Campbell & Company, LP : Global Diversified Large (CLOSED)

archived programsClosed to new investments
Year-to-Date
N / A
Mar Performance
-4.30%
Min Investment
$ 25,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
17.05%
Sharpe (RFR=1%)
0.48
CAROR
8.04%
Assets
$ 680.0M
Worst DD
-29.50
S&P Correlation
0.03

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
2/1986
Global Diversified Large (CLOSED) -4.30 - - - - - 5.04 782.64
S&P 500 0.69 - - - - - 66.22 1,426.67
+/- S&P 500 -4.99 - - - - - -61.18 -644.02

Strategy Description

Summary

The program's objective is to generate attractive risk adjusted returns across a broad range of market conditions through systematic investments in a diversified portfolio of global futures and currencies. The fund incorporates technical strategies that exploit the tendency for markets... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 25,000k
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 No
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 1000 RT/YR/$M
Avg. Margin-to-Equity 27%
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 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Summary

The program's objective is to generate attractive risk adjusted returns across a broad range of market conditions through systematic investments in a diversified portfolio of global futures and currencies. The fund incorporates technical strategies that exploit the tendency for markets to influence each other while seeking diversity across time horizon and signal information. Investment ideas are executed systematically using both market-based and macroeconomic information to forecast market direction based on financial theories governing asset pricing and investor behavior. Trend Following Models: Systematic trading strategies based on traditional and alternative trend following methods to exploit future market moves. A focus of the model series is to equalize exposure to broadly diversified portfolios, multiple time horizons, strategies, asset classes, and signal information. Proper position sizing and risk control are closely monitored. Non-Trend Following Models: Systematic trading strategies that use information specific to a particular sector that may be price-based and/or will include macroeconomic and fundamental information to forecast global financial market trends and inflection points. Based on model forecasts about future large-scale trends, positions are independent of trend following models, producing a lower correlation of returns to the trend following model series above.

   

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
-29.50 8 19 3/1/1986 11/1/1986
-26.87 31 - 6/1/2007 1/1/2010
-26.05 7 23 7/1/1993 2/1/1994
-16.52 5 2 12/1/1991 5/1/1992
-14.60 6 3 10/1/2001 4/1/2002
-12.26 6 9 3/1/2004 9/1/2004
-12.09 1 3 4/1/1990 5/1/1990
-11.21 2 4 6/1/1991 8/1/1991
-10.71 3 1 11/1/1990 2/1/1991
-9.89 3 2 7/1/1989 10/1/1989
-8.44 6 3 3/1/2006 9/1/2006
-8.42 3 3 3/1/2001 6/1/2001
-8.40 2 3 1/1/2007 3/1/2007
-7.22 1 2 1/1/1996 2/1/1996
-6.67 8 1 6/1/1988 2/1/1989
-6.37 1 4 3/1/1998 4/1/1998
-6.25 3 2 2/1/1997 5/1/1997
-5.75 2 5 5/1/2003 7/1/2003
-5.65 2 2 9/1/2002 11/1/2002
-5.11 3 3 10/1/1998 1/1/1999
-5.11 1 2 7/1/1997 8/1/1997
-4.97 1 2 7/1/2005 8/1/2005
-4.90 1 3 9/1/1999 10/1/1999
-4.71 3 7 1/1/2000 4/1/2000
-4.34 1 2 2/1/2003 3/1/2003
-4.03 1 2 11/1/1996 12/1/1996
-3.63 2 1 8/1/1992 10/1/1992
-3.60 1 1 4/1/1999 5/1/1999
-3.10 2 2 2/1/1993 4/1/1993
-2.89 3 2 4/1/1996 7/1/1996
-2.59 1 1 1/1/1998 2/1/1998
-2.46 1 3 11/1/2005 12/1/2005
-1.66 1 1 3/1/1991 4/1/1991
-1.01 1 1 3/1/1989 4/1/1989
-0.90 1 1 12/1/2000 1/1/2001
-0.11 1 1 1/1/0001 2/1/1986
-0.11 1 1 11/1/1992 12/1/1992
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Consecutive Gains

Run-up Length (Mos.) Start End
42.15 6 11/1/1989 4/1/1990
38.41 2 5/1/1988 6/1/1988
29.95 4 8/1/1996 11/1/1996
28.86 5 5/1/2002 9/1/2002
28.54 3 6/1/1992 8/1/1992
23.84 6 10/1/2003 3/1/2004
22.35 6 6/1/1990 11/1/1990
21.92 3 5/1/1994 7/1/1994
20.34 2 3/1/1987 4/1/1987
18.98 3 12/1/2002 2/1/2003
17.36 3 5/1/1989 7/1/1989
16.64 5 12/1/2012 4/1/2013
16.04 1 3/1/1991 3/1/1991
16.01 1 12/1/1991 12/1/1991
15.62 4 7/1/2001 10/1/2001
14.92 2 11/1/1987 12/1/1987
14.81 3 8/1/2010 10/1/2010
14.76 3 8/1/1998 10/1/1998
14.14 5 9/1/1997 1/1/1998
14.04 4 10/1/2006 1/1/2007
13.60 5 3/1/2005 7/1/2005
12.78 2 1/1/1993 2/1/1993
12.58 2 12/1/1986 1/1/1987
12.24 3 4/1/2007 6/1/2007
11.94 2 7/1/1986 8/1/1986
11.90 3 10/1/2000 12/1/2000
11.61 3 5/1/1993 7/1/1993
11.33 3 11/1/1995 1/1/1996
10.69 1 3/1/1989 3/1/1989
10.59 3 2/1/1995 4/1/1995
10.30 2 6/1/1997 7/1/1997
9.86 3 9/1/2005 11/1/2005
9.49 2 7/1/2011 8/1/2011
8.76 3 12/1/2011 2/1/2012
8.74 2 3/1/1996 4/1/1996
8.23 2 5/1/1991 6/1/1991
8.20 2 2/1/2001 3/1/2001
8.07 3 10/1/2004 12/1/2004
7.85 3 11/1/1999 1/1/2000
7.73 2 5/1/2008 6/1/2008
7.65 2 9/1/2007 10/1/2007
7.06 4 6/1/1999 9/1/1999
7.05 1 4/1/2011 4/1/2011
6.95 3 9/1/1994 11/1/1994
6.53 3 2/1/2010 4/1/2010
6.35 1 3/1/1994 3/1/1994
5.73 2 4/1/2012 5/1/2012
5.52 2 1/1/1997 2/1/1997
5.25 1 7/1/1987 7/1/1987
5.22 1 7/1/2012 7/1/2012
5.10 1 12/1/2010 12/1/2010
4.86 1 4/1/1999 4/1/1999
4.70 2 5/1/1998 6/1/1998
4.55 2 4/1/2003 5/1/2003
4.24 1 11/1/1992 11/1/1992
4.19 2 5/1/2000 6/1/2000
4.18 2 10/1/2013 11/1/2013
4.17 1 12/1/1993 12/1/1993
4.14 1 3/1/1986 3/1/1986
4.12 1 3/1/1998 3/1/1998
3.97 1 9/1/2009 9/1/2009
3.63 1 3/1/2006 3/1/2006
3.57 1 12/1/2001 12/1/2001
3.56 1 5/1/1986 5/1/1986
3.53 1 11/1/2009 11/1/2009
2.91 1 8/1/2000 8/1/2000
2.57 1 8/1/1995 8/1/1995
2.55 1 2/1/2011 2/1/2011
2.54 1 2/1/1999 2/1/1999
2.43 2 9/1/1991 10/1/1991
2.36 1 8/1/2003 8/1/2003
2.14 3 12/1/2008 2/1/2009
2.04 1 1/1/2006 1/1/2006
1.95 1 2/1/2008 2/1/2008
1.69 1 2/1/1988 2/1/1988
1.51 1 5/1/2001 5/1/2001
1.05 1 11/1/1988 11/1/1988
0.93 2 8/1/1988 9/1/1988
0.91 1 6/1/1996 6/1/1996
0.75 1 12/1/1998 12/1/1998
0.22 1 7/1/2009 7/1/2009
0.10 1 7/1/2006 7/1/2006
0.08 1 6/1/1995 6/1/1995
0.05 1 9/1/2012 9/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-24.91 3 9/1/1986 11/1/1986
-19.42 4 8/1/1993 11/1/1993
-16.75 2 7/1/2007 8/1/2007
-16.52 5 1/1/1992 5/1/1992
-15.13 3 8/1/1987 10/1/1987
-14.14 1 4/1/1986 4/1/1986
-12.26 6 4/1/2004 9/1/2004
-12.10 4 12/1/2013 3/1/2014
-12.09 1 5/1/1990 5/1/1990
-11.90 2 1/1/1994 2/1/1994
-11.21 2 7/1/1991 8/1/1991
-11.05 3 9/1/2011 11/1/2011
-10.71 3 12/1/1990 2/1/1991
-10.38 2 12/1/2009 1/1/2010
-9.95 1 11/1/2001 11/1/2001
-9.89 3 8/1/1989 10/1/1989
-8.91 4 3/1/2009 6/1/2009
-8.68 2 3/1/1988 4/1/1988
-8.43 4 1/1/2002 4/1/2002
-8.42 2 10/1/2012 11/1/2012
-8.40 2 2/1/2007 3/1/2007
-8.39 1 4/1/2001 4/1/2001
-7.82 3 11/1/2007 1/1/2008
-7.22 1 2/1/1996 2/1/1996
-7.04 2 5/1/2011 6/1/2011
-6.52 3 12/1/1988 2/1/1989
-6.41 1 3/1/2011 3/1/2011
-6.37 1 4/1/1998 4/1/1998
-6.33 2 12/1/1994 1/1/1995
-6.25 3 3/1/1997 5/1/1997
-5.78 3 4/1/2006 6/1/2006
-5.75 2 6/1/2003 7/1/2003
-5.70 1 1/1/1988 1/1/1988
-5.69 5 5/1/2013 9/1/2013
-5.68 1 6/1/1986 6/1/1986
-5.65 2 10/1/2002 11/1/2002
-5.49 1 7/1/1995 7/1/1995
-5.48 5 7/1/2008 11/1/2008
-5.11 1 8/1/1997 8/1/1997
-5.09 1 6/1/2012 6/1/2012
-5.06 3 5/1/2010 7/1/2010
-5.03 1 1/1/1999 1/1/1999
-4.97 1 8/1/2005 8/1/2005
-4.90 1 10/1/1999 10/1/1999
-4.71 3 2/1/2000 4/1/2000
-4.34 1 3/1/2003 3/1/2003
-4.05 1 7/1/1998 7/1/1998
-4.03 1 12/1/1996 12/1/1996
-3.74 1 4/1/1994 4/1/1994
-3.63 2 9/1/1992 10/1/1992
-3.60 1 5/1/1999 5/1/1999
-3.48 2 9/1/1995 10/1/1995
-3.35 1 8/1/1994 8/1/1994
-3.32 1 9/1/2000 9/1/2000
-3.30 2 1/1/2005 2/1/2005
-3.11 2 3/1/2008 4/1/2008
-3.10 2 3/1/1993 4/1/1993
-2.91 2 8/1/2006 9/1/2006
-2.86 1 3/1/2012 3/1/2012
-2.79 2 5/1/1987 6/1/1987
-2.67 1 5/1/1996 5/1/1996
-2.59 1 2/1/1998 2/1/1998
-2.46 1 12/1/2005 12/1/2005
-2.40 1 7/1/2000 7/1/2000
-2.09 1 11/1/1991 11/1/1991
-2.01 1 7/1/1988 7/1/1988
-1.81 1 8/1/2012 8/1/2012
-1.66 1 4/1/1991 4/1/1991
-1.52 1 6/1/2001 6/1/2001
-1.49 1 11/1/2010 11/1/2010
-1.34 1 9/1/2003 9/1/2003
-1.30 1 2/1/2006 2/1/2006
-1.30 1 5/1/1995 5/1/1995
-1.24 1 10/1/2009 10/1/2009
-1.13 1 7/1/1996 7/1/1996
-1.09 1 2/1/1987 2/1/1987
-1.06 1 1/1/2011 1/1/2011
-1.01 1 4/1/1989 4/1/1989
-0.93 1 8/1/2009 8/1/2009
-0.90 1 1/1/2001 1/1/2001
-0.83 1 11/1/1998 11/1/1998
-0.31 1 3/1/1999 3/1/1999
-0.11 1 12/1/1992 12/1/1992
-0.11 1 2/1/1986 2/1/1986
-0.10 1 10/1/1988 10/1/1988
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods338.00336.00333.00327.00321.00315.00303.00291.00279.00
Percent Profitable54.4459.2366.0776.1580.0684.4487.7989.0088.89
Average Period Return0.762.334.759.9915.3921.3534.5248.5362.68
Average Gain4.127.3010.0314.9820.7026.6340.5255.6471.27
Average Loss-3.25-4.91-5.55-5.93-5.94-7.31-8.62-9.03-6.07
Best Period25.9935.6342.1552.7972.10112.76133.17167.94206.76
Worst Period-14.14-24.91-21.23-20.02-16.32-22.69-24.82-19.70-15.61
Standard Deviation4.928.3310.3413.5716.7220.6129.6237.8145.93
Gain Standard Deviation3.696.588.2411.3714.2817.8626.4133.7941.29
Loss Standard Deviation2.704.354.735.143.864.916.895.504.18
Sharpe Ratio (1%)0.140.250.410.660.830.941.061.181.25
Average Gain / Average Loss1.271.491.812.533.483.644.706.1611.74
Profit / Loss Ratio1.522.163.528.0613.9919.7733.7849.8693.95
Downside Deviation (10%)3.064.805.436.016.437.499.5611.6213.80
Downside Deviation (5%)2.894.304.464.213.744.154.724.724.04
Downside Deviation (0%)2.854.184.243.823.163.463.843.492.44
Sortino Ratio (10%)0.120.230.420.831.211.481.962.322.54
Sortino Ratio (5%)0.240.480.952.143.714.666.689.4214.24
Sortino Ratio (0%)0.270.561.122.614.886.179.0013.9025.66

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.