BG Amethyst Capital, LLC : Managed Account Program

archived programs
Year-to-Date
N / A
Oct Performance
-0.62%
Min Investment
$ 1,000k
Mgmt. Fee
3.00%
Perf. Fee
25.00%
Annualized Vol
4.61%
Sharpe (RFR=1%)
-0.69
CAROR
-2.27%
Assets
$ 15.7M
Worst DD
-15.84
S&P Correlation
-0.22

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
1/2008
Managed Account Program -0.62 - - - - - -6.80 -10.51
S&P 500 -1.98 - - - - - 59.40 134.75
+/- S&P 500 1.36 - - - - - -66.21 -145.26

Strategy Description

Summary

Based on more than 25 years combined trading at Louis-Drefus Corp., Stephane Bernhard and Eduardo Grau, have developed a systematic approach to trading futures markets. BG-Amethyst Capital uses different trading algorithms designed to exploit a variety of market phenomena over a variety... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 3.00%
Performance Fee 25.00%
Average Commission $8.00
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 850 RT/YR/$M
Avg. Margin-to-Equity 3%
Targeted Worst DD
Worst Peak-to-Trough 0%
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 5.00%
Systematic 95.00%

Strategy

Counter-trend
25.00%
Trend-following
75.00%
Strategy Pie Chart

Composition

Currency Futures
20.00%
Industrial Metals
20.00%
Grains
20.00%
Interest Rates
20.00%
Stock Indices
20.00%
Composition Pie Chart

Summary

Based on more than 25 years combined trading at Louis-Drefus Corp., Stephane Bernhard and Eduardo Grau, have developed a systematic approach to trading futures markets. BG-Amethyst Capital uses different trading algorithms designed to exploit a variety of market phenomena over a variety of time frames ranging from a few days to some weeks. BG-Amethyst Capital trades a diversified portfolio of markets that include US indices, forex futures, financials, industrial, and agricultural commodities futures. A special emphasize is placed on the risk management in order to achieve the highest risk/reward. The methodology is based on a proprietary trend-following/momentum approach. The repetitive patterns that BG-Amethyst Capital systems track are universal and work in any market and most time frames. At the core of the methodology is the willingness to cut losers fast and let winners run at their maximum.

Risk Management

Various risk management tools will be used by BG Amethyst, including stop-loss orders. Stop-loss orders may not necessarily limit losses since they become market orders when triggered. As a result, a stop-loss order may not be executed at the stop-loss price, thereby increasing losses. Additionally, risk may be managed by varying the size of positions based in part on an assessment of market volatility. BG Amethyst will also attempt to reduced risk through portfolio diversification.

   

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
-15.84 42 - 10/1/2008 4/1/2012
-1.40 1 2 7/1/2008 8/1/2008
-0.39 1 1 4/1/2008 5/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
4.23 3 12/1/2010 2/1/2011
4.22 4 1/1/2008 4/1/2008
2.59 1 3/1/2010 3/1/2010
2.58 1 10/1/2010 10/1/2010
2.17 1 4/1/2011 4/1/2011
1.92 2 5/1/2010 6/1/2010
1.92 2 9/1/2008 10/1/2008
1.57 2 6/1/2008 7/1/2008
0.98 1 5/1/2012 5/1/2012
0.81 1 9/1/2011 9/1/2011
0.70 3 7/1/2012 9/1/2012
0.60 1 2/1/2012 2/1/2012
0.56 1 1/1/2010 1/1/2010
0.48 1 2/1/2009 2/1/2009
0.46 1 8/1/2010 8/1/2010
0.20 1 5/1/2009 5/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.59 7 6/1/2009 12/1/2009
-7.35 4 5/1/2011 8/1/2011
-3.35 3 11/1/2008 1/1/2009
-2.69 4 10/1/2011 1/1/2012
-2.47 2 3/1/2009 4/1/2009
-1.76 1 7/1/2010 7/1/2010
-1.68 1 11/1/2010 11/1/2010
-1.58 1 3/1/2011 3/1/2011
-1.43 2 3/1/2012 4/1/2012
-1.40 1 8/1/2008 8/1/2008
-1.22 1 4/1/2010 4/1/2010
-0.70 1 6/1/2012 6/1/2012
-0.62 1 10/1/2012 10/1/2012
-0.40 1 9/1/2010 9/1/2010
-0.39 1 5/1/2008 5/1/2008
-0.26 1 2/1/2010 2/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods58.0056.0053.0047.0041.0035.0023.00
Percent Profitable44.8342.8635.8523.4014.630.000.00
Average Period Return-0.18-0.63-1.47-3.54-5.40-6.13-9.26
Average Gain1.001.432.272.952.23
Average Loss-1.14-2.18-3.56-5.52-6.71-6.13-9.26
Best Period2.594.234.726.734.06-1.40-3.51
Worst Period-3.60-6.99-8.47-11.65-12.33-11.28-14.53
Standard Deviation1.332.283.504.734.442.913.44
Gain Standard Deviation0.801.261.422.501.21
Loss Standard Deviation0.801.532.383.213.322.913.44
Sharpe Ratio (1%)-0.20-0.39-0.56-0.96-1.55-2.80-3.57
Average Gain / Average Loss0.870.650.640.530.33
Profit / Loss Ratio0.710.490.360.160.06
Downside Deviation (10%)1.292.845.229.7313.7116.6325.25
Downside Deviation (5%)1.082.163.756.358.178.6412.74
Downside Deviation (0%)1.032.003.415.576.896.779.85
Sortino Ratio (10%)-0.46-0.66-0.75-0.88-0.95-0.99-0.99
Sortino Ratio (5%)-0.25-0.41-0.52-0.72-0.85-0.94-0.96
Sortino Ratio (0%)-0.18-0.32-0.43-0.64-0.78-0.91-0.94

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.