Briarwood Capital Management, Inc. : Diversified 2XL

archived programs
Year-to-Date
N / A
Mar Performance
-11.87%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
21.86%
Sharpe (RFR=1%)
0.40
CAROR
7.64%
Assets
$ 0k
Worst DD
-38.72
S&P Correlation
0.05

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
11/2004
Diversified 2XL -11.87 -11.87 - -8.79 -37.71 -27.74 46.24 131.68
S&P 500 6.60 0.77 - -0.39 31.26 55.32 59.04 78.61
+/- S&P 500 -18.47 -12.64 - -8.39 -68.97 -83.06 -12.81 53.07

Strategy Description

Summary

Briarwood Capital Management employs a proprietary investment strategy across a well-diversified mix of traditional commodity and financial futures markets. In the 2XL Series, Briarwood seeks superior risk-adjusted returns through a leveraged managed futures investment vehicle. The... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
1800 RT/YR/$M
Avg. Margin-to-Equity
8%
Targeted Worst DD
-24.00%
Worst Peak-to-Trough
24.69%
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

Trend-following
95.00%
Other
5.00%
Strategy Pie Chart

Composition

Currency Futures
23.00%
Interest Rates
22.00%
Grains
15.00%
Softs
15.00%
Energy
10.00%
Precious Metals
5.00%
Industrial Metals
5.00%
Stock Indices
5.00%
Composition Pie Chart

Summary

Briarwood Capital Management employs a proprietary investment strategy across a well-diversified mix of traditional commodity and financial futures markets. In the 2XL Series, Briarwood seeks superior risk-adjusted returns through a leveraged managed futures investment vehicle. The 2XL Series historically has demonstrated a low correlation to tradional stock and bond investments. It is the opinion of Briarwood Capital Management that the 2XL Series will continue to demonstrate such low correlation. The 2XL Series fund does employ leverage and its volatility may not be suitable for all potential investors. Briarwood also offers other investment vehicles, such as separately managed accounts, whose information is not included on this page. Please contact Briarwood Capital Management for further information on the 2XL Series or any of Briarwood's investment offerings.

Investment Strategy

Briarwood Capital Management’s 2XL Series participates in select long term and intermediate term trends in the futures markets. The managed futures strategy employed by the 2XL Series is composed of three separate proprietary investing models working in tandem. One model identifies long term trading opportunities and signals participation in major trends. This long term trend model is complemented by two intermediate term trading models that attempt to capture statistically profitable medium term trends through the use of sophisticated pattern recognition trend-following techniques.

Risk Management

To help limit downside volatility, Briarwood employs a risk management overlay that helps evaluate the risk/reward profile of each trade as well as the risk/reward profile of all open positions. While there is no guarantee against losses, Briarwood Capital Management does invest exclusively in exchange-traded futures contracts to help facilitate liquidity.

   

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
-38.72 35 - 1/1/2013 12/1/2015
-24.63 5 12 11/1/2009 4/1/2010
-20.12 4 4 3/1/2008 7/1/2008
-18.03 9 11 4/1/2011 1/1/2012
-16.21 2 10 11/1/2004 1/1/2005
-8.90 4 1 12/1/2008 4/1/2009
-7.86 1 3 5/1/2009 6/1/2009
-5.81 1 4 9/1/2007 10/1/2007
-4.90 3 1 5/1/2006 8/1/2006
-4.43 1 1 2/1/2006 3/1/2006
-3.89 4 1 11/1/2006 3/1/2007
-3.18 1 1 9/1/2009 10/1/2009
-0.22 1 1 4/1/2007 5/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
41.94 7 8/1/2005 2/1/2006
31.28 6 5/1/2010 10/1/2010
31.18 1 5/1/2009 5/1/2009
26.26 3 11/1/2012 1/1/2013
18.68 3 9/1/2006 11/1/2006
18.54 1 11/1/2004 11/1/2004
17.21 1 11/1/2009 11/1/2009
16.71 2 11/1/2008 12/1/2008
16.34 5 11/1/2007 3/1/2008
15.19 1 11/1/2015 11/1/2015
14.66 2 1/1/2016 2/1/2016
13.56 2 4/1/2006 5/1/2006
13.18 1 4/1/2011 4/1/2011
12.63 1 2/1/2012 2/1/2012
11.86 2 8/1/2008 9/1/2008
10.45 4 6/1/2007 9/1/2007
9.37 3 7/1/2009 9/1/2009
8.21 3 7/1/2012 9/1/2012
7.84 2 2/1/2005 3/1/2005
4.65 1 5/1/2005 5/1/2005
4.29 1 7/1/2011 7/1/2011
4.27 1 4/1/2007 4/1/2007
4.06 1 12/1/2013 12/1/2013
3.35 1 6/1/2014 6/1/2014
3.06 1 3/1/2013 3/1/2013
2.59 1 9/1/2015 9/1/2015
2.57 1 3/1/2015 3/1/2015
2.17 1 7/1/2013 7/1/2013
2.03 1 2/1/2014 2/1/2014
1.44 1 12/1/2010 12/1/2010
1.39 1 5/1/2013 5/1/2013
1.30 1 1/1/2007 1/1/2007
0.76 1 1/1/2015 1/1/2015
0.76 1 2/1/2011 2/1/2011
0.22 1 5/1/2012 5/1/2012
0.08 1 9/1/2013 9/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-24.63 5 12/1/2009 4/1/2010
-20.12 4 4/1/2008 7/1/2008
-16.21 2 12/1/2004 1/1/2005
-16.15 6 8/1/2011 1/1/2012
-15.05 5 4/1/2015 8/1/2015
-13.60 1 12/1/2015 12/1/2015
-13.54 3 3/1/2014 5/1/2014
-11.87 1 3/1/2016 3/1/2016
-11.19 6 7/1/2014 12/1/2014
-8.90 4 1/1/2009 4/1/2009
-8.02 2 3/1/2012 4/1/2012
-7.86 1 6/1/2009 6/1/2009
-6.47 1 4/1/2005 4/1/2005
-6.27 2 5/1/2011 6/1/2011
-5.81 1 10/1/2007 10/1/2007
-5.61 1 8/1/2013 8/1/2013
-5.47 1 6/1/2013 6/1/2013
-4.90 3 6/1/2006 8/1/2006
-4.74 1 10/1/2012 10/1/2012
-4.43 1 3/1/2006 3/1/2006
-4.25 1 1/1/2014 1/1/2014
-3.72 1 2/1/2013 2/1/2013
-3.59 1 12/1/2006 12/1/2006
-3.35 2 10/1/2013 11/1/2013
-3.18 1 10/1/2009 10/1/2009
-2.95 1 10/1/2015 10/1/2015
-2.33 1 1/1/2011 1/1/2011
-1.91 2 6/1/2005 7/1/2005
-1.60 2 2/1/2007 3/1/2007
-1.27 1 11/1/2010 11/1/2010
-1.18 1 4/1/2013 4/1/2013
-0.56 1 6/1/2012 6/1/2012
-0.40 1 2/1/2015 2/1/2015
-0.22 1 5/1/2007 5/1/2007
-0.12 1 3/1/2011 3/1/2011
-0.10 1 10/1/2008 10/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods137.00135.00132.00126.00120.00114.00102.0090.0078.00
Percent Profitable48.9152.5961.3666.6775.8378.0775.4977.7883.33
Average Period Return0.802.194.5810.0715.4120.9534.0550.3567.41
Average Gain5.378.7612.5421.0225.9932.5550.3469.4283.83
Average Loss-3.57-5.11-8.08-11.83-17.82-20.33-16.14-16.40-14.69
Best Period31.1827.8641.3851.1170.5383.54102.00156.95172.89
Worst Period-13.60-19.33-17.91-22.74-30.61-32.87-37.59-28.87-24.91
Standard Deviation6.318.9612.8619.6924.6929.7636.4348.5858.38
Gain Standard Deviation5.536.709.5314.0917.6021.9825.2436.9949.46
Loss Standard Deviation3.104.254.636.569.3111.239.657.587.44
Sharpe Ratio (1%)0.110.220.320.460.560.640.850.951.07
Average Gain / Average Loss1.511.711.551.781.461.603.124.235.71
Profit / Loss Ratio1.441.902.473.554.585.709.6014.8228.53
Downside Deviation (10%)3.595.257.1610.4413.3615.3116.5918.4919.03
Downside Deviation (5%)3.414.706.058.3010.5111.6610.5810.268.63
Downside Deviation (0%)3.374.565.777.799.8510.829.268.486.67
Sortino Ratio (10%)0.110.180.290.490.580.701.101.562.09
Sortino Ratio (5%)0.210.410.671.091.321.622.934.517.22
Sortino Ratio (0%)0.240.480.791.291.561.943.685.9410.11

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 1 17.44 12/2012
Trend Following Strategy Index Month 1 17.44 12/2012
Systematic Trader Index Month 1 17.44 12/2012
Diversified Trader Index Month 1 17.44 12/2012
IASG CTA Index Month 3 12.63 2/2012
Trend Following Strategy Index Month 3 12.63 2/2012
Diversified Trader Index Month 3 12.63 2/2012
Systematic Trader Index Month 3 12.63 2/2012
Trend Following Strategy Index Month 8 6.19 6/2010
Diversified Trader Index Month 10 10.47 5/2010
Systematic Trader Index Month 3 31.18 5/2009
Diversified Trader Index Month 5 31.18 5/2009
IASG CTA Index Month 6 31.18 5/2009
Trend Following Strategy Index Month 3 31.18 5/2009
Trend Following Strategy Index Month 7 13.48 11/2008
Systematic Trader Index Month 9 13.48 11/2008
Diversified Trader Index Month 9 13.48 11/2008
IASG CTA Index Month 10 13.48 11/2008
Trend Following Strategy Index Month 9 11.21 8/2008
Diversified Trader Index Month 9 11.21 8/2008
IASG CTA Index Month 10 7.46 3/2008
Diversified Trader Index Month 6 7.46 3/2008
Systematic Trader Index Month 8 7.46 3/2008
Trend Following Strategy Index Month 5 7.46 3/2008
Trend Following Strategy Index Month 8 5.64 9/2006
Diversified Trader Index Month 9 5.64 9/2006
Systematic Trader Index Month 3 6.69 5/2006
Trend Following Strategy Index Month 2 6.69 5/2006
Diversified Trader Index Month 3 6.69 5/2006
IASG CTA Index Month 4 6.69 5/2006
Trend Following Strategy Index Month 8 1.49 2/2006
Trend Following Strategy Index Month 9 10.46 1/2006
Systematic Trader Index Month 10 10.46 1/2006
Diversified Trader Index Month 10 10.46 1/2006
IASG CTA Index Month 7 4.57 10/2005
Trend Following Strategy Index Month 4 4.57 10/2005
Diversified Trader Index Month 4 4.57 10/2005
Systematic Trader Index Month 6 4.57 10/2005

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