Brookhaven Strategies, LLC : BSTP Program

archived programs
Year-to-Date
N / A
Oct Performance
-3.43%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.33%
Sharpe (RFR=1%)
-0.69
CAROR
-
Assets
$ 1.5M
Worst DD
-5.48
S&P Correlation
-0.43

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
2/2011
BSTP Program -3.43 - - - - - - -2.63
S&P 500 10.77 - - - - - - 161.01
+/- S&P 500 -14.20 - - - - - - -163.64

Strategy Description

Summary

The BSTP investment methodology begins with quantitative studies of billions of trading scenarios in over twenty years of market conditions. From these studies, BSTP identies short to medium term trading opportunities for multiple strategies across several futures markets. The program... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
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 Daily
Redemption Frequency Daily
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 2500 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD
Worst Peak-to-Trough
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 0%
Systematic 100.00%

Strategy

Composition

Summary

The BSTP investment methodology begins with quantitative studies of billions of trading scenarios in over twenty years of market conditions. From these studies, BSTP identies short to medium term trading opportunities for multiple strategies across several futures markets. The program typically takes positions in each market several times per month. These positions are based on a combination of pattern recognition, mean reversion, momentum, trend following, counter trend, and other proprietary models adapted to each market individually. Using elements of multiple strategies enables the program to profit in a greater range of market environments than any single strategy type program. By exiting unfavorable market situations early, the program limits exposure to large adverse movements. The active trading models for each market are updated regularly from a pool of over 700 algorithms. This approach allows the program to harness models that match the distinct characteristics of each market separately. The net result is distinguished performance uncorrelated to other major CTA programs and indices. Allocations to the trading sectors can change daily according to signals. New sectors may be added in the future

   

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
-5.48 2 - 8/1/2011 10/1/2011
-1.85 2 1 3/1/2011 5/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
3.55 3 6/1/2011 8/1/2011
1.35 2 2/1/2011 3/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.48 2 9/1/2011 10/1/2011
-1.85 2 4/1/2011 5/1/2011
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Time Windows Analysis

 1 Month3 Month
Number of Periods9.007.00
Percent Profitable55.5642.86
Average Period Return-0.28-0.03
Average Gain0.972.43
Average Loss-1.85-1.88
Best Period2.583.55
Worst Period-3.43-5.23
Standard Deviation1.832.94
Gain Standard Deviation0.961.53
Loss Standard Deviation1.332.26
Sharpe Ratio (1%)-0.20-0.10
Average Gain / Average Loss0.531.29
Profit / Loss Ratio0.660.97
Downside Deviation (10%)1.692.78
Downside Deviation (5%)1.502.19
Downside Deviation (0%)1.452.05
Sortino Ratio (10%)-0.41-0.45
Sortino Ratio (5%)-0.24-0.13
Sortino Ratio (0%)-0.19-0.02

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.