Adobe Asset Management : Financial Futures Discretionary

archived programsClosed to new investments
Year-to-Date
N / A
Jan Performance
0.00%
Min Investment
$ 10,000k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
1.59%
Sharpe (RFR=1%)
0.42
CAROR
1.66%
Assets
$ 222.5M
Worst DD
-2.63
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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
1/2000
Financial Futures Discretionary 0.00 - - - - - -0.06 22.04
S&P 500 4.36 - - - - - 16.10 148.42
+/- S&P 500 -4.36 - - - - - -16.16 -126.38

Strategy Description

Summary

-The Advisor's managed futures trading program attempts to detect and exploit short-term price changes while maintaining an intensive concentration on risk management. This program is operated and directed solely based on the Advisor's experienced... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 10,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 25.00%
Average Commission $5.00
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 500 RT/YR/$M
Avg. Margin-to-Equity 1%
Targeted Worst DD -1.50%
Worst Peak-to-Trough 0%
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 100.00%
Systematic 0%

Strategy

Composition

Currency Futures
34.00%
Interest Rates
33.00%
Stock Indices
33.00%
Composition Pie Chart

Summary

-The Advisor's managed futures trading program attempts to detect and exploit short-term price changes while maintaining an intensive concentration on risk management. This program is operated and directed solely based on the Advisor's experienced view of the markets. His trading methods can be described as discretionary, event driven, technical with a fundamental backdrop, and non-directional. The program trades financial futures including currencies, debts, and stock indices contracts. Trading is active. Average Margin to equity ranges from 0 to 1%.

   

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
-2.63 4 7 6/1/2001 10/1/2001
-1.33 1 2 10/1/2000 11/1/2000
-1.00 7 5 2/1/2006 9/1/2006
-0.94 1 3 2/1/2001 3/1/2001
-0.75 3 2 6/1/2004 9/1/2004
-0.62 2 3 11/1/2003 1/1/2004
-0.49 1 2 6/1/2003 7/1/2003
-0.47 2 2 9/1/2005 11/1/2005
-0.42 3 6 9/1/2008 12/1/2008
-0.41 2 11 6/1/2009 8/1/2009
-0.36 1 1 9/1/2003 10/1/2003
-0.32 3 10 3/1/2007 6/1/2007
-0.28 9 - 10/1/2010 7/1/2011
-0.21 1 1 4/1/2003 5/1/2003
-0.19 1 1 11/1/2004 12/1/2004
-0.17 1 1 4/1/2004 5/1/2004
-0.11 1 2 8/1/2002 9/1/2002
-0.04 1 2 11/1/2002 12/1/2002
-0.03 1 1 7/1/2008 8/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
8.18 7 4/1/2000 10/1/2000
3.03 5 4/1/2002 8/1/2002
2.13 3 12/1/2000 2/1/2001
2.05 4 1/1/2003 4/1/2003
1.79 2 1/1/2000 2/1/2000
1.63 3 4/1/2001 6/1/2001
1.48 4 11/1/2001 2/1/2002
1.23 9 1/1/2005 9/1/2005
1.22 1 6/1/2003 6/1/2003
0.99 2 8/1/2003 9/1/2003
0.93 2 10/1/2004 11/1/2004
0.87 2 2/1/2007 3/1/2007
0.76 3 12/1/2005 2/1/2006
0.73 3 3/1/2008 5/1/2008
0.68 3 2/1/2004 4/1/2004
0.59 2 10/1/2002 11/1/2002
0.47 1 11/1/2003 11/1/2003
0.44 2 11/1/2006 12/1/2006
0.42 8 3/1/2010 10/1/2010
0.40 1 7/1/2008 7/1/2008
0.29 3 1/1/2009 3/1/2009
0.29 2 5/1/2009 6/1/2009
0.25 2 7/1/2007 8/1/2007
0.23 1 6/1/2004 6/1/2004
0.22 2 4/1/2006 5/1/2006
0.21 2 10/1/2007 11/1/2007
0.16 3 11/1/2009 1/1/2010
0.10 1 1/1/2008 1/1/2008
0.08 1 8/1/2011 8/1/2011
0.08 1 9/1/2008 9/1/2008
0.07 1 5/1/2011 5/1/2011
0.05 1 10/1/2011 10/1/2011
0.04 1 9/1/2009 9/1/2009
0.01 1 8/1/2004 8/1/2004
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.63 4 7/1/2001 10/1/2001
-1.33 1 11/1/2000 11/1/2000
-0.94 1 3/1/2001 3/1/2001
-0.87 5 6/1/2006 10/1/2006
-0.72 1 9/1/2004 9/1/2004
-0.62 2 12/1/2003 1/1/2004
-0.49 1 7/1/2003 7/1/2003
-0.47 2 10/1/2005 11/1/2005
-0.42 3 10/1/2008 12/1/2008
-0.41 2 7/1/2009 8/1/2009
-0.36 1 10/1/2003 10/1/2003
-0.35 1 3/1/2006 3/1/2006
-0.32 3 4/1/2007 6/1/2007
-0.23 6 11/1/2010 4/1/2011
-0.21 1 9/1/2007 9/1/2007
-0.21 1 5/1/2003 5/1/2003
-0.19 1 12/1/2007 12/1/2007
-0.19 1 12/1/2004 12/1/2004
-0.17 1 5/1/2004 5/1/2004
-0.12 2 6/1/2011 7/1/2011
-0.11 1 9/1/2002 9/1/2002
-0.06 1 2/1/2008 2/1/2008
-0.04 1 7/1/2004 7/1/2004
-0.04 1 12/1/2002 12/1/2002
-0.03 1 9/1/2011 9/1/2011
-0.03 1 4/1/2009 4/1/2009
-0.03 1 8/1/2008 8/1/2008
-0.02 1 10/1/2009 10/1/2009
-0.02 1 1/1/2007 1/1/2007
-0.02 1 3/1/2002 3/1/2002
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods145.00143.00140.00134.00128.00122.00110.0098.0086.00
Percent Profitable61.3870.6371.4383.5894.5399.18100.00100.00100.00
Average Period Return0.140.400.771.361.912.523.774.765.71
Average Gain0.360.711.241.682.032.543.774.765.71
Average Loss-0.24-0.36-0.38-0.27-0.10-0.06
Best Period1.915.027.359.1911.729.2114.2118.1818.56
Worst Period-1.33-2.60-2.24-1.21-0.23-0.060.091.091.48
Standard Deviation0.460.921.512.052.312.523.564.094.28
Gain Standard Deviation0.400.871.532.092.322.523.564.094.28
Loss Standard Deviation0.310.550.500.290.09
Sharpe Ratio (1%)0.120.170.180.170.180.200.210.170.14
Average Gain / Average Loss1.471.993.226.1920.9441.81
Profit / Loss Ratio2.725.038.0631.50362.025059.57
Downside Deviation (10%)0.471.132.124.126.118.1312.5017.2822.33
Downside Deviation (5%)0.260.440.570.680.800.991.381.692.00
Downside Deviation (0%)0.230.340.330.160.030.01
Sortino Ratio (10%)-0.58-0.73-0.80-0.88-0.93-0.95-0.96-0.97-0.98
Sortino Ratio (5%)0.210.350.490.520.510.520.540.410.31
Sortino Ratio (0%)0.611.172.328.6063.96457.98

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.