Acuity Investment Management, LLC : Diversified Futures Program

archived programs
Year-to-Date
N / A
Mar Performance
13.18%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
35.67%
Sharpe (RFR=1%)
0.13
CAROR
-0.39%
Assets
$ 235k
Worst DD
-46.77
S&P Correlation
0.01

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
8/2012
Diversified Futures Program 13.18 11.41 - 13.89 33.92 - - -1.81
S&P 500 -0.04 5.53 - 14.71 26.19 - - 68.04
+/- S&P 500 13.22 5.88 - -0.82 7.73 - - -69.85

Strategy Description

Investment Strategy

AIM currently engages in a program of “selling” or “writing” options (puts and calls) on futures markets. At times AIM may purchase calls and puts to reduce margin or to take advantage of what they believe will be a profitable trade based on market conditions. On some occasions,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$15.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
6000 RT/YR/$M
Avg. Margin-to-Equity
30%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
25.00%
1-30 Days
75.00%
Intraday
0%

Decision-Making

Discretionary
70.00%
Systematic
30.00%

Strategy

Option-purchasing
10.00%
Option-spreads
80.00%
Spreading/hedging
10.00%
Strategy Pie Chart

Composition

Currency Futures
20.00%
Precious Metals
20.00%
Energy
20.00%
Grains
15.00%
Softs
15.00%
Interest Rates
10.00%
Composition Pie Chart

Investment Strategy

AIM currently engages in a program of “selling” or “writing” options (puts and calls) on futures markets. At times AIM may purchase calls and puts to reduce margin or to take advantage of what they believe will be a profitable trade based on market conditions. On some occasions, the AIM Diversified Futures Program may also trade commodity futures outright. At times the futures position will be initiated through the assignment or delivery of the underlying commodity futures of an option. From time to time, AIM may also engage in spread trading by either entering into spreads between different contract months in the same market or spreads between different commodities altogether.

   

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
-46.77 33 18 8/1/2012 5/1/2015
-14.39 3 - 11/1/2016 2/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
27.40 2 10/1/2016 11/1/2016
24.93 1 5/1/2016 5/1/2016
23.23 1 1/1/2015 1/1/2015
22.91 1 3/1/2016 3/1/2016
20.77 2 12/1/2015 1/1/2016
19.65 2 6/1/2015 7/1/2015
14.97 2 9/1/2015 10/1/2015
13.34 1 4/1/2014 4/1/2014
13.18 1 3/1/2017 3/1/2017
11.16 1 10/1/2014 10/1/2014
10.16 1 1/1/2017 1/1/2017
10.03 1 3/1/2015 3/1/2015
6.88 1 7/1/2013 7/1/2013
5.71 1 9/1/2013 9/1/2013
5.40 1 5/1/2013 5/1/2013
3.62 1 3/1/2013 3/1/2013
3.53 1 12/1/2013 12/1/2013
2.69 2 7/1/2016 8/1/2016
1.28 1 6/1/2014 6/1/2014
0.43 1 8/1/2012 8/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-26.94 3 7/1/2014 9/1/2014
-22.82 2 4/1/2015 5/1/2015
-17.34 1 4/1/2016 4/1/2016
-15.41 2 11/1/2014 12/1/2014
-13.46 3 1/1/2014 3/1/2014
-13.03 1 12/1/2016 12/1/2016
-12.66 6 9/1/2012 2/1/2013
-12.16 1 11/1/2015 11/1/2015
-10.64 1 2/1/2017 2/1/2017
-10.46 1 8/1/2013 8/1/2013
-9.99 2 10/1/2013 11/1/2013
-9.47 1 6/1/2016 6/1/2016
-6.27 1 2/1/2015 2/1/2015
-5.75 1 5/1/2014 5/1/2014
-5.27 1 2/1/2016 2/1/2016
-5.08 1 8/1/2015 8/1/2015
-3.89 1 9/1/2016 9/1/2016
-3.41 1 4/1/2013 4/1/2013
-2.88 1 6/1/2013 6/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods56.0054.0051.0045.0039.0033.0021.00
Percent Profitable44.6444.4445.1042.2238.4636.3628.57
Average Period Return0.480.450.941.360.38-5.03-8.86
Average Gain9.5211.9615.6127.3640.5135.5320.49
Average Loss-6.81-8.75-11.12-17.64-24.70-28.21-20.60
Best Period24.9331.8545.2166.5589.5767.9533.92
Worst Period-22.81-26.94-31.30-36.25-39.36-42.23-39.55
Standard Deviation10.3012.8216.5326.2735.9434.3522.22
Gain Standard Deviation7.238.6811.8617.3924.4619.679.95
Loss Standard Deviation5.436.577.5610.347.9711.1412.39
Sharpe Ratio (1%)0.040.020.030.01-0.03-0.20-0.53
Average Gain / Average Loss1.401.371.401.551.641.260.99
Profit / Loss Ratio1.131.091.151.131.020.720.40
Downside Deviation (10%)6.688.8611.4818.8626.0631.9232.45
Downside Deviation (5%)6.498.2610.2216.1321.4525.6222.39
Downside Deviation (0%)6.448.119.9115.4720.3224.1120.13
Sortino Ratio (10%)0.01-0.09-0.13-0.19-0.28-0.48-0.76
Sortino Ratio (5%)0.060.020.040.02-0.05-0.27-0.53
Sortino Ratio (0%)0.070.060.090.090.02-0.21-0.44

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 2 9.05 9/2015
Discretionary Trader Index Month 4 9.05 9/2015
Diversified Trader Index Month 4 9.05 9/2015
IASG CTA Index Month 5 9.05 9/2015
Option Strategy Index Month 10 -5.08 8/2015
Diversified Trader Index Month 8 8.87 7/2015
Discretionary Trader Index Month 3 8.87 7/2015
Option Strategy Index Month 1 8.87 7/2015
Option Strategy Index Month 1 9.90 6/2015
IASG CTA Index Month 2 9.90 6/2015
Diversified Trader Index Month 2 9.90 6/2015
Discretionary Trader Index Month 3 9.90 6/2015
Discretionary Trader Index Month 3 10.03 3/2015
Diversified Trader Index Month 2 10.03 3/2015
Option Strategy Index Month 1 10.03 3/2015
Discretionary Trader Index Month 3 23.23 1/2015
Diversified Trader Index Month 3 23.23 1/2015
Option Strategy Index Month 1 23.23 1/2015
Option Strategy Index Month 1 11.16 10/2014
Diversified Trader Index Month 2 11.16 10/2014
Discretionary Trader Index Month 2 11.16 10/2014

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