B G Asset Management LLC : Futures Trend Trading Programme

archived programs
Year-to-Date
N / A
Aug Performance
0.25%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
24.32%
Sharpe (RFR=1%)
-0.41
CAROR
-
Assets
$ 88k
Worst DD
-14.59
S&P Correlation
-0.46

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
1/2013
Futures Trend Trading Programme 0.25 - - - - - - -7.51
S&P 500 -3.13 - - - - - - 131.27
+/- S&P 500 3.38 - - - - - - -138.78

Strategy Description

Summary

The aim of the Futures Trend Trading Program is to catch new trends or breakouts after periods of consolidation and ride the trend or breakout until profit targets are reached. The strategy is based primarily on technical analysis, backed up by fundamental analysis. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor
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 160 RT/YR/$M
Avg. Margin-to-Equity 6%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 10.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 80.00%
1-30 Days 20.00%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Fundamental
20.00%
Technical
40.00%
Trend-following
40.00%
Strategy Pie Chart

Composition

Currency Futures
30.00%
Energy
20.00%
Grains
20.00%
Precious Metals
15.00%
Softs
10.00%
Industrial Metals
5.00%
Composition Pie Chart

Summary

The aim of the Futures Trend Trading Program is to catch new trends or breakouts after periods of consolidation and ride the trend or breakout until profit targets are reached. The strategy is based primarily on technical analysis, backed up by fundamental analysis.

Investment Strategy

Once technical analysis reveals a possible floor forming in a down-trending market or a ceiling forming in an up-trending market, extensive fundamental analysis would be carried out to determine the reasons behind the new price action. If the fundamentals point to a sustained move, relevant levels of execution are established. These would be: Support, in a possible new downtrend or, in a possible new uptrend, resistance. An entry point below support or above resistance. A stop loss level to minimise risk in the event the trade fails. The stop loss level would restrict loss to no more than 2% of invested Capital. A take profit level, set at preferably three times, the stop loss level (where 3 times the stop loss level would not be feasible, 2 times would be used). A long order with a stop loss $1 below entry price would have a take profit $3 above above entry price. Executed trades usually last between a month to three months. As positions move into profit, the stop loss level is moved to lock in and protect some of this profit. Positions are closed by price hitting the take profit target, or in the absence of a sustained move, price hitting the stop loss level.

Risk Management

No more than 2% of invested capital is risked on each trade. Average exposure at any one time is 6% of invested capital.

   

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:
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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
-14.59 4 - 3/1/2013 7/1/2013
-4.05 1 2 1/1/0001 1/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
12.57 2 2/1/2013 3/1/2013
6.09 1 6/1/2013 6/1/2013
0.25 1 8/1/2013 8/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.67 1 7/1/2013 7/1/2013
-6.74 2 4/1/2013 5/1/2013
-4.05 1 1/1/2013 1/1/2013
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Time Windows Analysis

 1 Month3 Month
Number of Periods8.006.00
Percent Profitable50.0050.00
Average Period Return-0.75-0.51
Average Gain4.655.81
Average Loss-6.15-6.83
Best Period8.388.33
Worst Period-13.67-11.24
Standard Deviation7.028.10
Gain Standard Deviation3.464.10
Loss Standard Deviation5.035.22
Sharpe Ratio (1%)-0.12-0.09
Average Gain / Average Loss0.760.85
Profit / Loss Ratio0.760.85
Downside Deviation (10%)5.566.45
Downside Deviation (5%)5.385.84
Downside Deviation (0%)5.335.69
Sortino Ratio (10%)-0.21-0.27
Sortino Ratio (5%)-0.15-0.13
Sortino Ratio (0%)-0.14-0.09

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.