1900 Investments Asset Management : Dynamic Oil Strategy Program

archived programs
Year-to-Date
N / A
May Performance
1.27%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.28%
Sharpe (RFR=1%)
-0.62
CAROR
-3.05%
Assets
$ 100k
Worst DD
-18.82
S&P Correlation
0.12

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
1/2014
Dynamic Oil Strategy Program 1.27 -0.60 - -0.61 -15.34 - - -10.04
S&P 500 1.16 2.04 - 15.01 25.38 - - 33.75
+/- S&P 500 0.11 -2.64 - -15.62 -40.72 - - -43.79

Strategy Description

Summary

The Dynamic Oil strategy takes long or short positions in front-month Light Sweet Crude Oil Futures (WTI). We bring a highly focused, intraday trading approach to one key market to accomplish steady and consistent returns.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$10.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
3500 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
6.00%
Worst Peak-to-Trough
Sector Focus
Energy Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
100.00%

Decision-Making

Discretionary
20.00%
Systematic
80.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Energy
100.00%
Composition Pie Chart

Summary

The Dynamic Oil strategy takes long or short positions in front-month Light Sweet Crude Oil Futures (WTI). We bring a highly focused, intraday trading approach to one key market to accomplish steady and consistent returns.

Investment Strategy

The trading process of the Dynamic Oil Strategy methodically breaks down all of the components of a turn in oil prices and optimizes it with statistical, historical and systematic precision. Our primary goal is to identify, verify and participate in every significant price turn that demonstrates the highest probability of success in the Western Texas Intermediate Light Sweet Crude Oil Market (WTI) without directional bias.

Risk Management

Our model has predetermined risk/reward metrics based on timeframes, standard deviations, price movement and other proprietary parameters to safely extract alpha. We apply our stop parameters to every trade in order to ensure optimal risk reward objectives are achieved. All trades are liquidated before the close of each market day, reducing overnight market risk.

   

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=1%)
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=1%)
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
-18.82 23 - 9/1/2014 8/1/2016
-1.26 3 1 5/1/2014 8/1/2014
-1.02 2 1 2/1/2014 4/1/2014
-0.72 1 1 1/1/0001 1/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
6.91 1 2/1/2014 2/1/2014
3.17 3 9/1/2016 11/1/2016
2.07 1 9/1/2014 9/1/2014
1.63 1 1/1/2017 1/1/2017
1.27 1 5/1/2017 5/1/2017
1.14 1 5/1/2014 5/1/2014
0.26 1 5/1/2015 5/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.38 7 10/1/2014 4/1/2015
-8.64 15 6/1/2015 8/1/2016
-2.04 3 2/1/2017 4/1/2017
-1.26 3 6/1/2014 8/1/2014
-1.02 2 3/1/2014 4/1/2014
-0.72 1 1/1/2014 1/1/2014
-0.52 1 12/1/2016 12/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods41.0039.0036.0030.0024.0018.00
Percent Profitable21.9530.7719.443.334.170.00
Average Period Return-0.24-0.94-2.27-5.92-8.84-11.72
Average Gain1.831.973.510.190.19
Average Loss-1.32-3.56-4.83-6.35-9.23-11.72
Best Period6.915.826.050.190.19-5.46
Worst Period-4.88-7.61-10.42-15.49-15.49-18.58
Standard Deviation1.812.914.195.015.464.22
Gain Standard Deviation2.031.922.12
Loss Standard Deviation1.381.832.864.915.224.22
Sharpe Ratio (1%)-0.18-0.41-0.66-1.38-1.90-3.26
Average Gain / Average Loss1.390.550.730.030.02
Profit / Loss Ratio0.620.390.230.000.00
Downside Deviation (10%)1.543.446.2211.9817.2822.34
Downside Deviation (5%)1.362.774.718.5011.6414.32
Downside Deviation (0%)1.322.624.367.7010.3312.41
Sortino Ratio (10%)-0.42-0.63-0.76-0.91-0.95-0.98
Sortino Ratio (5%)-0.24-0.43-0.59-0.81-0.89-0.96
Sortino Ratio (0%)-0.18-0.36-0.52-0.77-0.86-0.94

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.