American Companies LLC : Macro Diversified Absolute Commodity Program (MACDAC)

archived programs
Year-to-Date
N / A
Mar Performance
-2.57%
Min Investment
$ 150k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
16.77%
Sharpe (RFR=1%)
-1.21
CAROR
-
Assets
$ 74k
Worst DD
-31.39
S&P Correlation
-0.52

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
9/2011
Macro Diversified Absolute Commodity Program (MACDAC) -2.57 - - - - - - -28.20
S&P 500 3.60 - - - - - - 206.20
+/- S&P 500 -6.17 - - - - - - -234.40

Strategy Description

Summary

Our program provides the model for a strictly technical based longer term trading vehicle in seven major commodities markets. We trade small positions, either long or short, (absolute return) in the Indices, Metals, Currencies, Financials, Softs, Grains, and Energy markets as directed... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 150k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor
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 200 RT/YR/$M
Avg. Margin-to-Equity 30%
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 10.00%
Systematic 90.00%

Strategy

Pattern Recognition
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Our program provides the model for a strictly technical based longer term trading vehicle in seven major commodities markets. We trade small positions, either long or short, (absolute return) in the Indices, Metals, Currencies, Financials, Softs, Grains, and Energy markets as directed by our studies. A basic premise of the program is to stay diversified as much as possible by being long or short in some or all of the seven markets simultaneously. Instruments followed will be S&P-DOW Indices, Silver-Gold-Copper, 10 Yr-30 yr Bond, Corn-Soybeans, Euro-Aussie-Canadian/$, Sugar, and Crude.

Due to the macro nature of the program, there will, however, be some months without trades or positions in any markets, and some months with trades and positions in all seven markets. Unlike many other programs, MACDAC will take downside market positions on sell signals without hesitation, as down markets, on many occasions, have produced equal or better results than up markets. Our program utilizes the modern application of ancient Fibonacci studies to determine points of entry, initial stops, trailing stops and predetermined profit objectives. Signals generated by the program, for each market traded, are independent of each other as well as unaffected by fundamental analysis or events. Leverage is never used in this program.

The key to this type of long term trading is patience. Inter-monthly draw downs are common and patience is needed to hold positions until the fulfillment of normal market objectives. The client must exercise further discipline with a willingness to stay in cash over longer periods of time waiting for entry signals generated by the program.

   

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:
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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
-31.39 18 - 9/1/2011 3/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
4.64 1 9/1/2011 9/1/2011
4.13 2 7/1/2012 8/1/2012
3.96 1 3/1/2012 3/1/2012
3.58 1 11/1/2011 11/1/2011
3.12 1 12/1/2012 12/1/2012
1.69 1 5/1/2012 5/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.65 3 1/1/2013 3/1/2013
-12.71 3 9/1/2012 11/1/2012
-12.44 1 10/1/2011 10/1/2011
-9.56 3 12/1/2011 2/1/2012
-1.69 1 6/1/2012 6/1/2012
-0.55 1 4/1/2012 4/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods19.0017.0014.008.00
Percent Profitable36.8435.2928.570.00
Average Period Return-1.61-4.76-7.14-11.70
Average Gain3.012.974.20
Average Loss-4.31-8.98-11.67-11.70
Best Period4.645.147.63-4.42
Worst Period-12.44-16.86-21.45-19.53
Standard Deviation4.846.909.374.85
Gain Standard Deviation1.121.112.59
Loss Standard Deviation4.014.506.684.85
Sharpe Ratio (1%)-0.35-0.73-0.81-2.62
Average Gain / Average Loss0.700.330.36
Profit / Loss Ratio0.410.180.14
Downside Deviation (10%)4.848.9013.1017.30
Downside Deviation (5%)4.648.1811.6013.48
Downside Deviation (0%)4.598.0011.2312.55
Sortino Ratio (10%)-0.42-0.67-0.73-0.97
Sortino Ratio (5%)-0.37-0.61-0.66-0.94
Sortino Ratio (0%)-0.35-0.60-0.64-0.93

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.