361 Capital LLC : 361 Managed Futures Strategy Fund

Year-to-Date
14.74%
Aug Performance
0.79%
Min Investment
$ 3k
Mgmt. Fee
1.93%
Perf. Fee
Annualized Vol
7.53%
Sharpe (RFR=1%)
0.05
CAROR
1.11%
Assets
$ 40.1M
Worst DD
-21.58
S&P Correlation
0.28

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
1/2012
361 Managed Futures Strategy Fund 0.79 4.92 -14.74 -11.09 -8.54 -15.44 - 10.08
S&P 500 7.01 14.98 8.34 19.61 40.39 75.68 - 164.00
+/- S&P 500 -6.22 -10.06 -23.08 -30.70 -48.93 -91.12 - -153.92

Strategy Description

Summary

The 361 Managed Futures Strategy Fund seeks to generate performance by employing a suite of systematic trading models that take positions (long, short, or cash) in U.S. equity index futures contracts.... Read More

Account & Fees

Type Fund
Minimum Investment $ 3k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.93%
Performance Fee
Average Commission
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 850 RT/YR/$M
Avg. Margin-to-Equity 3%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
100.00%
Strategy Pie Chart

Composition

Stock Indices
95.00%
VIX
5.00%
Composition Pie Chart

Summary

The 361 Managed Futures Strategy Fund seeks to generate performance by employing a suite of systematic trading models that take positions (long, short, or cash) in U.S. equity index futures contracts.

Investment Strategy

Seeks positive absolute returns that have a low correlation to the returns of broad stock and bond markets.

   

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
-21.58 57 - 7/1/2015 4/1/2020
-2.87 4 2 8/1/2013 12/1/2013
-2.78 2 2 8/1/2012 10/1/2012
-2.45 7 1 2/1/2014 9/1/2014
-2.17 1 1 2/1/2013 3/1/2013
-1.62 1 1 4/1/2012 5/1/2012
-0.41 1 1 2/1/2012 3/1/2012
-0.36 1 1 4/1/2013 5/1/2013
-0.18 1 1 10/1/2014 11/1/2014
-0.09 1 1 1/1/2015 2/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
10.69 6 6/1/2019 11/1/2019
7.96 10 4/1/2017 1/1/2018
7.03 1 4/1/2012 4/1/2012
6.85 5 3/1/2015 7/1/2015
6.14 4 11/1/2012 2/1/2013
5.47 4 5/1/2020 8/1/2020
5.21 2 5/1/2016 6/1/2016
4.31 2 1/1/2014 2/1/2014
4.03 2 12/1/2014 1/1/2015
3.97 3 6/1/2012 8/1/2012
3.66 3 2/1/2019 4/1/2019
3.15 1 6/1/2013 6/1/2013
2.95 1 4/1/2013 4/1/2013
2.79 1 10/1/2014 10/1/2014
2.78 4 6/1/2018 9/1/2018
2.53 1 11/1/2018 11/1/2018
1.55 1 2/1/2016 2/1/2016
1.48 1 8/1/2013 8/1/2013
0.72 1 8/1/2014 8/1/2014
0.54 1 6/1/2014 6/1/2014
0.53 1 11/1/2016 11/1/2016
0.27 1 8/1/2016 8/1/2016
0.09 1 10/1/2013 10/1/2013
0.09 1 2/1/2017 2/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-19.57 5 12/1/2019 4/1/2020
-11.03 6 8/1/2015 1/1/2016
-5.15 1 5/1/2019 5/1/2019
-4.59 2 12/1/2018 1/1/2019
-3.56 4 2/1/2018 5/1/2018
-3.41 2 3/1/2016 4/1/2016
-3.20 1 10/1/2018 10/1/2018
-2.78 2 9/1/2012 10/1/2012
-2.30 2 12/1/2016 1/1/2017
-2.20 3 3/1/2014 5/1/2014
-2.17 1 3/1/2013 3/1/2013
-1.78 2 11/1/2013 12/1/2013
-1.62 1 5/1/2012 5/1/2012
-1.33 1 9/1/2014 9/1/2014
-1.20 1 9/1/2013 9/1/2013
-1.18 1 3/1/2017 3/1/2017
-1.06 2 9/1/2016 10/1/2016
-0.41 3 1/1/2012 3/1/2012
-0.36 1 5/1/2013 5/1/2013
-0.18 1 11/1/2014 11/1/2014
-0.18 1 7/1/2014 7/1/2014
-0.09 1 7/1/2016 7/1/2016
-0.09 1 2/1/2015 2/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods104.00102.0099.0093.0087.0081.0069.0057.0045.00
Percent Profitable55.7755.8860.6161.2966.6775.3173.9173.6884.44
Average Period Return0.120.350.521.552.242.774.243.935.16
Average Gain1.443.004.045.386.126.057.477.938.88
Average Loss-1.74-3.00-4.89-4.52-5.50-7.22-4.90-7.29-15.04
Best Period7.038.1510.6913.2518.1819.7325.3920.7419.27
Worst Period-9.24-18.49-19.15-15.55-16.05-15.62-11.37-11.15-19.34
Standard Deviation2.174.175.726.047.037.678.818.2810.25
Gain Standard Deviation1.331.972.583.504.415.207.745.235.51
Loss Standard Deviation1.883.814.943.834.364.793.823.384.37
Sharpe Ratio (1%)0.020.020.000.090.110.100.14-0.020.01
Average Gain / Average Loss0.831.000.831.191.110.841.521.090.59
Profit / Loss Ratio1.171.271.271.882.232.554.323.053.21
Downside Deviation (10%)1.793.775.576.578.4810.5014.2419.4424.65
Downside Deviation (5%)1.643.304.564.164.755.174.586.128.24
Downside Deviation (0%)1.603.204.343.664.024.273.144.106.14
Sortino Ratio (10%)-0.16-0.23-0.35-0.53-0.63-0.71-0.81-0.91-0.91
Sortino Ratio (5%)0.020.030.000.130.160.150.26-0.020.01
Sortino Ratio (0%)0.070.110.120.420.560.651.350.960.84

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 6 3.49 6/2020

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.