Arcadia Fund : Global Managed Futures

archived programs
Year-to-Date
N / A
Oct Performance
1.00%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.60%
Sharpe (RFR=1%)
0.56
CAROR
7.49%
Assets
$ 4.2M
Worst DD
-31.10
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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
4/1999
Global Managed Futures 1.00 - - - - - 0.13 130.74
S&P 500 3.69 - - - - - -17.22 159.45
+/- S&P 500 -2.69 - - - - - 17.35 -28.71

Strategy Description

Summary

The Global Managed Futures Fund offers investors a high-frequency multi-strategy short-term quantitative trading approach. It uses a large number of statistically researched, computer-tested trading strategies that have had a proven real time... Read More

Account & Fees

Type Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $3.00
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 12000 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough 0%
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 0%
Systematic 0%

Strategy

Composition

Summary

The Global Managed Futures Fund offers investors a high-frequency multi-strategy short-term quantitative trading approach. It uses a large number of statistically researched, computer-tested trading strategies that have had a proven real time trading performance of over 9 years, that is uncorrelated with equity indices and trend-following systems. Rigorous risk management is implemented by using multiple, uncorrelated strategies, both momentum and counter-trend, with diversification over 37 global futures markets. The average duration of each trade is 1.5 days. Tight stop-losses are employed on all trades.

*Note on commission structure in historical performance record:  Before Jun 06, the average commission for the track record was $12.  After Jun 06, due to transition to electronic trading, the average commission was reduced to $3.00

Risk Management

Trade execution and real-time risk monitoring are carried out using an in-house developed automated software-driven trading and monitoring platform, using multiple server locations in different geographical regions.

   

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
-31.10 10 - 6/1/2009 4/1/2010
-13.86 8 4 6/1/2005 2/1/2006
-8.87 3 4 12/1/2001 3/1/2002
-7.86 2 2 1/1/2001 3/1/2001
-6.65 4 2 11/1/2007 3/1/2008
-6.51 3 3 11/1/2008 2/1/2009
-5.95 6 1 4/1/2004 10/1/2004
-5.87 2 3 11/1/2003 1/1/2004
-5.85 2 2 12/1/2004 2/1/2005
-5.46 6 1 2/1/2003 8/1/2003
-5.30 2 1 11/1/2006 1/1/2007
-4.13 1 1 5/1/2008 6/1/2008
-4.10 1 4 2/1/2007 3/1/2007
-3.84 4 3 5/1/2001 9/1/2001
-2.90 5 4 4/1/1999 9/1/1999
-2.20 1 1 4/1/2005 5/1/2005
-1.99 2 1 6/1/2006 8/1/2006
-1.77 1 1 2/1/2000 3/1/2000
-1.69 2 1 8/1/2008 10/1/2008
-1.12 2 1 9/1/2000 11/1/2000
-0.91 1 2 6/1/2000 7/1/2000
-0.36 1 2 9/1/2002 10/1/2002
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Consecutive Gains

Run-up Length (Mos.) Start End
20.71 4 6/1/2002 9/1/2002
19.15 4 3/1/2006 6/1/2006
18.07 5 7/1/2007 11/1/2007
16.00 4 3/1/2009 6/1/2009
14.61 3 9/1/2003 11/1/2003
12.49 2 7/1/2008 8/1/2008
11.98 3 9/1/2006 11/1/2006
11.91 2 4/1/2001 5/1/2001
10.39 2 11/1/2004 12/1/2004
10.35 1 12/1/2001 12/1/2001
9.79 3 4/1/2000 6/1/2000
9.41 4 11/1/2002 2/1/2003
9.03 2 4/1/2008 5/1/2008
8.32 3 2/1/2004 4/1/2004
8.29 2 1/1/2000 2/1/2000
7.30 2 3/1/2005 4/1/2005
6.75 2 12/1/2000 1/1/2001
6.07 1 2/1/2007 2/1/2007
5.73 4 5/1/2010 8/1/2010
5.01 1 6/1/2005 6/1/2005
4.28 1 11/1/2008 11/1/2008
3.10 1 8/1/2009 8/1/2009
3.08 1 4/1/1999 4/1/1999
2.98 1 4/1/2002 4/1/2002
2.92 1 10/1/2001 10/1/2001
2.86 2 4/1/2007 5/1/2007
2.79 1 8/1/2005 8/1/2005
2.48 1 1/1/2006 1/1/2006
2.09 2 10/1/1999 11/1/1999
1.97 2 8/1/2000 9/1/2000
1.30 1 5/1/2003 5/1/2003
1.18 1 7/1/1999 7/1/1999
0.86 1 7/1/2001 7/1/2001
0.84 1 1/1/2009 1/1/2009
0.47 1 1/1/2008 1/1/2008
0.20 1 6/1/2004 6/1/2004
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Consecutive Losses

Run-up Length (Mos.) Start End
-30.69 8 9/1/2009 4/1/2010
-11.25 4 9/1/2005 12/1/2005
-8.87 3 1/1/2002 3/1/2002
-7.86 2 2/1/2001 3/1/2001
-6.20 1 2/1/2009 2/1/2009
-5.87 2 12/1/2003 1/1/2004
-5.85 2 1/1/2005 2/1/2005
-5.72 4 7/1/2004 10/1/2004
-5.41 3 6/1/2003 8/1/2003
-5.30 2 12/1/2006 1/1/2007
-4.23 1 12/1/2007 12/1/2007
-4.19 1 2/1/2006 2/1/2006
-4.13 1 6/1/2008 6/1/2008
-4.10 1 3/1/2007 3/1/2007
-3.83 1 7/1/2005 7/1/2005
-3.57 1 7/1/2009 7/1/2009
-3.48 2 8/1/2001 9/1/2001
-2.98 2 2/1/2008 3/1/2008
-2.77 2 5/1/1999 6/1/1999
-2.67 1 11/1/2001 11/1/2001
-2.28 1 6/1/2007 6/1/2007
-2.20 1 5/1/2005 5/1/2005
-1.99 2 7/1/2006 8/1/2006
-1.77 1 3/1/2000 3/1/2000
-1.69 2 9/1/2008 10/1/2008
-1.63 1 5/1/2002 5/1/2002
-1.34 2 3/1/2003 4/1/2003
-1.30 2 8/1/1999 9/1/1999
-1.22 1 6/1/2001 6/1/2001
-1.16 1 12/1/2008 12/1/2008
-1.12 2 10/1/2000 11/1/2000
-0.91 1 7/1/2000 7/1/2000
-0.86 1 9/1/2010 9/1/2010
-0.44 1 5/1/2004 5/1/2004
-0.36 1 10/1/2002 10/1/2002
-0.22 1 12/1/1999 12/1/1999
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods138.00136.00133.00127.00121.00115.00103.0091.0079.00
Percent Profitable52.9062.5078.9584.2588.4387.8394.17100.00100.00
Average Period Return0.672.004.068.8314.7420.8433.8246.5257.92
Average Gain3.395.807.4913.1218.5625.0436.0846.5257.92
Average Loss-2.39-4.33-8.83-14.15-14.48-9.44-2.65
Best Period10.3514.7422.2832.0742.5845.2463.3079.3690.22
Worst Period-10.41-18.31-27.91-30.00-24.86-19.29-4.026.8310.04
Standard Deviation3.656.328.9512.4513.9815.3717.3015.6119.06
Gain Standard Deviation2.423.785.266.849.1410.8015.1615.6119.06
Loss Standard Deviation2.004.308.2010.389.047.101.32
Sharpe Ratio (1%)0.160.280.400.630.951.231.782.722.77
Average Gain / Average Loss1.421.340.850.931.282.6513.62
Profit / Loss Ratio1.592.233.184.969.8019.13220.23
Downside Deviation (10%)2.364.296.388.628.167.445.212.883.94
Downside Deviation (5%)2.183.835.657.236.194.661.43
Downside Deviation (0%)2.133.725.486.905.754.070.70
Sortino Ratio (10%)0.110.180.250.440.881.423.468.667.68
Sortino Ratio (5%)0.270.460.631.082.144.0521.56
Sortino Ratio (0%)0.310.540.741.282.565.1248.18

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.