Ancile Capital Management : Global Markets Program

Year-to-Date
1.34%
Jan Performance
1.34%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.25%
Sharpe (RFR=1%)
0.75
CAROR
11.83%
Assets
$ 3.5M
Worst DD
-16.24
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
4/2005
Global Markets Program 1.34 6.43 1.34 15.14 70.47 62.50 166.00 275.68
S&P 500 1.79 7.18 1.79 17.45 27.84 73.64 58.42 96.96
+/- S&P 500 -0.45 -0.75 -0.45 -2.31 42.63 -11.14 107.58 178.73

Strategy Description

Summary

The Global Markets Program is a multistrategy futures trading program. The core strategy is long term trend following applied to a large portfolio of markets that is highly diversified geographically and across sectors. Other strategies are traded at lower levels to achieve diversification,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 2,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
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
700 RT/YR/$M
Avg. Margin-to-Equity
25%
Targeted Worst DD
-25.00%
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
5.00%
4-12 Months
70.00%
1-3 Months
25.00%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
5.00%
Systematic
95.00%

Strategy

Option-writing
18.00%
Trend-following
64.00%
Other
18.00%
Strategy Pie Chart

Composition

Interest Rates
20.00%
Currency Futures
15.00%
Stock Indices
15.00%
Grains
15.00%
Energy
10.00%
Industrial Metals
5.00%
Other
5.00%
Precious Metals
5.00%
Softs
5.00%
Livestock
5.00%
Composition Pie Chart

Summary

The Global Markets Program is a multistrategy futures trading program. The core strategy is long term trend following applied to a large portfolio of markets that is highly diversified geographically and across sectors. Other strategies are traded at lower levels to achieve diversification, and have included interest rate yield curve roll-down, option premium writing, rollover arbitrage, currency carry trading, and intermarket spread mean reversion.

Investment Strategy

Momentum and convergence.

Risk Management

The manager measures the volatility of individual positions, individual strategies and the entire program and makes adjustments in an attempt to equalize risk exposure across time periods. For each trade, there is a point where the position will be closed if it moves sufficiently adversely.

   

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
-16.24 5 11 12/1/2011 5/1/2012
-13.85 5 5 4/1/2013 9/1/2013
-11.64 7 6 2/1/2008 9/1/2008
-11.61 4 4 4/1/2006 8/1/2006
-10.74 4 8 3/1/2009 7/1/2009
-10.31 3 6 5/1/2015 8/1/2015
-9.82 2 4 6/1/2007 8/1/2007
-8.37 1 7 4/1/2010 5/1/2010
-8.30 1 2 9/1/2011 10/1/2011
-7.86 2 2 2/1/2016 4/1/2016
-5.64 3 2 12/1/2006 3/1/2007
-4.35 1 2 9/1/2016 10/1/2016
-3.43 2 1 8/1/2014 10/1/2014
-3.31 4 1 2/1/2011 6/1/2011
-2.37 1 1 11/1/2005 12/1/2005
-2.24 1 1 7/1/2016 8/1/2016
-2.18 1 1 9/1/2005 10/1/2005
-2.07 1 1 2/1/2014 3/1/2014
-1.57 2 2 4/1/2014 6/1/2014
-0.13 1 1 1/1/0001 4/1/2005
-0.01 1 1 3/1/2015 4/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
43.45 5 10/1/2007 2/1/2008
25.90 5 11/1/2014 3/1/2015
19.63 4 9/1/2006 12/1/2006
19.51 5 5/1/2005 9/1/2005
17.81 5 10/1/2013 2/1/2014
15.23 4 1/1/2006 4/1/2006
13.79 2 6/1/2012 7/1/2012
13.62 3 5/1/2016 7/1/2016
12.67 2 7/1/2014 8/1/2014
12.53 3 7/1/2011 9/1/2011
11.97 3 4/1/2007 6/1/2007
11.66 3 10/1/2008 12/1/2008
11.06 2 12/1/2012 1/1/2013
10.20 2 11/1/2011 12/1/2011
9.66 2 8/1/2009 9/1/2009
9.17 2 1/1/2016 2/1/2016
7.79 3 2/1/2010 4/1/2010
7.19 1 4/1/2014 4/1/2014
7.10 3 12/1/2010 2/1/2011
6.43 3 11/1/2016 1/1/2017
5.58 1 11/1/2005 11/1/2005
5.30 1 9/1/2015 9/1/2015
5.03 1 6/1/2008 6/1/2008
3.96 2 2/1/2009 3/1/2009
3.64 1 10/1/2010 10/1/2010
3.62 2 11/1/2009 12/1/2009
3.25 1 9/1/2016 9/1/2016
3.19 1 11/1/2015 11/1/2015
3.19 1 8/1/2010 8/1/2010
3.05 1 7/1/2013 7/1/2013
2.69 1 5/1/2015 5/1/2015
2.62 2 3/1/2013 4/1/2013
1.88 2 4/1/2011 5/1/2011
1.38 1 6/1/2006 6/1/2006
1.25 1 6/1/2010 6/1/2010
0.55 1 4/1/2012 4/1/2012
0.47 1 4/1/2008 4/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.27 2 5/1/2013 6/1/2013
-10.74 4 4/1/2009 7/1/2009
-10.62 1 5/1/2012 5/1/2012
-10.57 3 7/1/2008 9/1/2008
-10.31 3 6/1/2015 8/1/2015
-9.82 3 7/1/2007 9/1/2007
-8.37 1 5/1/2010 5/1/2010
-8.30 1 10/1/2011 10/1/2011
-7.86 2 3/1/2016 4/1/2016
-7.46 2 7/1/2006 8/1/2006
-6.79 3 1/1/2012 3/1/2012
-6.51 4 8/1/2012 11/1/2012
-5.78 1 5/1/2006 5/1/2006
-5.64 3 1/1/2007 3/1/2007
-5.33 1 3/1/2008 3/1/2008
-4.35 1 10/1/2016 10/1/2016
-4.04 1 1/1/2010 1/1/2010
-3.61 2 8/1/2013 9/1/2013
-3.43 2 9/1/2014 10/1/2014
-3.38 1 10/1/2009 10/1/2009
-2.98 1 10/1/2015 10/1/2015
-2.72 1 3/1/2011 3/1/2011
-2.44 1 6/1/2011 6/1/2011
-2.37 1 12/1/2005 12/1/2005
-2.29 1 12/1/2015 12/1/2015
-2.24 1 8/1/2016 8/1/2016
-2.18 1 10/1/2005 10/1/2005
-2.07 1 3/1/2014 3/1/2014
-1.89 1 11/1/2010 11/1/2010
-1.57 2 5/1/2014 6/1/2014
-1.23 1 1/1/2009 1/1/2009
-1.09 1 5/1/2008 5/1/2008
-0.86 1 7/1/2010 7/1/2010
-0.80 1 2/1/2013 2/1/2013
-0.40 1 9/1/2010 9/1/2010
-0.13 1 4/1/2005 4/1/2005
-0.01 1 4/1/2015 4/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods142.00140.00137.00131.00125.00119.00107.0095.0083.00
Percent Profitable58.4563.5770.8081.6886.4091.60100.0098.95100.00
Average Period Return1.033.075.9511.6117.5123.9835.4542.5551.85
Average Gain3.887.4010.4315.0620.9226.6435.4543.0051.85
Average Loss-3.03-4.48-4.93-3.80-4.16-5.04-0.40
Best Period17.3631.4443.4548.1766.7363.8390.91103.09106.12
Worst Period-10.62-11.92-15.34-9.44-12.62-12.291.98-0.402.80
Standard Deviation4.407.389.9113.2417.3018.4123.4522.4822.35
Gain Standard Deviation3.105.227.9712.1616.0916.8623.4522.1622.35
Loss Standard Deviation2.343.453.822.653.383.29
Sharpe Ratio (1%)0.220.380.550.800.921.191.381.712.09
Average Gain / Average Loss1.281.652.123.965.035.29106.73
Profit / Loss Ratio1.832.885.1317.6731.9357.6610032.73
Downside Deviation (10%)2.654.024.514.104.845.134.155.525.81
Downside Deviation (5%)2.483.523.572.342.422.240.100.520.25
Downside Deviation (0%)2.443.403.361.971.951.720.04
Sortino Ratio (10%)0.240.460.771.612.052.684.743.804.17
Sortino Ratio (5%)0.380.801.524.546.629.80320.0474.11184.73
Sortino Ratio (0%)0.420.901.775.898.9613.961029.23

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 7 10.97 8/2014
Diversified Trader Index Month 7 10.97 8/2014
Systematic Trader Index Month 8 10.97 8/2014
IASG CTA Index Month 9 10.97 8/2014
Trend Following Strategy Index Month 3 7.19 4/2014
Systematic Trader Index Month 4 7.19 4/2014
Diversified Trader Index Month 5 7.19 4/2014
IASG CTA Index Month 6 7.19 4/2014
Trend Following Strategy Index Month 8 2.92 1/2014
Trend Following Strategy Index Month 9 9.29 1/2013
Diversified Trader Index Month 9 9.29 1/2013
Systematic Trader Index Month 10 9.29 1/2013
Diversified Trader Index Month 9 12.59 7/2012
Systematic Trader Index Month 8 12.59 7/2012
Trend Following Strategy Index Month 4 12.59 7/2012
Trend Following Strategy Index Month 6 3.72 12/2011
Trend Following Strategy Index Month 6 6.25 11/2011
Diversified Trader Index Month 10 6.25 11/2011
Systematic Trader Index Month 10 6.25 11/2011
Trend Following Strategy Index Month 10 2.08 12/2009
Trend Following Strategy Index Month 2 2.90 3/2009
Systematic Trader Index Month 9 8.21 12/2007
Trend Following Strategy Index Month 8 8.21 12/2007
Trend Following Strategy Index Month 9 1.38 6/2006
Diversified Trader Index Month 7 2.49 2/2006
Trend Following Strategy Index Month 5 2.49 2/2006
Systematic Trader Index Month 9 2.49 2/2006

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