Rabar Market Research : Diversified Program

Year-to-Date
0.55%
May Performance
-3.13%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
20.84%
Sharpe (RFR=1%)
0.53
CAROR
10.52%
Assets
$ 89.0M
Worst DD
-29.82
S&P Correlation
-0.01

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index May Qtr YTD 1yr 3yr 5yr 10yr Since
1/1989
Diversified Program -3.13 -4.58 -0.55 -12.91 0.03 -16.91 49.57 1,453.33
S&P 500 1.53 8.52 2.59 -0.50 28.59 55.85 65.08 604.81
+/- S&P 500 -4.66 -13.11 -3.15 -12.41 -28.55 -72.76 -15.50 848.52

Strategy Description

Summary

Rabar's DIVERSIFIED PROGRAM utilizes a quantitative approach incorporating both medium and short-term systems to trade a variety of futures and forward currency contracts. A portion of the systems comprising the program are trend following while others can differ materially in that... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 2,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1300 RT/YR/$M
Avg. Margin-to-Equity
14%
Targeted Worst DD
N/A
Worst Peak-to-Trough
29.81%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
75.00%
1-30 Days
25.00%
Intraday
0%

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Trend-following
60.00%
Other
40.00%
Strategy Pie Chart

Composition

Currency Futures
20.00%
Interest Rates
19.00%
Energy
14.00%
Grains
11.00%
Stock Indices
11.00%
Livestock
6.00%
Industrial Metals
6.00%
Softs
5.00%
Precious Metals
5.00%
Currency FX
3.00%
Composition Pie Chart

Summary

Rabar's DIVERSIFIED PROGRAM utilizes a quantitative approach incorporating both medium and short-term systems to trade a variety of futures and forward currency contracts. A portion of the systems comprising the program are trend following while others can differ materially in that they are trend anticipating. Rabar’s systems have been developed through a robust and sophisticated proprietary research effort and have been enhanced and modified particularly since the mid-2000’s. Rabar utilizes a strictly disciplined risk management approach which quantitatively limits exposure in the portfolio and incorporates elements of price action, volatility, and risk reward measures. Rabar’s trading is highly diversified not only across a wide array of markets but also across multiple systems and time frames.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Statistics & Ratios

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=0%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=0%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-29.82 5 34 5/1/1995 10/1/1995
-27.77 5 5 5/1/1989 10/1/1989
-27.34 30 - 4/1/2011 10/1/2013
-26.75 9 18 11/1/1990 8/1/1991
-25.44 22 24 9/1/1998 7/1/2000
-24.42 6 38 2/1/2004 8/1/2004
-15.90 2 1 12/1/1993 2/1/1994
-13.61 1 2 4/1/1990 5/1/1990
-13.39 3 2 7/1/1993 10/1/1993
-12.96 12 5 6/1/2008 6/1/2009
-10.58 2 1 11/1/1994 1/1/1995
-10.35 1 2 2/1/2003 3/1/2003
-9.63 7 3 11/1/2009 6/1/2010
-9.42 4 1 6/1/1994 10/1/1994
-5.53 2 2 9/1/2002 11/1/2002
-4.31 2 1 1/1/0001 2/1/1989
-3.76 1 3 10/1/2007 11/1/2007
-2.96 2 3 5/1/2003 7/1/2003
-2.55 1 1 2/1/2011 3/1/2011
-2.41 1 1 10/1/2010 11/1/2010
-1.52 1 1 10/1/2003 11/1/2003
-1.42 1 1 2/1/2008 3/1/2008
-1.28 1 1 5/1/1993 6/1/1993
-0.18 1 1 3/1/1989 4/1/1989
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Consecutive Gains

Run-up Length (Mos.) Start End
83.71 6 6/1/1990 11/1/1990
76.99 6 11/1/1989 4/1/1990
60.87 4 3/1/1994 6/1/1994
51.45 4 2/1/1995 5/1/1995
37.02 5 5/1/2002 9/1/2002
36.29 5 5/1/1998 9/1/1998
31.26 4 2/1/1993 5/1/1993
28.28 3 6/1/1992 8/1/1992
27.17 4 7/1/2010 10/1/2010
22.14 1 12/1/1991 12/1/1991
21.83 3 12/1/2003 2/1/2004
21.74 3 9/1/1996 11/1/1996
20.49 6 10/1/2000 3/1/2001
17.56 5 7/1/2009 11/1/2009
17.18 3 12/1/2010 2/1/2011
16.98 3 12/1/2007 2/1/2008
16.96 2 11/1/1995 12/1/1995
16.44 3 9/1/2004 11/1/2004
16.38 2 9/1/2007 10/1/2007
16.27 2 11/1/1993 12/1/1993
15.99 3 4/1/2007 6/1/2007
15.79 7 8/1/2014 2/1/2015
15.46 2 4/1/2003 5/1/2003
14.84 1 7/1/1997 7/1/1997
14.75 1 7/1/1993 7/1/1993
14.04 3 12/1/2002 2/1/2003
13.82 1 3/1/1989 3/1/1989
13.76 1 5/1/1989 5/1/1989
13.01 2 3/1/2006 4/1/2006
10.71 2 1/1/1997 2/1/1997
10.65 1 11/1/1994 11/1/1994
9.57 3 4/1/2008 6/1/2008
8.98 3 2/1/2010 4/1/2010
8.82 4 11/1/1997 2/1/1998
8.60 1 4/1/2011 4/1/2011
8.54 2 9/1/2001 10/1/2001
8.15 1 2/1/2014 2/1/2014
7.87 1 5/1/2012 5/1/2012
7.45 2 5/1/2005 6/1/2005
6.47 2 11/1/1999 12/1/1999
5.79 1 7/1/2011 7/1/2011
5.38 3 8/1/2003 10/1/2003
5.38 1 1/1/2006 1/1/2006
5.18 1 2/1/2005 2/1/2005
5.17 1 11/1/2006 11/1/2006
4.73 1 8/1/2000 8/1/2000
4.43 3 4/1/2014 6/1/2014
4.22 2 1/1/2016 2/1/2016
4.20 1 12/1/2001 12/1/2001
4.05 3 12/1/2011 2/1/2012
3.90 3 10/1/2008 12/1/2008
3.88 2 7/1/2012 8/1/2012
3.70 1 2/1/1999 2/1/1999
3.45 1 4/1/2013 4/1/2013
3.35 1 9/1/1994 9/1/1994
3.33 1 4/1/1996 4/1/1996
3.32 1 6/1/1991 6/1/1991
3.28 1 4/1/1999 4/1/1999
3.12 2 12/1/2012 1/1/2013
3.12 1 11/1/2005 11/1/2005
3.12 2 11/1/2013 12/1/2013
3.11 1 9/1/1997 9/1/1997
3.11 2 9/1/1991 10/1/1991
2.85 1 11/1/2015 11/1/2015
2.69 1 9/1/1989 9/1/1989
2.32 1 3/1/2002 3/1/2002
2.26 1 3/1/1991 3/1/1991
2.24 1 5/1/2009 5/1/2009
2.07 1 8/1/2006 8/1/2006
1.68 1 9/1/2005 9/1/2005
1.61 1 12/1/1998 12/1/1998
1.54 1 6/1/1996 6/1/1996
1.45 1 11/1/1992 11/1/1992
1.29 1 9/1/2015 9/1/2015
1.16 1 4/1/2016 4/1/2016
0.65 1 7/1/2001 7/1/2001
0.57 1 3/1/1992 3/1/1992
0.47 1 5/1/2015 5/1/2015
0.20 1 2/1/2000 2/1/2000
0.09 1 9/1/1999 9/1/1999
0.08 1 7/1/2015 7/1/2015
0.05 1 9/1/2013 9/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-29.82 5 6/1/1995 10/1/1995
-24.42 6 3/1/2004 8/1/2004
-18.40 3 6/1/1989 8/1/1989
-16.70 3 12/1/1990 2/1/1991
-15.90 2 1/1/1994 2/1/1994
-15.16 2 1/1/1992 2/1/1992
-13.81 1 10/1/1989 10/1/1989
-13.61 1 5/1/1990 5/1/1990
-13.39 3 8/1/1993 10/1/1993
-12.86 2 5/1/2011 6/1/2011
-12.48 4 8/1/2011 11/1/2011
-11.83 5 3/1/2000 7/1/2000
-11.41 3 9/1/2012 11/1/2012
-10.98 3 1/1/1996 3/1/1996
-10.81 2 7/1/1991 8/1/1991
-10.58 2 12/1/1994 1/1/1995
-10.35 1 3/1/2003 3/1/2003
-10.01 4 5/1/1999 8/1/1999
-9.56 4 12/1/2006 3/1/2007
-9.41 2 5/1/2010 6/1/2010
-9.06 4 3/1/1997 6/1/1997
-8.93 2 3/1/2005 4/1/2005
-8.54 2 7/1/1994 8/1/1994
-8.46 2 12/1/2009 1/1/2010
-8.33 3 7/1/2008 9/1/2008
-8.25 3 4/1/2001 6/1/2001
-8.12 3 5/1/2006 7/1/2006
-8.06 1 11/1/2001 11/1/2001
-7.76 2 9/1/1992 10/1/1992
-7.75 1 8/1/1997 8/1/1997
-7.65 2 10/1/1998 11/1/1998
-7.32 4 1/1/2009 4/1/2009
-7.16 2 12/1/2004 1/1/2005
-6.68 2 4/1/1991 5/1/1991
-6.65 4 5/1/2013 8/1/2013
-6.43 2 3/1/1998 4/1/1998
-6.01 1 10/1/1999 10/1/1999
-5.98 1 4/1/2002 4/1/2002
-5.93 1 12/1/2015 12/1/2015
-5.53 2 10/1/2002 11/1/2002
-5.35 2 7/1/2007 8/1/2007
-5.23 2 3/1/2012 4/1/2012
-5.10 2 3/1/2015 4/1/2015
-5.08 1 12/1/1996 12/1/1996
-4.80 1 8/1/2015 8/1/2015
-4.65 2 1/1/2002 2/1/2002
-4.39 1 6/1/2012 6/1/2012
-4.33 1 3/1/1999 3/1/1999
-4.31 2 1/1/1989 2/1/1989
-4.17 1 10/1/1994 10/1/1994
-4.05 2 12/1/1992 1/1/1993
-3.76 1 11/1/2007 11/1/2007
-3.71 1 10/1/2005 10/1/2005
-3.55 1 6/1/2009 6/1/2009
-3.45 1 5/1/1996 5/1/1996
-3.41 1 2/1/2006 2/1/2006
-3.40 2 7/1/1996 8/1/1996
-3.36 1 6/1/2015 6/1/2015
-3.33 1 10/1/1997 10/1/1997
-3.13 1 5/1/2016 5/1/2016
-2.96 2 6/1/2003 7/1/2003
-2.94 1 10/1/2015 10/1/2015
-2.88 2 4/1/1992 5/1/1992
-2.80 1 1/1/2014 1/1/2014
-2.67 2 2/1/2013 3/1/2013
-2.63 1 3/1/2016 3/1/2016
-2.55 1 3/1/2011 3/1/2011
-2.41 1 11/1/2010 11/1/2010
-2.22 2 9/1/2006 10/1/2006
-2.06 2 7/1/2005 8/1/2005
-1.92 1 1/1/1999 1/1/1999
-1.84 1 9/1/2000 9/1/2000
-1.64 1 8/1/2001 8/1/2001
-1.52 1 11/1/2003 11/1/2003
-1.46 1 7/1/2014 7/1/2014
-1.42 1 3/1/2008 3/1/2008
-1.32 1 3/1/2014 3/1/2014
-1.28 1 6/1/1993 6/1/1993
-1.18 1 12/1/2005 12/1/2005
-0.76 1 10/1/2013 10/1/2013
-0.71 1 1/1/2000 1/1/2000
-0.27 1 11/1/1991 11/1/1991
-0.18 1 4/1/1989 4/1/1989
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods329.00327.00324.00318.00312.00306.00294.00282.00270.00
Percent Profitable52.2856.5760.4967.6178.5382.0388.7894.6896.67
Average Period Return1.013.156.2813.1519.9125.5838.6154.1873.09
Average Gain5.259.9615.1223.5428.0533.1844.6857.4976.01
Average Loss-3.65-5.71-7.25-8.53-9.88-9.08-9.35-4.67-11.71
Best Period22.1456.0683.71174.01125.93144.76216.72218.79375.84
Worst Period-13.81-24.69-28.12-27.10-23.77-23.35-21.44-12.11-20.61
Standard Deviation6.0211.2416.3825.0728.5630.5939.3449.2369.25
Gain Standard Deviation4.829.9414.9624.0826.7928.4837.5648.5168.58
Loss Standard Deviation3.034.845.795.906.436.345.873.845.98
Sharpe Ratio (1%)0.150.260.350.480.640.770.901.020.98
Average Gain / Average Loss1.441.742.092.762.843.664.7812.306.49
Profit / Loss Ratio1.582.273.195.7610.3816.6837.78219.02188.31
Downside Deviation (10%)3.495.577.128.448.768.969.357.658.80
Downside Deviation (5%)3.315.056.076.376.055.414.592.203.25
Downside Deviation (0%)3.264.925.825.895.454.683.681.382.37
Sortino Ratio (10%)0.170.350.540.971.411.712.444.275.16
Sortino Ratio (5%)0.280.580.951.913.044.367.7622.7620.94
Sortino Ratio (0%)0.310.641.082.233.655.4710.4839.3630.81

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 8 5.47 7/2010
Trend Following Strategy Index Month 9 1.87 4/2008
Diversified Trader Index Month 9 4.20 12/2001
Systematic Trader Index Month 10 1.16 7/1998
Trend Following Strategy Index Month 7 1.16 7/1998
Trend Following Strategy Index Month 8 2.12 6/1998
IASG CTA Index 5 Year Rolling 10 152.76 1992 - 1997
Diversified Trader Index Month 8 14.84 7/1997
Trend Following Strategy Index Month 7 14.84 7/1997
Systematic Trader Index Month 7 14.84 7/1997
IASG CTA Index Month 8 14.84 7/1997
Trend Following Strategy Index Month 8 1.54 6/1996
Trend Following Strategy Index Month 9 -3.45 5/1996
IASG CTA Index Month 9 14.20 12/1995
Systematic Trader Index Month 9 14.20 12/1995
Diversified Trader Index Month 9 14.20 12/1995
Trend Following Strategy Index Month 8 14.20 12/1995
IASG CTA Index 5 Year Rolling 6 103.15 1990 - 1995
IASG CTA Index 3 Year Rolling 6 125.44 1992 - 1995
Systematic Trader Index Month 8 8.91 5/1995
Diversified Trader Index Month 8 8.91 5/1995
IASG CTA Index Month 8 8.91 5/1995
Trend Following Strategy Index Month 7 8.91 5/1995
Systematic Trader Index Month 7 5.84 4/1995
IASG CTA Index Month 8 5.84 4/1995
Diversified Trader Index Month 8 5.84 4/1995
Trend Following Strategy Index Month 7 5.84 4/1995
IASG CTA Index Month 4 14.00 2/1995
Trend Following Strategy Index Month 4 14.00 2/1995
Systematic Trader Index Month 4 14.00 2/1995
Diversified Trader Index Month 4 14.00 2/1995
IASG CTA Index 5 Year Rolling 2 301.59 1989 - 1994
IASG CTA Index Year Rolling 5 33.91 1993 - 1994
IASG CTA Index 3 Year Rolling 5 91.37 1991 - 1994
Trend Following Strategy Index Month 10 -1.25 12/1994
Diversified Trader Index Month 8 10.65 11/1994
IASG CTA Index Month 9 10.65 11/1994
Systematic Trader Index Month 8 10.65 11/1994
Trend Following Strategy Index Month 7 10.65 11/1994
Trend Following Strategy Index Month 9 3.35 9/1994
Systematic Trader Index Month 9 -4.42 8/1994
Diversified Trader Index Month 9 -4.42 8/1994
Trend Following Strategy Index Month 8 -4.42 8/1994
IASG CTA Index Month 4 18.00 6/1994
Diversified Trader Index Month 4 18.00 6/1994
Systematic Trader Index Month 4 18.00 6/1994
Trend Following Strategy Index Month 4 18.00 6/1994
IASG CTA Index Month 8 11.40 5/1994
Trend Following Strategy Index Month 7 11.40 5/1994
Systematic Trader Index Month 8 11.40 5/1994
Diversified Trader Index Month 8 11.40 5/1994
Diversified Trader Index Month 8 2.47 4/1994
IASG CTA Index Month 8 2.47 4/1994
Trend Following Strategy Index Month 4 2.47 4/1994
Systematic Trader Index Month 6 2.47 4/1994
Trend Following Strategy Index Month 2 19.43 3/1994
Systematic Trader Index Month 2 19.43 3/1994
Diversified Trader Index Month 2 19.43 3/1994
IASG CTA Index Month 2 19.43 3/1994
Systematic Trader Index Month 7 10.07 12/1993
IASG CTA Index Month 9 10.07 12/1993
Trend Following Strategy Index Month 6 10.07 12/1993
IASG CTA Index 5 Year Rolling 5 229.87 1988 - 1993
IASG CTA Index 3 Year Rolling 10 34.77 1990 - 1993
IASG CTA Index Year Rolling 10 49.55 1992 - 1993
Diversified Trader Index Month 9 10.07 12/1993
Trend Following Strategy Index Month 6 5.63 11/1993
Systematic Trader Index Month 6 5.63 11/1993
IASG CTA Index Month 8 5.63 11/1993
Diversified Trader Index Month 7 5.63 11/1993
Trend Following Strategy Index Month 5 14.75 7/1993
Systematic Trader Index Month 5 14.75 7/1993
Diversified Trader Index Month 5 14.75 7/1993
IASG CTA Index Month 5 14.75 7/1993
Trend Following Strategy Index Month 10 3.45 5/1993
IASG CTA Index Month 6 10.89 4/1993
Systematic Trader Index Month 6 10.89 4/1993
Diversified Trader Index Month 6 10.89 4/1993
Trend Following Strategy Index Month 6 10.89 4/1993
Trend Following Strategy Index Month 10 0.22 3/1993
Diversified Trader Index Month 4 14.17 2/1993
Trend Following Strategy Index Month 3 14.17 2/1993
Systematic Trader Index Month 3 14.17 2/1993
IASG CTA Index Month 4 14.17 2/1993
Trend Following Strategy Index Month 8 -0.12 1/1993
Systematic Trader Index Month 9 -0.12 1/1993
IASG CTA Index 3 Year Rolling 5 100.52 1989 - 1992
Trend Following Strategy Index Month 9 1.45 11/1992
Diversified Trader Index Month 10 -0.69 10/1992
Trend Following Strategy Index Month 8 -0.69 10/1992
Systematic Trader Index Month 8 -0.69 10/1992
Systematic Trader Index Month 8 7.70 8/1992
Trend Following Strategy Index Month 8 7.70 8/1992
IASG CTA Index Month 9 7.70 8/1992
Diversified Trader Index Month 9 7.70 8/1992
IASG CTA Index Month 10 12.93 7/1992
Systematic Trader Index Month 9 12.93 7/1992
Diversified Trader Index Month 10 12.93 7/1992
Trend Following Strategy Index Month 8 12.93 7/1992
Trend Following Strategy Index Month 9 -0.77 5/1992

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.