
0.88
MAR Ratio
Strategy
0.84
Buy & Hold
0.34
B&H Total Return
413.26%
E-mini S&P 500 1324 → 6793
B&H Max Drawdown
29.45%
DD Reduction
45%
less drawdown than B&H
MAR Advantage
2.5x
vs buy-and-hold
$50,000 invested in this strategy grew to $450,138 over 17.3 years with a worst-case drawdown of $30,488. The same $50,000 in buy-and-hold E-mini S&P 500 grew to $256,630 but suffered a worst-case drawdown of $75,578 — roughly 1.8x more pain while the strategy actually earned more ($450,138 vs $256,630).

Correlation & Alpha Analysis

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

Strategy vs benchmark monthly returns scatter
Correlation
0.539
Moderate
Beta
0.467
market sensitivity
Alpha (ann.)
8.55%
skill-based return
R-Squared
0.290
29.0% explained
Up Capture
75.1%
139 up months
Down Capture
24.8%
67 down months
29.0% of this strategy's returns are explained by market movement, indicating significant beta exposure. Annualized alpha is 8.55% with a beta of 0.467. The strategy captures 75% of up-market months while participating in only 25% of down-market months — a favorable asymmetric profile.

Monthly Returns (%)

JanFebMarAprMayJunJulAugSepOctNovDecYTD
20092.1%-11.2%7.3%4.5%7.5%-2.9%9.5%0.3%3.1%4.1%3.4%0.1%29.6%
2010-4.4%3.7%5.2%0.2%-2.6%-1.4%3.7%-4.4%3.9%0.8%2.6%1.8%8.6%
20113.1%-0.6%1.6%1.4%-0.0%2.7%-4.2%0.6%8.7%6.2%2.2%-0.5%22.7%
20122.8%0.2%1.9%-1.4%-7.0%7.0%1.5%0.8%1.0%0.4%-1.9%1.4%6.4%
20132.5%-1.1%1.4%1.2%-2.1%3.0%1.7%-1.6%-0.2%3.4%4.0%1.6%14.4%
2014-1.9%4.6%1.9%1.9%1.0%1.3%0.2%1.3%-1.4%7.6%0.9%-1.6%16.6%
2015-1.1%1.7%-2.2%-0.8%2.1%1.0%0.3%-5.6%3.4%3.4%2.5%-3.0%1.2%
2016-4.2%3.5%2.1%0.9%0.7%1.0%2.0%2.1%0.1%-2.9%3.8%1.3%10.6%
20171.1%2.4%-0.9%-0.5%2.3%0.4%0.9%0.1%2.2%1.2%0.1%0.1%9.7%
20181.8%0.7%-0.7%4.9%2.0%-1.0%3.8%-0.3%0.3%-2.5%3.1%2.8%15.6%
20192.2%2.6%2.0%0.4%-9.3%6.4%1.0%-0.4%-2.0%6.3%0.8%3.2%13.2%
2020-1.2%1.1%-7.7%6.3%6.4%7.9%0.2%4.3%2.8%-0.9%4.3%2.8%28.5%
20211.3%2.3%2.8%2.7%-0.5%0.5%0.8%0.7%-2.1%3.1%0.8%2.2%15.4%
2022-0.9%2.6%2.2%1.4%-3.0%-4.2%1.2%3.3%0.6%8.1%2.4%0.7%14.8%
20235.0%-3.6%3.7%-0.2%0.7%2.8%1.3%0.2%-1.2%-0.9%2.8%0.6%11.5%
20242.7%1.5%1.0%-0.8%1.3%1.8%1.1%3.1%1.1%-1.9%0.6%0.7%12.7%
20250.1%-0.7%-2.2%5.4%-2.3%0.2%0.1%1.6%3.5%2.0%0.5%0.8%9.0%
2026-2.0%1.0%-1.0%—————————-2.0%

Annual Returns

Annual returns bar chart

Risk-Adjusted Performance

Ann. Volatility
10.08%
Calmar Ratio
2.46
Omega Ratio
2.80
VaR (95%)
-3.44%
CVaR (95%)
-6.00%
Tail Ratio
1.84
Best Month
9.51%
Worst Month
-11.21%

Top 5 Drawdowns

#DepthAmountStartTroughRecoveryDuration
116.16%$8,425.00Feb 2009Mar 2009May 20092.8mo
213.81%$27,825.00Feb 2020Mar 2020May 20202.8mo
39.84%$18,500.00May 2019May 2019Oct 20196.0mo
49.61%$12,300.00Nov 2015Feb 2016Apr 20164.5mo
59.53%$29,300.00Apr 2022Jul 2022Oct 20225.3mo

Trade Statistics

Total Trades
2056
1085W / 961L
Win Rate
52.8%
Profit Factor
1.42
Expectancy
$194.62
per trade
Avg Win
$1,251.21
Avg Loss
$996.28
Win/Loss Ratio
1.26
Largest Win
$15,387.50
Largest Loss
-$8,787.50

Return Distribution

Return distribution histogram
Skewness
-0.428
Kurtosis
2.381
VaR (99%)
-7.62%
CVaR (99%)
-9.38%

Edge Consistency Over Time

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

Notional-normalized cumulative returns
1st Half PF
1.42
1028 trades
2nd Half PF
1.44
1028 trades
Edge
Stable

Rolling 12-Month Performance

Rolling 12-month return and Sharpe
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.

Please contact us for current performance information.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.