Anthony W Madia : Global Diversified

archived programs
Year-to-Date
N / A
Jun Performance
-0.28%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
30.36%
Sharpe (RFR=1%)
0.28
CAROR
5.15%
Assets
$ 705k
Worst DD
-35.46
S&P Correlation
-0.11

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
3/2007
Global Diversified -0.28 - - - - - -5.88 37.43
S&P 500 -1.50 - - - - - 64.80 143.81
+/- S&P 500 1.22 - - - - - -70.68 -106.38

Strategy Description

Summary

The trading program is comprised of a number of trading systems. The method is basically technical and is not based on analysis of fundamental supply and demand factors, general economic factors or anticipated world events, but rather upon a study of actual daily, weekly and monthly... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 1.00
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 3000 RT/YR/$M
Avg. Margin-to-Equity
Targeted Worst DD
Worst Peak-to-Trough 31.10%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 2.00%
4-12 Months 8.00%
1-3 Months 15.00%
1-30 Days 75.00%
Intraday

Decision-Making

Discretionary 15.00%
Systematic 85.00%

Composition

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

Summary

The trading program is comprised of a number of trading systems. The method is basically technical and is not based on analysis of fundamental supply and demand factors, general economic factors or anticipated world events, but rather upon a study of actual daily, weekly and monthly price fluctuations, volume variations and changes in open interest. Generally, trade initiations are in the direction of the trend; in some cases, potential trades are not taken if the trend has not been confirmed by other signals. Trade liquidation’s are also generally trend-following, but can be countertrend if the Trading Advisor believes the trend has been exhausted. A discretionary approach is used in the Global Diversified Program which generally involves an increase or decrease in the position size of the portfolio.

Investment Strategy

I try to capture trending markets and ride the trend until it shows signs of stalling or turning

Risk Management

I risk the same amount per trade across all spectrums also using chart structure to help control risk

   

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
-35.46 26 - 4/1/2011 6/1/2013
-29.69 5 4 2/1/2008 7/1/2008
-29.26 18 8 12/1/2008 6/1/2010
-13.03 2 1 6/1/2007 8/1/2007
-4.23 1 1 4/1/2007 5/1/2007
-2.22 1 1 2/1/2011 3/1/2011
-2.04 1 1 9/1/2007 10/1/2007
-0.65 1 1 1/1/0001 3/1/2007
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
60.06 5 8/1/2008 12/1/2008
47.69 4 11/1/2007 2/1/2008
27.76 2 7/1/2012 8/1/2012
26.32 4 7/1/2010 10/1/2010
22.42 1 9/1/2007 9/1/2007
14.26 1 12/1/2010 12/1/2010
14.13 1 4/1/2011 4/1/2011
11.58 1 5/1/2012 5/1/2012
11.38 1 5/1/2009 5/1/2009
10.75 1 2/1/2011 2/1/2011
8.74 2 8/1/2011 9/1/2011
7.72 1 11/1/2009 11/1/2009
6.18 1 4/1/2007 4/1/2007
5.75 1 2/1/2012 2/1/2012
4.98 1 6/1/2007 6/1/2007
2.36 1 4/1/2013 4/1/2013
2.29 1 9/1/2009 9/1/2009
0.20 1 2/1/2009 2/1/2009
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-29.69 5 3/1/2008 7/1/2008
-27.63 7 12/1/2009 6/1/2010
-24.51 3 5/1/2011 7/1/2011
-23.95 7 9/1/2012 3/1/2013
-19.72 4 10/1/2011 1/1/2012
-13.03 2 7/1/2007 8/1/2007
-9.43 1 6/1/2012 6/1/2012
-8.19 2 3/1/2009 4/1/2009
-7.60 1 1/1/2009 1/1/2009
-4.69 1 11/1/2010 11/1/2010
-4.23 1 5/1/2007 5/1/2007
-4.19 2 3/1/2012 4/1/2012
-3.83 2 5/1/2013 6/1/2013
-3.69 1 1/1/2011 1/1/2011
-3.57 3 6/1/2009 8/1/2009
-2.82 1 10/1/2009 10/1/2009
-2.22 1 3/1/2011 3/1/2011
-2.04 1 10/1/2007 10/1/2007
-0.65 1 3/1/2007 3/1/2007
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods76.0074.0071.0065.0059.0053.0041.0029.00
Percent Profitable39.4752.7050.7060.0059.3250.9458.5458.62
Average Period Return0.782.304.558.6410.2112.0814.4024.34
Average Gain8.9312.8820.1222.8325.0133.7432.4450.15
Average Loss-4.53-9.49-11.47-12.65-11.37-10.41-11.07-12.22
Best Period27.1847.4177.1263.3684.5481.9658.30101.87
Worst Period-18.37-24.51-32.72-33.23-29.26-32.89-22.44-22.06
Standard Deviation8.7614.7820.2522.4525.5329.0425.1039.04
Gain Standard Deviation7.6611.7915.8417.0422.6524.5715.8730.33
Loss Standard Deviation4.136.518.057.978.119.645.947.32
Sharpe Ratio (1%)0.080.140.200.340.340.350.450.52
Average Gain / Average Loss1.971.361.751.802.203.242.934.10
Profit / Loss Ratio1.281.511.802.713.213.364.145.82
Downside Deviation (10%)4.998.6011.2712.2513.2616.0717.9522.46
Downside Deviation (5%)4.808.0210.089.959.6510.949.8111.40
Downside Deviation (0%)4.757.889.809.408.849.858.039.06
Sortino Ratio (10%)0.070.120.180.300.200.11-0.080.12
Sortino Ratio (5%)0.150.260.400.770.900.921.161.78
Sortino Ratio (0%)0.160.290.460.921.161.231.792.69

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.