Auctos Capital Management : Auctos Global Diversified

archived programs
Year-to-Date
N / A
Dec Performance
0.71%
Min Investment
$ 3,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.20%
Sharpe (RFR=1%)
0.47
CAROR
5.00%
Assets
$ 0k
Worst DD
-12.22
S&P Correlation
0.01

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
11/2007
Auctos Global Diversified 0.71 1.36 - 2.11 -3.61 12.78 58.02 64.28
S&P 500 3.43 5.21 - 18.21 28.55 85.57 80.21 78.66
+/- S&P 500 -2.72 -3.85 - -16.10 -32.16 -72.79 -22.19 -14.38

Strategy Description

Summary

Auctos Capital Management (“Auctos”) is a United States based Alternative Investment management firm founded in 2007. The Auctos Global Diversified Program is an absolute return strategy that seeks to capitalize on rising as well as declining price movements throughout the global... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 3,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$8.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1800 RT/YR/$M
Avg. Margin-to-Equity
8%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
12.25%
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
1.00%
Systematic
99.00%

Strategy

Pattern Recognition
25.00%
Spreading/hedging
25.00%
Trend-following
25.00%
Other
25.00%
Strategy Pie Chart

Composition

Summary

Auctos Capital Management (“Auctos”) is a United States based Alternative Investment management firm founded in 2007. The Auctos Global Diversified Program is an absolute return strategy that seeks to capitalize on rising as well as declining price movements throughout the global financial and commodity markets. The program is 100% systematic and employs a multi-system approach that participates in long, intermediate as well as short-term time frames. Auctos incorporates unique trading models across multiple diverse sub strategies which include relative value, trend following, pattern recognition, spread and machine learning strategies. In addition, the program utilizes a dynamic risk management system and is diversified across markets, time-frames and strategies. Currently, the program participates in over seventy (70) return streams diversified across six (6) market sectors including: Financials, Stock Indices, Energies, Currencies, Metals and Soft Commodities. Catalyst Capital Advisors LLC is a principal in Auctos Capital Management LLC as a result of ownership interest in Auctos. As a result of ownership interest in Catalyst, Jerry John Szilagyi and David S. Miller are listed as principals of Auctos. Previous to August 14, 2015, Auctos Capital Management was Commodity Pool Operator for Auctos Global Diversified Fund LLC. (AGDF). Trading in AGDF ceased as of August 14, 2015 and assets were transferred to Catalyst Auctos Multi-Strategy Fund. Kevin Jamali, Managing Member of Auctos Capital Management LLC, is Portfolio Manager for Catalyst Auctos Multi-Strategy Fund and employs the same trading program models as other accounts managed by Auctos Capital Management LLC. AUM on this site includes managed accounts and Catalyst Auctos Multi-Strategy Fund. Auctos is comprised of a well-balanced team which has strived to establish an organization that is positioned to handle significant increases in AUM. Our objective is to provide the investor with an absolute return portfolio which is robust and non-correlated to traditional asset classes. The program focuses on limiting risk on a portfolio level and as it relates to each strategy. All models are equally weighted across a total of over seventy markets which include outrights and futures spreads. The program is targeting a 10% annualized standard deviation and a drawdown of less than 15%. Auctos will conduct continuous research to improve current strategies or add new ones. It uses significant amounts of historical data and conducts various robustness tests to avoid over optimization.

Investment Strategy

Information contained in summary

Risk Management

See summary

   

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
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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:
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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
-12.22 3 14 6/1/2008 9/1/2008
-11.79 22 14 8/1/2011 6/1/2013
-6.31 7 4 3/1/2015 10/1/2015
-6.28 10 - 2/1/2016 12/1/2016
-5.73 2 2 2/1/2008 4/1/2008
-4.90 2 2 4/1/2011 6/1/2011
-3.91 2 2 11/1/2009 1/1/2010
-3.90 1 2 4/1/2010 5/1/2010
-2.03 2 2 8/1/2014 10/1/2014
-1.33 1 1 1/1/0001 11/1/2007
-1.33 1 1 10/1/2010 11/1/2010
-1.01 1 1 1/1/2015 2/1/2015
-0.62 1 1 2/1/2011 3/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
20.28 3 12/1/2007 2/1/2008
16.53 5 6/1/2010 10/1/2010
12.19 6 10/1/2008 3/1/2009
9.98 3 11/1/2014 1/1/2015
8.84 2 5/1/2008 6/1/2008
7.32 5 4/1/2014 8/1/2014
6.93 3 2/1/2010 4/1/2010
6.71 2 1/1/2016 2/1/2016
6.37 3 12/1/2010 2/1/2011
5.60 2 7/1/2011 8/1/2011
4.94 2 6/1/2016 7/1/2016
4.89 6 7/1/2013 12/1/2013
4.76 1 11/1/2009 11/1/2009
4.31 2 8/1/2009 9/1/2009
3.90 5 1/1/2017 5/1/2017
3.71 1 4/1/2011 4/1/2011
2.22 3 10/1/2017 12/1/2017
2.16 2 7/1/2012 8/1/2012
2.04 1 2/1/2014 2/1/2014
1.89 6 11/1/2011 4/1/2012
1.88 2 3/1/2013 4/1/2013
1.87 1 6/1/2009 6/1/2009
1.44 1 3/1/2015 3/1/2015
1.41 1 9/1/2015 9/1/2015
1.34 1 5/1/2015 5/1/2015
1.30 1 11/1/2015 11/1/2015
0.69 1 7/1/2017 7/1/2017
0.46 1 7/1/2015 7/1/2015
0.27 1 1/1/2013 1/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.22 3 7/1/2008 9/1/2008
-5.90 5 8/1/2016 12/1/2016
-5.73 2 3/1/2008 4/1/2008
-5.35 2 4/1/2009 5/1/2009
-5.26 2 9/1/2011 10/1/2011
-5.21 2 5/1/2013 6/1/2013
-5.10 3 3/1/2016 5/1/2016
-4.90 2 5/1/2011 6/1/2011
-3.91 2 12/1/2009 1/1/2010
-3.90 1 5/1/2010 5/1/2010
-3.74 1 8/1/2015 8/1/2015
-3.53 4 9/1/2012 12/1/2012
-2.92 2 5/1/2012 6/1/2012
-2.23 2 8/1/2017 9/1/2017
-2.20 1 10/1/2015 10/1/2015
-2.13 1 6/1/2017 6/1/2017
-2.03 2 9/1/2014 10/1/2014
-1.91 1 6/1/2015 6/1/2015
-1.73 1 4/1/2015 4/1/2015
-1.36 1 2/1/2013 2/1/2013
-1.33 1 11/1/2010 11/1/2010
-1.33 1 11/1/2007 11/1/2007
-1.16 1 12/1/2015 12/1/2015
-1.01 1 2/1/2015 2/1/2015
-0.62 1 3/1/2011 3/1/2011
-0.46 1 3/1/2014 3/1/2014
-0.29 1 1/1/2014 1/1/2014
-0.26 1 7/1/2009 7/1/2009
-0.17 1 10/1/2009 10/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods122.00120.00117.00111.00105.0099.0087.0075.0063.00
Percent Profitable59.8458.3360.6865.7768.5773.7491.95100.00100.00
Average Period Return0.441.312.394.717.2910.2215.8818.6321.45
Average Gain1.964.075.798.7812.2615.3017.4718.6321.45
Average Loss-1.81-2.55-2.87-3.11-3.57-4.06-2.25
Best Period14.1620.2818.2023.0230.4034.8444.7851.2648.18
Worst Period-5.69-12.22-7.17-7.59-8.65-11.52-4.572.784.41
Standard Deviation2.664.435.617.8810.2211.7912.7810.3811.69
Gain Standard Deviation2.173.454.546.628.389.3112.0810.3811.69
Loss Standard Deviation1.422.191.601.932.532.701.31
Sharpe Ratio (1%)0.140.240.340.470.570.701.011.401.40
Average Gain / Average Loss1.081.602.022.823.433.777.78
Profit / Loss Ratio1.612.243.115.427.4910.5988.89
Downside Deviation (10%)1.672.823.565.126.778.037.887.7212.03
Downside Deviation (5%)1.502.282.342.663.183.401.600.150.09
Downside Deviation (0%)1.452.162.062.132.442.480.72
Sortino Ratio (10%)0.020.03-0.02-0.06-0.050.000.02-0.38-0.51
Sortino Ratio (5%)0.240.470.811.401.822.418.0498.90188.20
Sortino Ratio (0%)0.300.611.162.212.984.1221.95

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.