Bamboo Trading : Discretionary Macro Program

Year-to-Date
5.81%
Sep Performance
-2.05%
Min Investment
$ 500k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
30.39%
Sharpe (RFR=1%)
0.71
CAROR
19.88%
Assets
$ 4.0M
Worst DD
-35.26
S&P Correlation
-0.10

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
1/2011
Discretionary Macro Program -2.05 -5.67 -5.81 -11.60 -9.96 62.98 - 388.86
S&P 500 1.72 1.19 18.74 2.15 35.89 49.39 - 129.07
+/- S&P 500 -3.77 -6.86 -24.55 -13.74 -45.85 13.59 - 259.79

Strategy Description

Summary

- From January 2011 to December 2016 they are pro-forma returns from our audited managed account. The numbers are based on actual gross returns applying a 0% management fee and 20% performance fee, assuming an initial fund size of USD 100M and operating costs of USD 300k p.a. - From... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 500k
CTA Max Funding Factor
2.00
Management Fee
0%
Performance Fee
30.00%
Average Commission
$5.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
3000 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
15.00%
Worst Peak-to-Trough
-37.72%
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Fundamental
50.00%
Pattern Recognition
50.00%
Strategy Pie Chart

Composition

Currency Futures
25.00%
Interest Rates
25.00%
Stock Indices
25.00%
Precious Metals
15.00%
Energy
10.00%
Composition Pie Chart

Summary

- From January 2011 to December 2016 they are pro-forma returns from our audited managed account. The numbers are based on actual gross returns applying a 0% management fee and 20% performance fee, assuming an initial fund size of USD 100M and operating costs of USD 300k p.a. - From January 2017 onwards the returns are based on a composite of audited client managed accounts.

Our trading process is used to exploit directional moves born out of global macro events. We trade 40 of the most liquid futures markets, both in the US and internationally, across equity index, rates, currency, metals and energy.

Investment Strategy

A fundamental economic framework is created utilising various inputs such as economic data, news, policy decisions, supply and demand etc. This forms the basis of our view of the global economy and underpinnings it has on various markets. A quantitative volatility filter is then applied to determine the various market regimes. This is then combined to produce various scenarios of market direction and direction type. However, determining the direction and direction type, does not solve the issue of timing.

Patterns are identified across the liquid tradable universe of equity index, rates, currency and commodity futures for asymmetric qualities and movement potential. This is conducted as an independent exercise without the influence of the framework above. This is our effort to solve the issue to timing in regards to optimal entry and exit points. Once this step is complete, we move onto portfolio composition.

Portfolio is constructed by the overlapping areas of the fundamental framework and pattern recognition. This narrows down the asset classes for consideration. Once the overlap is identified, a qualitative judgement is made as to the ranking of various assets in the portfolio. A quantitative approach is then applied to sizing of individual trades which is then managed on a portfolio basis.

Risk Management

Once the foundation of the portfolio is laid, strict risk management and dynamic sizing enables us to maximize opportunities as they unfold and limit downside.

Risk management parameters are applied to individual trades. Dynamic sizing is applied aggressively on a portfolio level, for risk management and profit maximization. This is influenced by price action, market pressure, reaction to exogenous data, news and trade duration.

   

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
-35.26 14 3 6/1/2013 8/1/2014
-25.99 3 2 4/1/2011 7/1/2011
-18.13 2 1 2/1/2012 4/1/2012
-14.43 16 - 5/1/2018 9/1/2019
-12.86 1 1 2/1/2011 3/1/2011
-11.00 15 6 12/1/2015 3/1/2017
-9.30 2 6 9/1/2017 11/1/2017
-7.74 1 1 2/1/2013 3/1/2013
-3.27 1 1 5/1/2015 6/1/2015
-3.04 1 1 8/1/2015 9/1/2015
-2.26 1 1 12/1/2011 1/1/2012
-1.35 1 1 9/1/2011 10/1/2011
-1.02 1 1 9/1/2012 10/1/2012
-0.86 1 1 3/1/2015 4/1/2015
-0.42 1 1 1/1/0001 1/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
101.69 7 9/1/2014 3/1/2015
57.13 5 5/1/2012 9/1/2012
44.41 2 8/1/2011 9/1/2011
36.19 1 4/1/2011 4/1/2011
30.92 3 4/1/2013 6/1/2013
28.32 2 11/1/2011 12/1/2011
22.14 1 2/1/2011 2/1/2011
15.49 2 7/1/2015 8/1/2015
14.64 3 10/1/2013 12/1/2013
12.12 4 5/1/2016 8/1/2016
10.68 3 4/1/2017 6/1/2017
10.25 4 11/1/2012 2/1/2013
10.14 3 10/1/2015 12/1/2015
7.31 3 12/1/2017 2/1/2018
6.56 2 4/1/2018 5/1/2018
6.36 1 9/1/2017 9/1/2017
6.06 1 5/1/2015 5/1/2015
5.02 1 12/1/2016 12/1/2016
4.06 1 2/1/2014 2/1/2014
3.44 1 2/1/2012 2/1/2012
2.73 2 3/1/2019 4/1/2019
2.65 2 12/1/2018 1/1/2019
2.64 1 9/1/2018 9/1/2018
1.86 1 6/1/2019 6/1/2019
0.14 1 6/1/2014 6/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-25.99 3 5/1/2011 7/1/2011
-20.68 3 7/1/2013 9/1/2013
-18.13 2 3/1/2012 4/1/2012
-14.60 3 3/1/2014 5/1/2014
-12.86 1 3/1/2011 3/1/2011
-12.04 2 7/1/2014 8/1/2014
-10.95 4 1/1/2016 4/1/2016
-9.30 2 10/1/2017 11/1/2017
-9.05 1 1/1/2014 1/1/2014
-8.66 3 1/1/2017 3/1/2017
-7.74 1 3/1/2013 3/1/2013
-7.08 3 9/1/2016 11/1/2016
-7.00 2 10/1/2018 11/1/2018
-5.69 3 6/1/2018 8/1/2018
-5.67 3 7/1/2019 9/1/2019
-4.62 1 2/1/2019 2/1/2019
-3.82 2 7/1/2017 8/1/2017
-3.27 1 6/1/2015 6/1/2015
-3.04 1 9/1/2015 9/1/2015
-2.26 1 1/1/2012 1/1/2012
-1.63 1 5/1/2019 5/1/2019
-1.35 1 10/1/2011 10/1/2011
-1.02 1 10/1/2012 10/1/2012
-0.86 1 4/1/2015 4/1/2015
-0.42 1 1/1/2011 1/1/2011
-0.32 1 3/1/2018 3/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods105.00103.00100.0094.0088.0082.0070.0058.0046.00
Percent Profitable54.2962.1463.0077.6676.1482.9390.0096.55100.00
Average Period Return1.875.5511.1324.2737.0848.7472.86125.35165.78
Average Gain7.0213.1521.6334.1450.3359.8381.62129.91165.78
Average Loss-4.25-6.94-6.74-10.03-5.20-5.16-5.95-2.30
Best Period38.4065.5589.56136.92154.40207.40204.43339.31448.35
Worst Period-18.15-25.99-24.78-33.20-21.81-11.53-9.96-2.8062.98
Standard Deviation8.7714.8621.5835.8746.3653.5951.2388.45107.58
Gain Standard Deviation8.3713.4820.5434.5645.5852.3346.2786.57107.58
Loss Standard Deviation4.045.825.739.655.223.163.020.70
Sharpe Ratio (1%)0.200.360.490.650.770.871.361.371.49
Average Gain / Average Loss1.651.903.213.409.6811.6013.7356.44
Profit / Loss Ratio1.963.115.4611.8330.8756.35123.541580.33
Downside Deviation (10%)4.156.146.598.527.057.037.795.07
Downside Deviation (5%)3.995.665.596.864.123.232.981.19
Downside Deviation (0%)3.955.545.356.503.562.472.080.44
Sortino Ratio (10%)0.350.701.322.264.185.477.3320.49
Sortino Ratio (5%)0.450.941.903.398.6414.4823.46102.36
Sortino Ratio (0%)0.471.002.083.7310.4219.7035.07286.69

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.