361 Capital LLC : 361 Global Managed Futures Strategy Fund

Year-to-Date
8.60%
Oct Performance
-0.39%
Min Investment
$ 2,000k
Mgmt. Fee
1.25%
Perf. Fee
0%
Annualized Vol
8.83%
Sharpe (RFR=1%)
0.06
CAROR
1.15%
Assets
$ 15.3M
Worst DD
-14.89
S&P Correlation
0.27

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
3/2014
361 Global Managed Futures Strategy Fund -0.39 2.23 -8.60 -8.29 -8.07 13.45 - 7.92
S&P 500 -2.77 -0.04 1.21 7.65 26.97 55.66 - 72.87
+/- S&P 500 2.38 2.27 -9.81 -15.94 -35.03 -42.21 - -64.94

Strategy Description

Investment Strategy

Seeks to exploit short-term, dislocated price movements in global equity markets using futures contracts. The strategy is systematic in nature, taking long and short positions in a potential universe of 23 global markets across the U.S., Europe and Asia. Each market in... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 2,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.25%
Performance Fee 0%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency RT/YR/$M
Avg. Margin-to-Equity
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

Currency Futures
30.00%
Energy
20.00%
Interest Rates
20.00%
Stock Indices
20.00%
Other
10.00%
Composition Pie Chart

Investment Strategy

Seeks to exploit short-term, dislocated price movements in global equity markets using futures contracts. The strategy is systematic in nature, taking long and short positions in a potential universe of 23 global markets across the U.S., Europe and Asia. Each market in the portfolio is viewed independently, and traded autonomously with the goal of having multiple, unique profit centers.

   

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
-14.89 27 - 1/1/2018 4/1/2020
-12.03 10 16 3/1/2014 1/1/2015
-1.89 1 4 8/1/2017 9/1/2017
-1.79 2 2 5/1/2016 7/1/2016
-0.27 1 1 10/1/2016 11/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
9.61 9 12/1/2016 8/1/2017
8.87 5 11/1/2015 3/1/2016
6.32 2 5/1/2020 6/1/2020
5.93 4 8/1/2019 11/1/2019
5.39 2 2/1/2015 3/1/2015
4.99 3 8/1/2016 10/1/2016
4.76 1 3/1/2014 3/1/2014
4.40 1 9/1/2015 9/1/2015
4.00 1 5/1/2015 5/1/2015
3.61 1 5/1/2016 5/1/2016
3.50 1 11/1/2018 11/1/2018
3.05 3 2/1/2019 4/1/2019
2.83 1 6/1/2019 6/1/2019
2.63 1 8/1/2020 8/1/2020
2.46 2 7/1/2018 8/1/2018
1.95 1 3/1/2020 3/1/2020
1.77 2 12/1/2017 1/1/2018
1.15 1 5/1/2014 5/1/2014
0.87 1 10/1/2017 10/1/2017
0.21 1 11/1/2014 11/1/2014
0.09 1 4/1/2018 4/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.20 3 12/1/2019 2/1/2020
-8.18 3 6/1/2015 8/1/2015
-7.79 5 6/1/2014 10/1/2014
-5.53 1 5/1/2019 5/1/2019
-4.84 2 2/1/2018 3/1/2018
-4.81 2 9/1/2018 10/1/2018
-4.62 2 12/1/2014 1/1/2015
-4.33 1 4/1/2020 4/1/2020
-2.18 1 7/1/2020 7/1/2020
-1.92 1 4/1/2016 4/1/2016
-1.89 1 9/1/2017 9/1/2017
-1.79 2 6/1/2016 7/1/2016
-1.34 1 10/1/2015 10/1/2015
-1.33 1 4/1/2014 4/1/2014
-1.22 2 12/1/2018 1/1/2019
-0.75 2 5/1/2018 6/1/2018
-0.57 1 7/1/2019 7/1/2019
-0.41 1 4/1/2015 4/1/2015
-0.39 2 9/1/2020 10/1/2020
-0.27 1 11/1/2016 11/1/2016
-0.17 1 11/1/2017 11/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods80.0078.0075.0069.0063.0057.0045.0033.00
Percent Profitable55.0061.5458.6753.6260.3270.1880.0090.91
Average Period Return0.130.280.441.673.395.549.3911.82
Average Gain1.762.774.136.848.969.7713.5213.05
Average Loss-1.92-3.70-4.80-4.30-5.08-4.40-7.09-0.51
Best Period4.766.969.0214.0719.4228.4329.4224.06
Worst Period-10.56-12.76-13.74-12.38-9.91-10.64-9.55-0.91
Standard Deviation2.553.975.276.548.279.249.937.73
Gain Standard Deviation1.331.652.243.765.437.576.006.98
Loss Standard Deviation2.263.283.622.962.753.071.660.42
Sharpe Ratio (1%)0.020.01-0.010.100.230.380.641.00
Average Gain / Average Loss0.920.750.861.591.762.221.9125.70
Profit / Loss Ratio1.151.201.221.842.685.227.63257.03
Downside Deviation (10%)2.133.665.236.758.469.2911.2812.34
Downside Deviation (5%)1.983.164.104.124.483.904.581.61
Downside Deviation (0%)1.943.043.843.543.622.903.250.18
Sortino Ratio (10%)-0.13-0.26-0.39-0.49-0.50-0.51-0.56-0.79
Sortino Ratio (5%)0.020.01-0.020.160.420.911.394.81
Sortino Ratio (0%)0.070.090.110.470.931.912.8963.92

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 6 2.63 8/2020
Stock Index Trader Index Month 7 3.48 6/2020
Stock Index Trader Index Month 4 2.74 5/2020
Stock Index Trader Index Month 7 2.51 10/2019
Stock Index Trader Index Month 8 2.39 8/2019

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