Bohemia Capital Investments : Investment Program

archived programs
Year-to-Date
N / A
Jan Performance
2.11%
Min Investment
$ 500k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
11.07%
Sharpe (RFR=1%)
0.59
CAROR
7.11%
Assets
$ 5.2M
Worst DD
-24.71
S&P Correlation
0.04

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
8/2004
Investment Program 2.11 0.00 - -3.00 -15.42 -9.29 - 67.34
S&P 500 4.36 4.71 - 2.03 58.88 -8.76 - 26.57
+/- S&P 500 -2.25 -4.71 - -5.03 -74.30 -0.53 - 40.77

Strategy Description

Summary

-The trading program is 100% systematic, based on a strategy that was backtested on a large historical intraday database. This program only trades highly liquid markets on the CME, EUREX, and LIFFE exchanges, specifically, in index equity futures (70%) and interest rate futures (30%).... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
0%
Performance Fee
0%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
No
Subscription Frequency
Redemption Frequency
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
0 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
N/A
Worst Peak-to-Trough
0%
Sector Focus
Not Specified

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Composition

Stock Indices
60.00%
Interest Rates
30.00%
Energy
10.00%
Composition Pie Chart

Summary

-The trading program is 100% systematic, based on a strategy that was backtested on a large historical intraday database. This program only trades highly liquid markets on the CME, EUREX, and LIFFE exchanges, specifically, in index equity futures (70%) and interest rate futures (30%). The strategy searches for a particular pattern and generates signals for the entry, exit, and a stop loss in any given market. The strategy is the same on all the traded markets and has not been altered since it was conceived.

   

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
-24.71 19 - 3/1/2010 10/1/2011
-14.93 12 22 1/1/2007 1/1/2008
-7.06 2 3 3/1/2005 5/1/2005
-4.30 3 1 10/1/2005 1/1/2006
-1.55 1 1 10/1/2004 11/1/2004
-0.62 1 1 8/1/2005 9/1/2005
-0.40 1 1 6/1/2006 7/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
26.18 3 8/1/2004 10/1/2004
17.62 6 8/1/2006 1/1/2007
17.22 5 2/1/2006 6/1/2006
16.91 4 12/1/2004 3/1/2005
12.17 7 6/1/2008 12/1/2008
10.20 3 6/1/2005 8/1/2005
8.81 8 8/1/2009 3/1/2010
6.37 3 11/1/2011 1/1/2012
4.97 2 8/1/2007 9/1/2007
3.54 2 2/1/2008 3/1/2008
3.08 3 9/1/2010 11/1/2010
2.95 2 11/1/2007 12/1/2007
2.86 1 10/1/2005 10/1/2005
2.70 3 2/1/2009 4/1/2009
2.45 2 6/1/2010 7/1/2010
2.28 1 5/1/2011 5/1/2011
1.95 1 5/1/2007 5/1/2007
1.72 1 3/1/2007 3/1/2007
1.46 1 12/1/2005 12/1/2005
1.39 1 6/1/2009 6/1/2009
0.34 1 1/1/2011 1/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.84 5 6/1/2011 10/1/2011
-8.53 2 4/1/2010 5/1/2010
-8.38 3 2/1/2011 4/1/2011
-7.30 1 1/1/2008 1/1/2008
-7.06 2 4/1/2005 5/1/2005
-6.50 1 8/1/2010 8/1/2010
-5.75 2 6/1/2007 7/1/2007
-4.80 1 4/1/2007 4/1/2007
-4.66 1 2/1/2007 2/1/2007
-4.28 1 10/1/2007 10/1/2007
-3.17 1 11/1/2005 11/1/2005
-2.59 1 1/1/2006 1/1/2006
-2.48 1 5/1/2009 5/1/2009
-1.83 1 7/1/2009 7/1/2009
-1.55 1 11/1/2004 11/1/2004
-1.39 2 4/1/2008 5/1/2008
-1.05 1 1/1/2009 1/1/2009
-0.62 1 9/1/2005 9/1/2005
-0.57 1 12/1/2010 12/1/2010
-0.40 1 7/1/2006 7/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods90.0088.0085.0079.0073.0067.0055.0043.0031.00
Percent Profitable66.6755.6855.2963.2961.6468.6680.0062.7980.65
Average Period Return0.621.662.915.438.2811.6815.1221.1927.60
Average Gain2.355.759.3313.4718.8420.9521.1637.3837.47
Average Loss-2.83-3.48-5.05-8.43-8.69-8.65-9.03-6.14-13.53
Best Period10.7826.1835.7344.2746.7071.8879.0782.1292.04
Worst Period-7.30-8.42-11.60-15.96-21.34-21.30-18.42-13.45-18.76
Standard Deviation3.196.169.5913.9717.3021.1720.9726.3429.88
Gain Standard Deviation2.115.028.0411.0312.9518.8518.8319.5024.19
Loss Standard Deviation1.942.513.314.046.326.977.023.885.49
Sharpe Ratio (1%)0.170.230.250.320.390.460.580.650.75
Average Gain / Average Loss0.831.651.851.602.172.422.346.092.77
Profit / Loss Ratio1.662.072.292.763.495.319.3710.2811.54
Downside Deviation (10%)2.173.555.508.5510.8911.5513.0717.6420.16
Downside Deviation (5%)2.012.984.306.207.397.086.186.648.53
Downside Deviation (0%)1.972.844.025.656.616.165.034.396.35
Sortino Ratio (10%)0.100.120.080.050.060.12-0.05-0.020.00
Sortino Ratio (5%)0.270.470.560.710.921.371.962.582.64
Sortino Ratio (0%)0.320.580.720.961.251.903.014.834.35

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.