BelAir Capital Asset Management : Managed Account Program

archived programs
Year-to-Date
N / A
Dec Performance
-3.72%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
18.58%
Sharpe (RFR=1%)
0.19
CAROR
2.96%
Assets
$ 1.1M
Worst DD
-26.05
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
8/2006
Managed Account Program -3.72 - - - - - -16.24 24.20
S&P 500 2.36 - - - - - 66.20 165.69
+/- S&P 500 -6.08 - - - - - -82.44 -141.49

Strategy Description

Summary

The program primarily involves buying and selling futures on United States regulated exchanges. The Advisor may trade options. The Advisor follows most commodity futures markets in the United States but focuses on currencies, financials, soft commodities, metals, grains, meats, agricultural... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $4,000.00
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 4250 RT/YR/$M
Avg. Margin-to-Equity 7%
Targeted Worst DD -5.00%
Worst Peak-to-Trough 24.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 20.00%
1-30 Days 60.00%
Intraday 20.00%

Decision-Making

Discretionary 20.00%
Systematic 80.00%

Strategy

Technical
80.00%
Other
20.00%
Strategy Pie Chart

Composition

Softs
25.00%
Precious Metals
20.00%
Grains
20.00%
Stock Indices
20.00%
Currency Futures
10.00%
Energy
5.00%
Composition Pie Chart

Summary

The program primarily involves buying and selling futures on United States regulated exchanges. The Advisor may trade options. The Advisor follows most commodity futures markets in the United States but focuses on currencies, financials, soft commodities, metals, grains, meats, agricultural products, stock indices, and other markets as the Advisor may determine in the future. The Advisor currently does not trade on international exchanges and does not trade FOREX, however there are no restrictions or limitations on what commodity interests or other interests the Advisor may or may not trade. If the Advisor decides to trade these markets and products, the Advisor will notify you before doing so. The average amount of funds invested for margin purposes at one time will generally be approximately 5% to 10% however, the percentage may be substantially higher or lower based upon the current market conditions. On the average, the Advisor expects the Program to trade 3,500 to 5,000 round turn contracts per $1,000,000; however, this average can fluctuate substantially based upon market conditions and volatility. Generally, when new client accounts are established, the Advisor will need approximately three to four weeks to initiate new positions or enter markets until the account is fully invested in the program. During this period, it is possible that the performance of new accounts will vary from accounts that have been existing in the program.

Investment Strategy

Trading Philosophy and Methodology The Advisor’s objective is to achieve capital appreciation for its clients through speculative trading of futures and options. In order to do so, the Advisor currently offers one trading program. Although the system is primarily technical and rule based, the Advisor does give consideration to available fundamental data in order to give the best risk/reward possible and therefore, will exercise a certain level of discretion over the program. Decisions on whether or not to act upon a trade signal depends upon a combination of technical timing and potential risk points associated with trades. Entry points are determined by the market itself. Market psychology and market action suggests that that the lowest risk time to buy or to sell occurs after a directional move (with the trend or counter to the trend) has been exhausted. Set ups for low risk entry into markets is associated with previous supply or demand price points (highs and lows). Once a potential set up point is identified, the market will move to confirm that a new high or new low has been established. The proprietary technical parameters used in association with the system determine at the earliest time when a high or low has been established. This method also helps in determining the risk associated with each trade.

Risk Management

Stop losses may be used in association with the risk points associated with the potential new high or new low. The use of stop loss orders are at the discretion of the Advisor. Further discretion can be used to enter or exit trades by measuring volatility, risk associated with a trade and to determine the validity of the setup points.

   

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
-26.05 29 - 2/1/2011 7/1/2013
-24.05 7 23 2/1/2008 9/1/2008
-11.50 2 2 11/1/2006 1/1/2007
-8.71 3 1 3/1/2007 6/1/2007
-6.37 1 1 8/1/2006 9/1/2006
-5.43 2 1 9/1/2007 11/1/2007
-0.47 1 1 12/1/2010 1/1/2011
-0.11 1 1 9/1/2010 10/1/2010
-0.10 1 1 7/1/2007 8/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
23.45 2 10/1/2006 11/1/2006
22.95 1 6/1/2008 6/1/2008
19.32 6 4/1/2010 9/1/2010
18.45 3 12/1/2007 2/1/2008
15.72 2 2/1/2007 3/1/2007
12.31 3 8/1/2013 10/1/2013
11.86 1 7/1/2007 7/1/2007
7.82 2 10/1/2008 11/1/2008
7.40 3 10/1/2009 12/1/2009
7.07 4 1/1/2009 4/1/2009
6.84 1 9/1/2007 9/1/2007
5.51 1 2/1/2011 2/1/2011
5.21 1 8/1/2011 8/1/2011
4.30 2 1/1/2012 2/1/2012
2.70 1 7/1/2009 7/1/2009
2.68 2 6/1/2012 7/1/2012
2.58 1 5/1/2007 5/1/2007
2.08 1 4/1/2008 4/1/2008
1.18 1 8/1/2006 8/1/2006
0.94 1 6/1/2011 6/1/2011
0.47 1 6/1/2013 6/1/2013
0.37 2 11/1/2010 12/1/2010
0.03 1 12/1/2012 12/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-23.70 3 7/1/2008 9/1/2008
-12.63 1 3/1/2008 3/1/2008
-11.50 2 12/1/2006 1/1/2007
-9.49 4 9/1/2011 12/1/2011
-9.22 1 5/1/2008 5/1/2008
-8.70 4 8/1/2012 11/1/2012
-8.54 5 1/1/2013 5/1/2013
-7.30 1 4/1/2007 4/1/2007
-6.69 3 3/1/2012 5/1/2012
-6.48 3 3/1/2011 5/1/2011
-6.37 1 9/1/2006 9/1/2006
-6.31 2 11/1/2013 12/1/2013
-5.43 2 10/1/2007 11/1/2007
-5.15 3 1/1/2010 3/1/2010
-4.00 1 6/1/2007 6/1/2007
-2.67 2 8/1/2009 9/1/2009
-1.41 1 12/1/2008 12/1/2008
-1.30 2 5/1/2009 6/1/2009
-1.16 1 7/1/2013 7/1/2013
-0.76 1 7/1/2011 7/1/2011
-0.47 1 1/1/2011 1/1/2011
-0.11 1 10/1/2010 10/1/2010
-0.10 1 8/1/2007 8/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods89.0087.0084.0078.0072.0066.0054.0042.0030.00
Percent Profitable48.3156.3247.6250.0052.7865.1575.9378.5773.33
Average Period Return0.381.211.632.903.944.9010.4315.9314.58
Average Gain4.126.319.2014.1816.1814.5317.1121.5122.96
Average Loss-3.11-5.36-5.26-8.37-9.75-13.10-10.63-4.52-8.46
Best Period22.9519.8726.4237.7944.5136.5036.1860.0259.65
Worst Period-14.70-23.70-18.89-17.05-20.00-21.06-18.80-7.89-17.96
Standard Deviation5.367.719.0313.4615.6816.0414.2917.6820.26
Gain Standard Deviation4.695.116.428.9110.7910.228.2615.8016.72
Loss Standard Deviation3.165.064.255.135.726.376.402.205.79
Sharpe Ratio (1%)0.060.130.120.140.160.180.520.670.47
Average Gain / Average Loss1.321.181.751.691.661.111.614.762.71
Profit / Loss Ratio1.241.521.591.691.862.075.0817.457.46
Downside Deviation (10%)3.385.476.3810.1312.6814.6113.9915.0522.03
Downside Deviation (5%)3.214.965.167.548.659.657.364.177.60
Downside Deviation (0%)3.174.844.876.927.748.566.032.305.19
Sortino Ratio (10%)-0.010.00-0.13-0.21-0.29-0.37-0.38-0.37-0.59
Sortino Ratio (5%)0.090.190.220.250.280.301.012.851.25
Sortino Ratio (0%)0.120.250.330.420.510.571.736.922.81

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.