Ancile Capital Management : Global Markets Program
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definitions page
Year-to-Date
0.81%
Jan -0.81%
|
Min. Investment |
$ 1,000k |
Inception |
Apr 2005 |
Assets |
$ 1.6M |
|
Mgmt Fee |
2.00% |
Sharpe (RFR=1%)
|
0.85 |
Worst DD |
-11.64 |
|
Perf Fee |
20.00% |
CAROR |
13.04% |
S&P Correlation |
-0.09 |
Performance
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | DD |
| 2012 | -0.81 | | | | | | | | | | | | -0.81 | -0.81 |
| 2011 | 1.35 | 0.86 | -2.72 | 1.73 | 0.15 | -2.44 | 5.38 | 3.09 | 3.58 | -8.30 | 6.25 | 3.72 | 12.40 | -8.30 |
| 2010 | -4.04 | 0.89 | 5.75 | 1.03 | -8.37 | 1.25 | -0.86 | 3.19 | -0.40 | 3.64 | -1.89 | 4.77 | 4.17 | -8.37 |
| 2009 | -1.23 | 1.03 | 2.90 | -4.10 | -3.54 | -2.38 | -1.16 | 3.69 | 5.76 | -3.38 | 1.51 | 2.08 | 0.62 | -10.74 |
| 2008 | 3.50 | 17.36 | -5.33 | 0.47 | -1.09 | 5.03 | -6.03 | -3.62 | -1.26 | 2.15 | 5.13 | 3.98 | 19.85 | -11.64 |
| 2007 | -3.69 | -1.38 | -0.65 | 1.60 | 5.86 | 4.11 | -4.40 | -5.67 | 0.00 | 6.82 | 2.17 | 8.21 | 12.53 | -9.82 |
| 2006 | 4.48 | 2.49 | 5.16 | 2.33 | -5.78 | 1.38 | -4.52 | -3.08 | 3.52 | 4.28 | 3.97 | 6.59 | 21.85 | -11.61 |
| 2005 | | | | -0.13 | 6.42 | 5.42 | 1.57 | 1.04 | 3.80 | -2.18 | 5.58 | -2.37 | 20.35 | -2.37 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS
IN TRADING COMMODITY FUTURES, OPTIONS, AND FOREIGN EXCHANGE ("FOREX") IS SUBSTANTIAL.
Strategy Description
Summary
The Global Markets Program is a multistrategy futures trading program. The core strategy is long term trend following applied to a large portfolio of markets that is highly diversified geographically and across sectors. Other strategies are traded at lower levels to achieve diversification, and have included interest rate yield curve roll-down, option premium writing, rollover arbitrage, currency carry trading, and intermarket spread mean reversion.
Investment Strategy
Momentum and convergence.
Risk Management
The manager measures the volatility of individual positions, individual strategies and the entire program and makes adjustments in an attempt to equalize risk exposure across time periods. For each trade, there is a point where the position will be closed if it moves sufficiently adversely.
