Anderson Creek Trading : Standard Diversified Strategy (prop)

Year-to-Date
6.94%
Aug Performance
3.30%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.96%
Sharpe (RFR=1%)
-0.28
CAROR
-3.02%
Assets
$ 1.1M
Worst DD
-35.84
S&P Correlation
-0.02

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
7/2012
Standard Diversified Strategy (prop) 3.30 -0.16 -6.94 -13.82 -21.52 -24.03 - -19.73
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 - 110.01
+/- S&P 500 5.11 -6.50 -23.67 -14.67 -54.95 -68.62 - -129.74

Strategy Description

Summary

Anderson Creek Trading is a systematic medium to long-term oriented trend-follower, trading the long and short side across currencies, grains, softs, energy, metals, livestock, interest rates, and equity indicies. ... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.50
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$13.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
7-14 Days
Redemption Frequency
7-14 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
1060 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
Worst Peak-to-Trough
27.57%
Sector Focus
Not Specified

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
27.00%
1-30 Days
73.00%
Intraday
0%

Decision-Making

Discretionary
1.00%
Systematic
99.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
22.00%
Grains
20.00%
Softs
12.00%
Precious Metals
10.00%
Energy
10.00%
Stock Indices
10.00%
Interest Rates
7.00%
Livestock
7.00%
Industrial Metals
2.00%
Composition Pie Chart

Summary

Anderson Creek Trading is a systematic medium to long-term oriented trend-follower, trading the long and short side across currencies, grains, softs, energy, metals, livestock, interest rates, and equity indicies.

Investment Strategy

The Standard Diversified Strategy is a systematic approach that seeks to identify and capture price trends in US exchange traded markets. The trading system utilizes a variety of technical data to distinguish and measure profit opportunity relative to risk. While early detection of a trend is sought, system parameters authenticate and test the voracity of newly developed trends before trade initiation in an effort to avoid and mitigate whipsaw occurrences. The trading system is designed to allow established positions to exploit maximum potential of a trend, while capturing a good deal of realized profits. Stop loss orders are utilized at various points of position development. Filtering techniques are employed in risk assessment, and a minor amount of trader discretion may also be used. The ACT Standard Diversified Strategy is opportunistic in nature. Positions are taken in a market only when a developing trend meets the robust criteria of the trading system as well as overall portfolio parameters. Not all markets will present opportunities all of the time. In fact, it is possible that the strategy may hold positions in many, few, or no markets at any given time. The strategy’s greatest benefits arise during periods of persistent trends. Conversely, lack of trend development and unusual volatility can lead to significant drawdown. The ACT Standard Diversified Strategy will trade futures contracts on United States exchanges in the following market sectors: energy, metals, currency, grains, meats, indices, interest rates, and softs.

   

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
-35.84 54 - 1/1/2015 7/1/2019
-5.57 10 3 6/1/2013 4/1/2014
-5.34 1 3 9/1/2014 10/1/2014
-2.72 3 6 9/1/2012 12/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
21.44 5 5/1/2014 9/1/2014
12.57 1 1/1/2018 1/1/2018
7.80 3 11/1/2014 1/1/2015
6.23 1 7/1/2017 7/1/2017
5.02 1 11/1/2015 11/1/2015
4.53 2 10/1/2017 11/1/2017
4.36 1 11/1/2016 11/1/2016
3.96 1 9/1/2015 9/1/2015
3.86 1 12/1/2018 12/1/2018
3.30 1 8/1/2019 8/1/2019
3.24 3 7/1/2012 9/1/2012
3.10 1 4/1/2016 4/1/2016
3.04 6 1/1/2013 6/1/2013
2.83 2 1/1/2016 2/1/2016
2.71 2 8/1/2018 9/1/2018
2.09 1 4/1/2019 4/1/2019
1.85 2 8/1/2016 9/1/2016
1.33 1 10/1/2013 10/1/2013
1.14 1 5/1/2018 5/1/2018
1.01 1 3/1/2015 3/1/2015
0.86 2 3/1/2017 4/1/2017
0.76 1 3/1/2014 3/1/2014
0.48 1 1/1/2014 1/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.37 2 10/1/2018 11/1/2018
-10.81 3 12/1/2016 2/1/2017
-9.22 5 4/1/2015 8/1/2015
-8.90 3 5/1/2016 7/1/2016
-7.44 3 2/1/2018 4/1/2018
-7.11 2 5/1/2017 6/1/2017
-6.53 3 5/1/2019 7/1/2019
-5.59 3 1/1/2019 3/1/2019
-5.34 1 10/1/2014 10/1/2014
-5.24 1 10/1/2015 10/1/2015
-4.94 2 8/1/2017 9/1/2017
-4.15 1 3/1/2016 3/1/2016
-3.66 2 6/1/2018 7/1/2018
-3.42 1 12/1/2015 12/1/2015
-2.96 1 12/1/2017 12/1/2017
-2.78 1 10/1/2016 10/1/2016
-2.72 3 10/1/2012 12/1/2012
-2.70 1 4/1/2014 4/1/2014
-2.57 3 7/1/2013 9/1/2013
-1.76 2 11/1/2013 12/1/2013
-1.16 1 2/1/2014 2/1/2014
-1.09 1 2/1/2015 2/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods86.0084.0081.0075.0069.0063.0051.0039.0027.00
Percent Profitable47.6739.2934.5734.6731.8838.1031.3720.513.70
Average Period Return-0.20-0.75-1.45-2.61-3.43-4.12-8.95-12.52-12.40
Average Gain2.343.565.908.7511.3411.707.711.440.64
Average Loss-2.51-3.54-5.33-8.64-10.34-13.85-16.57-16.12-12.90
Best Period12.5719.7019.1020.4720.0020.4914.494.350.64
Worst Period-9.54-10.84-14.16-17.03-23.18-23.38-26.91-32.70-26.09
Standard Deviation3.454.917.1310.2311.8213.5413.4311.846.34
Gain Standard Deviation2.834.306.217.555.704.804.191.51
Loss Standard Deviation2.062.823.724.966.215.458.2110.565.89
Sharpe Ratio (1%)-0.08-0.20-0.27-0.35-0.42-0.45-0.89-1.40-2.76
Average Gain / Average Loss0.931.011.111.011.100.840.470.090.05
Profit / Loss Ratio0.850.650.580.540.510.520.210.020.00
Downside Deviation (10%)2.584.317.0011.7915.7119.4928.0736.0240.51
Downside Deviation (5%)2.393.665.588.7511.0213.1817.5720.2818.58
Downside Deviation (0%)2.343.515.248.039.9311.6915.2717.1013.87
Sortino Ratio (10%)-0.23-0.46-0.56-0.65-0.70-0.74-0.88-0.95-0.99
Sortino Ratio (5%)-0.12-0.27-0.35-0.41-0.45-0.47-0.68-0.82-0.94
Sortino Ratio (0%)-0.08-0.21-0.28-0.33-0.35-0.35-0.59-0.73-0.89

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.