Adventum Inc : Chestnut

archived programs
Year-to-Date
N / A
Dec Performance
-1.01%
Min Investment
$ 10k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
8.38%
Sharpe (RFR=1%)
1.24
CAROR
-
Assets
$ 1.1M
Worst DD
-4.32
S&P Correlation
-0.30

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
5/2012
Chestnut -1.01 - - - - - - 20.14
S&P 500 2.36 - - - - - - 164.41
+/- S&P 500 -3.37 - - - - - - -144.28

Strategy Description

Summary

Fully automated Forex strategy combining three distinct strategies. These are roughly classifies as scalping, breakout, and trend following. Non-USA and ECP only.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 10k
Trading Level Incremental Increase $ 10k
CTA Max Funding Factor 5.00
Management Fee 0%
Performance Fee 25.00%
Average Commission $0
Available to US Investors No

Subscriptions

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

Trading

Trading Frequency 4000 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD -5.00%
Worst Peak-to-Trough 4.32%
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 50.00%
Intraday 50.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Momentum
33.00%
Technical
33.00%
Trend-following
34.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

Fully automated Forex strategy combining three distinct strategies. These are roughly classifies as scalping, breakout, and trend following. Non-USA and ECP only.

Risk Management

Stops are placed as soon as all trades are entered. Never adds to losing positions.

   

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
-4.32 1 1 5/1/2012 6/1/2012
-3.28 1 1 8/1/2012 9/1/2012
-1.01 1 - 11/1/2013 12/1/2013
-0.79 1 1 6/1/2013 7/1/2013
-0.40 1 1 10/1/2012 11/1/2012
-0.16 1 1 8/1/2013 9/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
12.26 7 12/1/2012 6/1/2013
8.81 2 7/1/2012 8/1/2012
3.71 1 10/1/2012 10/1/2012
1.94 1 8/1/2013 8/1/2013
1.68 1 5/1/2012 5/1/2012
1.23 2 10/1/2013 11/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.32 1 6/1/2012 6/1/2012
-3.28 1 9/1/2012 9/1/2012
-1.01 1 12/1/2013 12/1/2013
-0.79 1 7/1/2013 7/1/2013
-0.40 1 11/1/2012 11/1/2012
-0.16 1 9/1/2013 9/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods20.0018.0015.009.00
Percent Profitable70.0094.44100.00100.00
Average Period Return0.953.286.8415.19
Average Gain2.073.486.8415.19
Average Loss-1.66-0.09
Best Period6.797.5011.9422.04
Worst Period-4.32-0.091.1912.68
Standard Deviation2.422.042.962.86
Gain Standard Deviation1.711.922.962.86
Loss Standard Deviation1.72
Sharpe Ratio (1%)0.361.482.144.96
Average Gain / Average Loss1.2537.47
Profit / Loss Ratio2.91636.99
Downside Deviation (10%)1.420.400.33
Downside Deviation (5%)1.280.08
Downside Deviation (0%)1.250.02
Sortino Ratio (10%)0.385.1513.19
Sortino Ratio (5%)0.6737.39
Sortino Ratio (0%)0.76149.91

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.