Dustin Dubia, a college dropout who started his own chain of cellular phone stores in California and Washington state, has launched the Futures Index program, which exclusively trades the electronic S&P500 E-Mini contract at the Chicago Mercantile Exchange. In its first three months of trading, the program returned 20.72%.
Futures Index, which is 95% systematic, consists of roughly 80 different systems grouped into five independent trading models, according to firm documents. Two day-trade and three short-term (one-to-five-day holding time) models are represented. The program is 35% trend-following, 40% counter-trend and 25% predictive. Model positions are equally likely to be long or short the market.
The program charges no management fee and a 30% incentive fee, with a $100,000 minimum investment requirement.