Arcadia Fund : Global Managed Futures
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definitions page
Year-to-Date
N / A
Sep -0.86%
|
Min. Investment |
$ 100k |
Inception |
Apr 1999 |
Assets |
$ 4.2M |
|
Mgmt Fee |
2.00% |
Sharpe (RFR=1%)
|
0.55 |
Worst DD |
-31.10 |
|
Perf Fee |
20.00% |
CAROR |
7.45% |
S&P Correlation |
0.02
|
Performance
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | DD |
| 2010 | -2.34 | -4.04 | -2.42 | -1.47 | 0.56 | 1.02 | 1.98 | 2.06 | -0.86 | | | | -5.55 | -9.90 |
| 2009 | 0.84 | -6.20 | 5.81 | 0.61 | 6.63 | 2.19 | -3.57 | 3.10 | -6.18 | -10.41 | -2.81 | -5.84 | -16.09 | -23.53 |
| 2008 | 0.47 | -2.10 | -0.90 | 4.21 | 4.63 | -4.13 | 10.05 | 2.22 | -0.51 | -1.19 | 4.28 | -1.16 | 16.14 | -4.13 |
| 2007 | -2.45 | 6.07 | -4.10 | 2.69 | 0.17 | -2.28 | 7.17 | 0.19 | 0.92 | 6.68 | 2.14 | -4.23 | 12.79 | -4.23 |
| 2006 | 2.48 | -4.19 | 5.60 | 5.09 | 2.14 | 5.12 | -1.78 | -0.21 | 5.64 | 0.46 | 5.52 | -2.92 | 24.66 | -4.19 |
| 2005 | -0.31 | -5.56 | 2.17 | 5.02 | -2.20 | 5.01 | -3.83 | 2.79 | -3.06 | -2.92 | -2.28 | -3.49 | -8.98 | -12.26 |
| 2004 | -5.69 | 4.74 | 0.58 | 2.82 | -0.44 | 0.20 | -3.56 | -0.79 | -1.00 | -0.47 | 7.08 | 3.09 | 6.06 | -5.95 |
| 2003 | 1.23 | 5.04 | -0.93 | -0.41 | 1.30 | -0.88 | -1.10 | -3.51 | 8.49 | 3.75 | 1.82 | -0.19 | 14.99 | -5.46 |
| 2002 | -1.09 | -3.94 | -4.09 | 2.98 | -1.63 | 7.00 | 4.00 | 3.11 | 5.20 | -0.36 | 0.32 | 2.57 | 14.25 | -8.87 |
| 2001 | 1.75 | -6.89 | -1.04 | 7.11 | 4.48 | -1.22 | 0.86 | -1.54 | -1.97 | 2.92 | -2.67 | 10.35 | 11.53 | -7.86 |
| 2000 | 5.82 | 2.33 | -1.77 | 3.22 | 4.08 | 2.20 | -0.91 | 0.11 | 1.86 | -0.36 | -0.76 | 4.91 | 22.42 | -1.77 |
| 1999 | | | | 3.08 | -1.40 | -1.39 | 1.18 | -0.42 | -0.88 | 0.66 | 1.42 | -0.22 | 1.96 | -2.90 |
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 Managed Futures Fund offers investors a high-frequency multi-strategy short-term quantitative trading approach. It uses a large number of statistically researched, computer-tested trading strategies that have had a proven real time trading performance of over 9 years, that is uncorrelated with equity indices and trend-following systems. Rigorous risk management is implemented by using multiple, uncorrelated strategies, both momentum and counter-trend, with diversification over 37 global futures markets. The average duration of each trade is 1.5 days. Tight stop-losses are employed on all trades.
*Note on commission structure in historical performance record: Before Jun 06, the average commission for the track record was $12. After Jun 06, due to transition to electronic trading, the average commission was reduced to $3.00
Risk Management
Trade execution and real-time risk monitoring are carried out using an in-house developed automated software-driven trading and monitoring platform, using multiple server locations in different geographical regions.
