Arch Capital Management : Arch Capital Program
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definitions page
Year-to-Date
N / A
Sep 0.50%
|
Min. Investment |
$ 100k |
Inception |
Dec 1999 |
Assets |
$ 1.0M |
|
Mgmt Fee |
0% |
Sharpe (RFR=1%)
|
0.37 |
Worst DD |
-10.43 |
|
Perf Fee |
25.00% |
CAROR |
3.61% |
S&P Correlation |
0.16 |
Performance
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | DD |
| 2010 | -0.39 | -0.20 | -0.91 | -0.44 | -1.51 | -0.63 | 0.13 | -2.44 | 0.50 | | | | -5.77 | -6.24 |
| 2009 | 2.08 | -0.15 | 1.66 | 3.36 | 0.79 | 0.87 | -0.27 | -0.16 | 0.82 | -1.91 | -1.32 | -1.31 | 4.42 | -4.47 |
| 2008 | -4.34 | -2.98 | -0.84 | 3.54 | 4.29 | -3.97 | 0.98 | 0.31 | -3.31 | 10.27 | -2.03 | -0.88 | 0.08 | -7.97 |
| 2007 | 0.00 | -2.35 | -1.87 | -0.08 | 4.68 | 3.51 | 0.46 | 3.58 | -0.11 | -1.63 | 4.74 | -2.53 | 8.30 | -4.25 |
| 2006 | -0.08 | 0.70 | 1.51 | -0.11 | -0.17 | -0.44 | 0.17 | 0.94 | 0.14 | -0.55 | -0.15 | -0.85 | 1.09 | -1.54 |
| 2005 | 0.41 | -0.92 | 0.29 | -0.21 | 0.81 | -0.59 | -0.39 | -0.37 | -0.20 | 0.13 | 0.35 | 0.71 | 0.00 | -1.58 |
| 2004 | 1.78 | 0.80 | 0.14 | -0.58 | -1.32 | 1.54 | -0.94 | 0.61 | -0.76 | -1.05 | 0.66 | 0.98 | 1.81 | -2.51 |
| 2003 | -1.12 | 0.68 | 2.02 | 2.12 | -1.36 | 2.03 | -1.26 | -0.54 | 1.58 | -0.81 | -1.38 | 0.13 | 1.99 | -2.42 |
| 2002 | 1.37 | 2.77 | 4.50 | -3.72 | 2.31 | -0.45 | 1.17 | 1.98 | -6.72 | 2.90 | 0.46 | -0.81 | 5.35 | -6.72 |
| 2001 | 1.54 | -1.09 | -0.75 | -5.21 | 6.77 | 1.00 | 0.10 | 1.54 | -2.31 | 0.07 | 1.21 | 4.20 | 6.77 | -6.95 |
| 2000 | -2.81 | 1.59 | 7.11 | 0.99 | 1.53 | 1.08 | 1.56 | 0.48 | 0.17 | 0.85 | 1.38 | 3.48 | 18.54 | -2.81 |
| 1999 | | | | | | | | | | | | -1.60 | -1.60 | -1.60 |
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
-Note: The performance table above depicts Arch Capital's actual trading performance achieved to date, presented net of trading commissions and fees. Prior to the start of Client Trading in January 2001, the actual trading performance of its proprietary (non-client) accounts is shown, presented net of trading commissions and as if full fees had been deducted from each account. ARCH CAPITAL PROGRAM Arch Capital Management is currently offering its managed futures trading program to qualified investors. Principals Marshall Bruce Thatcher and Nicholas Gleckman began trading the program on a proprietary basis in December 1999 and on a client basis in January 2001. Our fully systematic program aims to be profitable in up and down markets with no expected correlation to the S&P 500, CTAs or Hedge Funds. We primarily attempt to maximize our risk-adjusted returns, while ensuring that neither individual models nor the aggregate program are very correlated with the S&P 500 or other investment benchmarks. Our program primarily trades the S&P500 futures using nearly twenty mechanical trading models. And although each one approaches the market in a different way, they are all designed to exploit opportunities that we believe are largely ignored by other traders. Instead of trying to position ourselves for the next big trend, we try to find smaller and more frequent opportunities that occur along the way and are often out of the market completely. We feel our unique trading style has kept our volatility and drawdowns quite low, despite a tumultuous equity market. It has also kept our correlations low and allowed us to significantly outperform the S&P 500 since inception. The minimum investment requirement is $150,000 and the approximate number of roundturns per million per year is 4,000. Please refer to the disclosure document for more information.
