Ascendant Asset Advisors : JLDeVore Institutional Program

archived programs
Year-to-Date
N / A
Dec Performance
3.20%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
35.00%
Annualized Vol
50.21%
Sharpe (RFR=1%)
0.91
CAROR
35.89%
Assets
$ 455k
Worst DD
-55.14
S&P Correlation
0.09

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
8/2007
JLDeVore Institutional Program 3.20 - - - - - - 109.82
S&P 500 1.78 - - - - - - 135.02
+/- S&P 500 1.42 - - - - - - -25.19

Strategy Description

Summary

-The JLD Institutional Programs investment objective is to generate an above average return on Client capital in all market conditions while reducing overall risk exposure to underlying financial market movements. The Program writes covered and uncovered options on select classes of... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 35.00%
Average Commission $6.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Anytime
Redemption Frequency Anytime
Investor Requirements Any Investor
Lock-up Period 1

Trading

Trading Frequency 1500 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 90.00%
1-30 Days
Intraday 10.00%

Decision-Making

Discretionary 70.00%
Systematic 30.00%

Strategy

Option-purchasing
5.00%
Option-spreads
20.00%
Option-writing
50.00%
Other
25.00%
Strategy Pie Chart

Summary

-The JLD Institutional Programs investment objective is to generate an above average return on Client capital in all market conditions while reducing overall risk exposure to underlying financial market movements. The Program writes covered and uncovered options on select classes of futures contracts traded on domestic and foreign exchanges. This Program also trades futures on more than 10 different futures markets. This may include interest rates, currencies, stock indices, metals, agriculture, and energies. The objective is to exit futures positions before the end of day to minimize any overnight risk. The options on futures positions are generally held for 3-5 weeks.

   

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
-55.14 1 5 12/1/2007 1/1/2008
-0.89 1 1 7/1/2009 8/1/2009
-0.44 1 1 6/1/2008 7/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
159.16 5 2/1/2008 6/1/2008
47.43 5 8/1/2007 12/1/2007
14.75 4 9/1/2009 12/1/2009
8.11 1 8/1/2008 8/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-55.14 1 1/1/2008 1/1/2008
-0.89 12 9/1/2008 8/1/2009
-0.44 1 7/1/2008 7/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods29.0027.0024.0018.0012.00
Percent Profitable51.7251.8554.1794.44100.00
Average Period Return3.9010.2017.1343.1765.94
Average Gain11.3127.7337.7445.7665.94
Average Loss-18.82-28.23-15.89-0.89
Best Period38.8074.33158.02178.95178.95
Worst Period-55.14-49.30-33.86-0.8922.41
Standard Deviation14.4927.3342.2344.9243.02
Gain Standard Deviation9.8723.2748.0344.8943.02
Loss Standard Deviation31.4520.2112.15
Sharpe Ratio (1%)0.260.360.390.941.50
Average Gain / Average Loss0.600.982.3751.41
Profit / Loss Ratio3.003.446.17874.03
Downside Deviation (10%)10.3213.219.821.46
Downside Deviation (5%)10.2612.878.980.45
Downside Deviation (0%)10.2412.798.790.21
Sortino Ratio (10%)0.340.681.4926.18
Sortino Ratio (5%)0.370.771.8594.66
Sortino Ratio (0%)0.380.801.95205.77

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.