Breakout Funds : Breakout

Year-to-Date
8.11%
Oct Performance
-3.65%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
11.93%
Sharpe (RFR=1%)
0.56
CAROR
-
Assets
$ 44.7M
Worst DD
-5.07
S&P Correlation
-0.16

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
2/2018
Breakout -3.65 4.98 8.11 5.81 - - - 12.92
S&P 500 2.04 1.92 21.16 12.01 - - - 11.92
+/- S&P 500 -5.69 3.07 -13.05 -6.20 - - - 1.00

Strategy Description

Summary

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

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
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
10000 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
25.00%
Intraday
65.00%

Decision-Making

Discretionary
75.00%
Systematic
25.00%

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 - 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
-0.50 1 1 1/1/2019 2/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
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
5.21 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
-0.50 1 2/1/2019 2/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods21.0019.0016.0010.00
Percent Profitable66.6778.95100.00100.00
Average Period Return0.642.254.228.54
Average Gain2.613.364.228.54
Average Loss-3.32-1.91
Best Period6.606.818.7917.07
Worst Period-5.07-4.250.224.21
Standard Deviation3.442.882.243.83
Gain Standard Deviation2.151.952.243.83
Loss Standard Deviation1.451.65
Sharpe Ratio (1%)0.160.701.661.97
Average Gain / Average Loss0.791.76
Profit / Loss Ratio1.586.60
Downside Deviation (10%)2.291.590.630.25
Downside Deviation (5%)2.111.190.07
Downside Deviation (0%)2.071.09
Sortino Ratio (10%)0.100.642.7614.23
Sortino Ratio (5%)0.261.6953.08
Sortino Ratio (0%)0.312.06

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.