Breakout Funds : Breakout

Year-to-Date
26.20%
Sep Performance
-0.56%
Min Investment
$ 5,000k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
11.33%
Sharpe (RFR=1%)
1.26
CAROR
15.63%
Assets
$ 223.8M
Worst DD
-5.07
S&P Correlation
-0.11

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
2/2018
Breakout -0.56 4.93 26.20 25.67 - - - 47.29
S&P 500 -3.92 8.47 4.09 12.98 - - - 23.91
+/- S&P 500 3.36 -3.54 22.11 12.69 - - - 23.38

Strategy Description

Summary

Global macro discretionary with quantitatively researched views... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5,000k
Trading Level Incremental Increase $ 1,000k
CTA Max Funding Factor 5.00
Management Fee 1.00%
Performance Fee 25.00%
Average Commission
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 5000 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 10.00%
1-30 Days 50.00%
Intraday 40.00%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Momentum
20.00%
Pattern Recognition
20.00%
Spreading/hedging
20.00%
Technical
20.00%
Trend-following
20.00%
Strategy Pie Chart

Composition

Stock Indices
50.00%
Currency Futures
10.00%
Precious Metals
10.00%
Interest Rates
10.00%
VIX
10.00%
Grains
5.00%
Softs
5.00%
Composition Pie Chart

Summary

Global macro discretionary with quantitatively researched views

Investment Strategy

We trade approximately 20 futures markets on major global exchanges with an emphasis on intraday stock index price action and volatility. Our trading approach incorporates being patient and selectively waiting for opportunities that show a favorable risk-reward in both time and price. The core of our trading philosophy is the belief that markets experience different regimes and with that, ever changing volatility. The goal of an opportunistic trading manager is to continually research, implement, and capitalize on both existing and new market conditions, capturing volatility and managing risk.

Risk Management

Pre-defined max risk on every set up. We favor cautious 'eye in the sky' risk allocations.

   

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
-5.07 1 2 4/1/2018 5/1/2018
-4.13 1 1 2/1/2018 3/1/2018
-3.95 1 2 10/1/2018 11/1/2018
-3.65 1 3 9/1/2019 10/1/2019
-3.32 1 1 8/1/2018 9/1/2018
-2.61 1 1 6/1/2019 7/1/2019
-1.02 1 1 5/1/2020 6/1/2020
-0.56 1 - 8/1/2020 9/1/2020
-0.50 1 1 1/1/2019 2/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
25.58 7 11/1/2019 5/1/2020
8.96 2 8/1/2019 9/1/2019
6.81 3 6/1/2018 8/1/2018
6.60 1 10/1/2018 10/1/2018
5.53 2 7/1/2020 8/1/2020
5.21 1 4/1/2018 4/1/2018
4.70 2 12/1/2018 1/1/2019
3.42 4 3/1/2019 6/1/2019
1.25 1 2/1/2018 2/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.07 1 5/1/2018 5/1/2018
-4.13 1 3/1/2018 3/1/2018
-3.95 1 11/1/2018 11/1/2018
-3.65 1 10/1/2019 10/1/2019
-3.32 1 9/1/2018 9/1/2018
-2.61 1 7/1/2019 7/1/2019
-1.02 1 6/1/2020 6/1/2020
-0.56 1 9/1/2020 9/1/2020
-0.50 1 2/1/2019 2/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods32.0030.0027.0021.0015.00
Percent Profitable71.8883.33100.00100.00100.00
Average Period Return1.274.128.6616.1924.40
Average Gain2.845.268.6616.1924.40
Average Loss-2.76-1.61
Best Period7.6715.8222.9636.6938.70
Worst Period-5.07-4.250.224.217.56
Standard Deviation3.274.547.0410.1011.27
Gain Standard Deviation2.194.047.0410.1011.27
Loss Standard Deviation1.691.58
Sharpe Ratio (1%)0.360.851.161.502.03
Average Gain / Average Loss1.033.26
Profit / Loss Ratio2.6416.31
Downside Deviation (10%)1.881.300.490.170.01
Downside Deviation (5%)1.730.950.05
Downside Deviation (0%)1.690.87
Sortino Ratio (10%)0.462.2212.7365.242135.06
Sortino Ratio (5%)0.694.06151.40
Sortino Ratio (0%)0.754.71

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 6 4.75 7/2020
Discretionary Trader Index Month 7 2.13 5/2020
Diversified Trader Index Month 9 2.13 5/2020
Discretionary Trader Index Month 10 5.33 4/2020
Diversified Trader Index Month 10 5.33 4/2020
Diversified Trader Index Month 9 5.33 4/2020
Discretionary Trader Index Month 10 5.33 4/2020
Discretionary Trader Index Month 9 7.67 3/2020
Discretionary Trader Index Month 4 2.96 1/2020

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.