Ashley Capital : Global Financial

archived programs
Year-to-Date
N / A
Aug Performance
6.85%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
20.13%
Sharpe (RFR=1%)
0.43
CAROR
7.98%
Assets
$ 1.0M
Worst DD
-34.79
S&P Correlation
-0.30

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
1/1997
Global Financial 6.85 - - - - - -5.19 259.29
S&P 500 -3.13 - - - - - 61.97 340.64
+/- S&P 500 9.98 - - - - - -67.16 -81.35

Strategy Description

Summary

Global Financial Program: Trades a variety of markets on US and foreign exchanges. The markets currently traded include stock indexes, interest rates, currencies, and any other commodities necessary to achieve the programs trading objectives. Computer based systematic analysis is employed.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 250k
CTA Max Funding Factor 1.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $25.00
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 4000 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -30.00%
Worst Peak-to-Trough 34.50%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 98.00%
Intraday 2.00%

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Counter-trend
10.00%
Trend-following
90.00%
Strategy Pie Chart

Composition

Summary

Global Financial Program: Trades a variety of markets on US and foreign exchanges. The markets currently traded include stock indexes, interest rates, currencies, and any other commodities necessary to achieve the programs trading objectives. Computer based systematic analysis is employed.

Investment Strategy

The models used are primarily trend following in nature. The methodology includes a layered multi-market, multi-system approach. Duration of models is short to medium term.

   

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
-34.79 42 - 5/1/2009 11/1/2012
-27.20 8 35 2/1/1999 10/1/1999
-20.30 6 2 1/1/2008 7/1/2008
-19.46 49 8 11/1/2002 12/1/2006
-12.73 2 2 9/1/1997 11/1/1997
-12.12 4 2 11/1/2008 3/1/2009
-4.66 1 2 9/1/1998 10/1/1998
-3.30 2 1 10/1/2007 12/1/2007
-1.44 1 2 4/1/1998 5/1/1998
-1.12 1 1 9/1/2002 10/1/2002
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Consecutive Gains

Run-up Length (Mos.) Start End
80.26 4 8/1/2008 11/1/2008
53.74 9 1/1/1997 9/1/1997
50.79 5 6/1/2007 10/1/2007
34.15 4 11/1/1999 2/1/2000
33.47 4 6/1/1998 9/1/1998
27.48 5 12/1/1997 4/1/1998
20.17 3 5/1/2012 7/1/2012
19.53 2 8/1/2011 9/1/2011
17.52 3 12/1/2010 2/1/2011
17.09 2 4/1/2009 5/1/2009
13.68 4 6/1/2002 9/1/2002
13.36 2 12/1/2012 1/1/2013
12.93 3 4/1/2013 6/1/2013
12.67 4 2/1/2010 5/1/2010
11.47 4 11/1/1998 2/1/1999
10.69 4 3/1/2006 6/1/2006
10.59 2 9/1/2000 10/1/2000
9.95 2 9/1/2001 10/1/2001
8.82 1 10/1/2005 10/1/2005
8.50 2 1/1/2007 2/1/2007
7.30 1 1/1/2008 1/1/2008
6.97 2 3/1/2004 4/1/2004
6.85 1 8/1/2013 8/1/2013
6.81 1 11/1/2006 11/1/2006
6.53 4 9/1/2003 12/1/2003
3.68 1 4/1/2007 4/1/2007
3.67 1 12/1/2000 12/1/2000
3.64 1 7/1/1999 7/1/1999
3.36 2 4/1/2000 5/1/2000
3.00 1 1/1/2006 1/1/2006
2.93 1 5/1/2003 5/1/2003
2.79 1 4/1/2005 4/1/2005
2.74 1 8/1/2010 8/1/2010
2.43 2 5/1/2011 6/1/2011
2.23 1 2/1/2005 2/1/2005
2.13 1 11/1/2002 11/1/2002
2.02 1 12/1/2001 12/1/2001
1.77 1 3/1/2001 3/1/2001
1.56 1 6/1/2005 6/1/2005
1.28 1 8/1/2004 8/1/2004
1.25 1 3/1/2002 3/1/2002
1.02 1 3/1/2003 3/1/2003
0.91 1 1/1/2009 1/1/2009
0.91 1 6/1/2001 6/1/2001
0.18 1 11/1/2004 11/1/2004
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Consecutive Losses

Run-up Length (Mos.) Start End
-27.90 8 6/1/2009 1/1/2010
-20.85 7 10/1/2011 4/1/2012
-20.30 6 2/1/2008 7/1/2008
-18.75 4 3/1/1999 6/1/1999
-18.17 3 9/1/2010 11/1/2010
-17.81 4 8/1/2012 11/1/2012
-14.06 4 7/1/2006 10/1/2006
-13.54 3 8/1/1999 10/1/1999
-12.73 2 10/1/1997 11/1/1997
-10.60 1 3/1/2000 3/1/2000
-10.58 2 2/1/2009 3/1/2009
-10.56 2 3/1/2011 4/1/2011
-8.83 3 12/1/2002 2/1/2003
-8.75 1 12/1/2006 12/1/2006
-8.44 1 7/1/2013 7/1/2013
-8.37 3 6/1/2000 8/1/2000
-6.82 1 3/1/2007 3/1/2007
-6.82 1 11/1/2001 11/1/2001
-6.61 3 7/1/2005 9/1/2005
-5.90 3 6/1/2003 8/1/2003
-4.66 1 10/1/1998 10/1/1998
-4.55 1 2/1/2006 2/1/2006
-4.41 3 5/1/2004 7/1/2004
-4.20 1 7/1/2011 7/1/2011
-4.01 2 2/1/2013 3/1/2013
-3.83 2 9/1/2004 10/1/2004
-3.68 2 11/1/2005 12/1/2005
-3.63 2 1/1/2002 2/1/2002
-3.55 1 3/1/2005 3/1/2005
-3.52 2 4/1/2001 5/1/2001
-3.30 2 11/1/2007 12/1/2007
-3.17 1 5/1/2007 5/1/2007
-2.65 2 1/1/2001 2/1/2001
-2.60 1 12/1/2008 12/1/2008
-2.53 2 12/1/2004 1/1/2005
-2.26 2 4/1/2002 5/1/2002
-2.14 1 5/1/2005 5/1/2005
-1.66 2 1/1/2004 2/1/2004
-1.62 2 7/1/2001 8/1/2001
-1.56 1 11/1/2000 11/1/2000
-1.44 1 5/1/1998 5/1/1998
-1.41 1 4/1/2003 4/1/2003
-1.12 1 10/1/2002 10/1/2002
-0.93 2 6/1/2010 7/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods200.00198.00195.00189.00183.00177.00165.00153.00141.00
Percent Profitable50.0050.5153.8555.5657.9261.0267.8875.8284.40
Average Period Return0.802.444.517.9311.6715.3021.0728.0436.50
Average Gain4.9910.5014.6620.7025.7330.3335.8040.5244.15
Average Loss-3.46-5.78-7.33-8.02-7.68-8.23-10.05-11.10-4.93
Best Period29.3075.3577.1774.91124.79131.32107.86123.17121.35
Worst Period-10.60-19.67-23.27-24.51-32.33-30.37-29.63-32.89-13.99
Standard Deviation5.8112.2216.9621.3526.4133.0635.2436.0733.26
Gain Standard Deviation5.0111.9816.7120.5826.5434.3733.6032.2830.51
Loss Standard Deviation2.704.666.106.156.517.097.269.413.82
Sharpe Ratio (1%)0.120.180.240.320.390.400.510.660.94
Average Gain / Average Loss1.441.822.002.583.353.693.563.658.96
Profit / Loss Ratio1.471.862.333.234.615.777.5311.4548.44
Downside Deviation (10%)3.295.917.849.6410.9812.8016.1518.2316.43
Downside Deviation (5%)3.115.356.737.267.297.778.478.774.34
Downside Deviation (0%)3.065.216.466.726.516.767.007.112.44
Sortino Ratio (10%)0.120.210.260.300.370.390.330.360.54
Sortino Ratio (5%)0.230.410.600.951.401.712.132.737.24
Sortino Ratio (0%)0.260.470.701.181.792.263.013.9414.95

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.