Becker Asset Management, LLC : Program 1 - Proprietary B

archived programs
Year-to-Date
N / A
Dec Performance
0.00%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
24.70%
Sharpe (RFR=1%)
1.02
CAROR
25.93%
Assets
$ 305k
Worst DD
-17.51
S&P Correlation
-0.08

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
2/2006
Program 1 - Proprietary B 0.00 - - 7.31 99.63 227.26 - 291.23
S&P 500 0.85 - - -0.02 39.21 -11.35 - 9.14
+/- S&P 500 -0.85 - - 7.33 60.42 238.61 - 282.10

Strategy Description

Summary

-Description of Trading Methods and Strategies Objectives Trading Program 1 is a trading program that takes positions across a diversified portfolio of futures markets. Directional Bias None. The program may be net long, short or flat any particular market or sector at any time. Average... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 200k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$9.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
1500 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
N/A
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
15.00%
1-3 Months
40.00%
1-30 Days
40.00%
Intraday
5.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Summary

-Description of Trading Methods and Strategies Objectives Trading Program 1 is a trading program that takes positions across a diversified portfolio of futures markets. Directional Bias None. The program may be net long, short or flat any particular market or sector at any time. Average trade duration: one day to several months or more. Sector Exposure The program will have exposure to all major sectors, including, but not limited to, currencies, agriculturals, equity indices, interest rates, metals, energies, softs and meats. Trading Approach In broad terms, the different trading approaches that make up the trading program attempt to generate trading profits in (i) trending, (ii) non-trending, and (iii) reversal phases of any major market trend. All trades taken are actively managed, with the view of locking in as much of the prevailing market thrust as possible, while at the same time allowing each trade sufficient room to move in order to meet its return objectives. Becker Asset Management, LLC utilizes mechanical trading systems and risk management models for all trading programs that have been developed by the principals of Becker Asset Management.

Investment Strategy

The strategies are designed to take advantage of short, medium and long-term movements in the futures markets while keeping risk to a minimum. The strategies employed do not attempt to analyze economic fundamentals or predict the direction of markets. In developing its trading strategies, the Advisor undertook trading on both a discretionary and systematic basis; the results of this and a great deal of research and development reinforced the Advisor's opinion that computer-based trading strategies are preferable to a discretionary approach in the trading of futures markets. The main reasons for this is that firstly, many of the uncertainties associated with human emotion are eliminated, and secondly, thorough back and forward testing of strategies can be conducted which allows the trader to develop a suitable risk management environment in which to trade a system or systems. While the Advisor maintains that the optimal method of trading is by the use of a systematic trading approach, in the event of unique market conditions the trading models may be overridden and the discretion of the Advisor may be used to ensure that certain risk parameters are adhered to. Becker Asset Management's trading programs and strategies operate on two levels. The first part of the strategy involves the use of two trading systems operated simultaneously; each system used is profitable if run in isolation, but the combination of different models and strategies produces better returns than any of the trading models alone. The use of multiple systems also decreases the reliance on any one market or trading strategy to produce consistent trading profits. The consistency of returns generated by the Advisor has been achieved by the use of uncorrelated models run over the same markets. The combination of these strategies, which are applied predominantly over short, medium and long-term time frames, will perform in both volatile and erratic or trending markets. The Advisor defines 'short-term' as being positions that are open for less than a month. The second part of the trading strategy involves strict risk management procedures that are used in order to achieve trading returns with the least possible risk.

Risk Management

The Advisor believes that the leverage offered by futures contracts can work for and against an Advisor, and the understanding of risk is essential in trading mechanical systems over a wide range of futures markets. Risk is analyzed on a market basis and used to regularly balance the portfolio of contracts being traded at any given time. This in-depth analysis of risk on a number of levels has allowed the models to operate in a manner that minimizes risk on an account without compromising the potential to generate trading profits on a consistent basis.

   

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

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
-17.51 7 4 11/1/2007 6/1/2008
-16.71 9 1 11/1/2010 8/1/2011
-13.65 11 2 1/1/0001 12/1/2006
-10.00 2 2 7/1/2007 9/1/2007
-8.78 1 4 5/1/2009 6/1/2009
-6.16 2 - 9/1/2011 11/1/2011
-3.09 1 1 10/1/2008 11/1/2008
-2.69 2 2 1/1/2010 3/1/2010
-2.36 1 1 7/1/2010 8/1/2010
-1.29 1 2 10/1/2009 11/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
68.43 7 1/1/2007 7/1/2007
57.03 6 12/1/2008 5/1/2009
33.91 4 4/1/2010 7/1/2010
24.91 1 9/1/2011 9/1/2011
21.75 2 10/1/2007 11/1/2007
17.46 3 9/1/2010 11/1/2010
12.49 2 7/1/2008 8/1/2008
10.94 2 9/1/2009 10/1/2009
9.94 1 10/1/2008 10/1/2008
8.43 1 11/1/2006 11/1/2006
7.08 2 12/1/2009 1/1/2010
4.87 1 2/1/2008 2/1/2008
4.03 1 2/1/2011 2/1/2011
3.78 1 7/1/2009 7/1/2009
2.18 1 9/1/2006 9/1/2006
1.53 1 3/1/2006 3/1/2006
1.23 1 7/1/2006 7/1/2006
1.19 1 6/1/2011 6/1/2011
0.04 1 5/1/2006 5/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.61 2 12/1/2007 1/1/2008
-10.09 1 12/1/2006 12/1/2006
-10.00 2 8/1/2007 9/1/2007
-9.99 4 3/1/2008 6/1/2008
-9.09 1 4/1/2006 4/1/2006
-8.89 2 12/1/2010 1/1/2011
-8.78 1 6/1/2009 6/1/2009
-7.92 2 7/1/2011 8/1/2011
-6.16 3 10/1/2011 12/1/2011
-5.69 3 3/1/2011 5/1/2011
-4.88 1 2/1/2006 2/1/2006
-3.09 1 11/1/2008 11/1/2008
-2.69 2 2/1/2010 3/1/2010
-2.36 1 8/1/2010 8/1/2010
-1.96 1 9/1/2008 9/1/2008
-1.65 1 8/1/2006 8/1/2006
-1.29 1 11/1/2009 11/1/2009
-0.67 1 6/1/2006 6/1/2006
-0.42 1 8/1/2009 8/1/2009
-0.20 1 10/1/2006 10/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods71.0069.0066.0060.0054.0048.0036.0024.00
Percent Profitable54.9366.6777.2788.33100.00100.00100.00100.00
Average Period Return2.186.8214.9234.8558.1281.88150.91227.78
Average Gain6.7712.8221.5039.9558.1281.88150.91227.78
Average Loss-3.53-5.17-7.44-3.74
Best Period24.9144.3259.5880.88108.47159.44194.23356.80
Worst Period-10.09-12.20-15.85-8.8615.2539.2867.62132.67
Standard Deviation7.1311.3217.4624.5423.0832.4728.3466.44
Gain Standard Deviation6.098.8313.9721.3523.0832.4728.3466.44
Loss Standard Deviation3.213.364.992.70
Sharpe Ratio (1%)0.290.580.831.382.452.465.223.37
Average Gain / Average Loss1.922.482.8910.69
Profit / Loss Ratio2.414.969.8280.96
Downside Deviation (10%)3.344.165.263.11
Downside Deviation (5%)3.173.664.431.83
Downside Deviation (0%)3.133.544.231.54
Sortino Ratio (10%)0.531.352.379.59
Sortino Ratio (5%)0.661.803.2618.51
Sortino Ratio (0%)0.701.933.5322.70

Top Performer Badges

Index Award Type Rank Performance Period

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