Accela Capital Management LLC : Global Diversified Futures Program

archived programs
Year-to-Date
N / A
Mar Performance
2.28%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
16.02%
Sharpe (RFR=1%)
0.56
CAROR
9.05%
Assets
$ 8.7M
Worst DD
-24.88
S&P Correlation
-0.03

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
7/2004
Global Diversified Futures Program 2.28 - - - - - -16.61 113.47
S&P 500 3.60 - - - - - 84.98 193.74
+/- S&P 500 -1.32 - - - - - -101.59 -80.27

Strategy Description

Summary

The Advisor’s approach is based on the belief that the futures markets present profit opportunities because of their nonrandom behavior. By analyzing market information within a quantitative framework, the Advisor will initiate and liquidate positions. The trading methods are mechanical... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $8.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
25.00%
Trend-following
75.00%
Strategy Pie Chart

Composition

Interest Rates
37.00%
Currency Futures
15.00%
Energy
13.00%
Softs
10.00%
Stock Indices
10.00%
Precious Metals
8.00%
Grains
7.00%
Composition Pie Chart

Summary

The Advisor’s approach is based on the belief that the futures markets present profit opportunities because of their nonrandom behavior. By analyzing market information within a quantitative framework, the Advisor will initiate and liquidate positions. The trading methods are mechanical in nature and incorporate a variety of trading styles. Utilizing combinations of trading strategies yields results, in the Advisor’s opinion, unattainable by any method individually.

Although the risk of loss exists in futures trading, the Advisor’s objective is to produce superior risk-adjusted returns. The Advisor looks for trading opportunities that it believes offer the potential for asymmetrically large profits relative to the level of risk assumed. The trading methods place great emphasis on the preservation of capital and the reduction of portfolio volatility. This is achieved by employing a set of risk management techniques, including broad diversification, and the adherence to a strict multiple rule based money management strategy. These rules determine the amount of equity committed to each market and sector, as well as the overall level of portfolio risk. It is the Advisor’s philosophy that managing risk is its single most important job.

The Advisor believes that a long-term commitment to its trading program is necessary for profitable results. The degree of profitability will depend upon the occurrence in the future, as in the past, of trends in some markets. Investors must give the markets ample time to develop the type of trends upon which the Advisor’s methods can capita1ize.

Investment Strategy

The Program seeks to generate attractive risk-adjusted returns with little correlation to traditional assets by systematically trading a globally diverse group of commodity and financial markets. Our strategy is based on the belief that markets are driven largely by a combination of supply/demand imbalances and capital flows that can cause price movements of a magnitude and duration large enough to trade profitably. Multiple strategies are combined in order to create a portfolio that adapts to current conditions. Strategies vary in terms of the market structure they are designed to profit in, how correlated they are to one another, and their time frame. A dynamic risk management overlay measures risk at the individual trade, sector, and portfolio levels. Each type of risk has defined thresholds and position sizes are reduced whenever a risk limit is exceeded.

Risk Management

Risk is managed through market diversification, correlation based allocation strategies, and managing risk at multiple levels: individual market risk, sector risk, and total portfolio level risk. Risk is measurable at any point in the life of a trade as the dollar value of the difference between the close and the exit point. Risk is measured at the individual market level and aggregated to determine sector risk and total portfolio level risks. If any of these levels exceed pre-defined market, sector, or portfolio limits then orders are generated to rebalance the position(s) to bring risk back within accepted levels. The objective is to contain risks in a way that maximizes return without exceeding defined limits. In the Advisor’s opinion, this offers the best opportunity for capturing profits while managing risk.

The average amount of funds invested for margin purposes for the program typically ranges between 6% and 15%, averaging 9%. It should be noted that the percentages may be higher or lower based upon the current market conditions.

   

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
-24.88 20 - 2/1/2011 10/1/2012
-18.26 7 3 2/1/2008 9/1/2008
-14.48 4 9 12/1/2004 4/1/2005
-7.85 2 7 11/1/2009 1/1/2010
-7.10 5 2 4/1/2006 9/1/2006
-7.07 2 1 6/1/2007 8/1/2007
-5.14 3 1 1/1/2009 4/1/2009
-4.36 1 4 7/1/2004 8/1/2004
-3.31 2 2 5/1/2009 7/1/2009
-1.90 1 1 1/1/2006 2/1/2006
-1.63 1 1 9/1/2009 10/1/2009
-1.28 1 1 12/1/2010 1/1/2011
-0.79 1 1 10/1/2010 11/1/2010
-0.54 1 1 2/1/2007 3/1/2007
-0.43 1 1 11/1/2006 12/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
40.28 6 9/1/2007 2/1/2008
25.59 4 10/1/2008 1/1/2009
24.17 2 3/1/2006 4/1/2006
22.81 3 11/1/2005 1/1/2006
18.20 5 6/1/2010 10/1/2010
10.07 2 10/1/2006 11/1/2006
9.79 3 4/1/2007 6/1/2007
8.06 1 5/1/2005 5/1/2005
7.96 1 12/1/2010 12/1/2010
7.43 1 7/1/2011 7/1/2011
6.95 2 11/1/2004 12/1/2004
6.41 1 5/1/2009 5/1/2009
5.89 1 4/1/2011 4/1/2011
5.87 2 2/1/2010 3/1/2010
4.92 3 11/1/2012 1/1/2013
4.62 1 11/1/2009 11/1/2009
4.16 1 6/1/2008 6/1/2008
4.12 2 1/1/2007 2/1/2007
3.70 2 8/1/2009 9/1/2009
3.70 1 7/1/2012 7/1/2012
3.64 1 7/1/2005 7/1/2005
2.63 1 9/1/2011 9/1/2011
2.43 3 12/1/2011 2/1/2012
2.28 1 3/1/2013 3/1/2013
1.54 1 9/1/2004 9/1/2004
1.32 1 2/1/2011 2/1/2011
0.76 1 9/1/2005 9/1/2005
0.67 1 7/1/2004 7/1/2004
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.03 3 7/1/2008 9/1/2008
-14.48 4 1/1/2005 4/1/2005
-12.59 4 3/1/2012 6/1/2012
-11.68 2 5/1/2011 6/1/2011
-9.61 2 10/1/2011 11/1/2011
-7.85 2 12/1/2009 1/1/2010
-7.65 3 3/1/2008 5/1/2008
-7.10 5 5/1/2006 9/1/2006
-7.07 2 7/1/2007 8/1/2007
-6.25 3 8/1/2012 10/1/2012
-6.07 1 3/1/2011 3/1/2011
-5.16 2 4/1/2010 5/1/2010
-5.14 3 2/1/2009 4/1/2009
-4.36 1 8/1/2004 8/1/2004
-3.44 1 2/1/2013 2/1/2013
-3.31 2 6/1/2009 7/1/2009
-2.05 1 8/1/2005 8/1/2005
-1.90 1 2/1/2006 2/1/2006
-1.63 1 10/1/2009 10/1/2009
-1.42 1 8/1/2011 8/1/2011
-1.28 1 1/1/2011 1/1/2011
-0.91 1 10/1/2005 10/1/2005
-0.90 1 10/1/2004 10/1/2004
-0.79 1 11/1/2010 11/1/2010
-0.54 1 3/1/2007 3/1/2007
-0.43 1 12/1/2006 12/1/2006
-0.11 1 6/1/2005 6/1/2005
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods105.00103.00100.0094.0088.0082.0070.0058.0046.00
Percent Profitable51.4359.2263.0074.4785.2386.5987.1491.3897.83
Average Period Return0.832.575.3312.0020.5029.1448.2666.9988.03
Average Gain4.247.6611.8819.4426.8735.8056.2673.6590.09
Average Loss-2.78-4.82-5.82-9.71-16.26-13.88-5.98-3.55-4.65
Best Period15.0225.0749.6063.6762.4687.40131.04140.54164.87
Worst Period-9.51-15.03-16.51-18.39-24.47-23.97-11.21-6.63-4.65
Standard Deviation4.638.2112.4418.0322.7227.4638.5646.0250.25
Gain Standard Deviation3.526.5010.9014.4917.9722.9634.6842.3948.82
Loss Standard Deviation2.353.364.294.935.788.243.082.46
Sharpe Ratio (1%)0.160.280.390.610.840.991.171.371.65
Average Gain / Average Loss1.521.592.042.001.652.589.4020.7419.36
Profit / Loss Ratio1.612.313.475.849.5316.6463.73219.79871.28
Downside Deviation (10%)2.754.415.687.909.549.528.578.897.68
Downside Deviation (5%)2.573.874.635.947.166.493.432.421.53
Downside Deviation (0%)2.533.744.385.486.615.842.391.230.69
Sortino Ratio (10%)0.150.300.500.891.351.983.795.117.87
Sortino Ratio (5%)0.290.601.041.852.654.1813.1925.9554.15
Sortino Ratio (0%)0.330.691.222.193.104.9920.2354.58128.32

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.