The DIVERSIFIED FUTURES PROGRAM #1 employs a proprietary model to identify trends in roughly 40 financial and commodity futures markets. Market entry and exit signals are generated by the model based on analysis of daily market data. Somers Brothers uses proprietary, multivariate statistical algorithms to distinguish market trends from short-term noise. The system uses its trend identification filters to generate market entry and exit signals and to determine optimal allocation of capital to each trade.
Somers Brothers Capital believes there is a substantial benefit in adhering to a disciplined, systematic approach to trading. We also constantly seek to improve fund performance through exhaustive research and testing.
The program began trading in January, 2005. The pool was established in Sept 2006 at which time a third party administrator provided the performance results based on a monthly accounting. Prior to that, the program traded a managed account only. Prior to September 2006, the performance is taken from managed account. Subsequent to September 2006, performance was taken from the pool's results. Using the pool/fund performance will be the more conservative method because of the administrative costs involved. Somers Brothers Capital is 4.7 exempt.