Cardwell Investment Technologies : Cardwell Investment Technologies 1x Program

archived programs
Year-to-Date
N / A
Apr Performance
0.99%
Min Investment
$ 4,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.68%
Sharpe (RFR=1%)
0.30
CAROR
3.30%
Assets
$ 84.4M
Worst DD
-10.11
S&P Correlation
-0.04

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
11/2008
Cardwell Investment Technologies 1x Program 0.99 2.79 - -6.28 -0.87 11.40 - 27.59
S&P 500 0.27 6.45 - -0.97 29.28 51.43 - 130.40
+/- S&P 500 0.72 -3.66 - -5.32 -30.14 -40.02 - -102.81

Strategy Description

Summary

We believe a systematic approach to the futures market, which combines technology and quantitative research, provides the framework for an uncorrelated, stable and scalable performance. Our proprietary trading ideas and programs are built on in depth experience and research. We... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 4,000k
Trading Level Incremental Increase
$ 1,000k
CTA Max Funding Factor
2.50
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$2.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
3

Trading

Trading Frequency
5000 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
6.30%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
60.00%
Intraday
40.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
10.00%
Momentum
45.00%
Pattern Recognition
35.00%
Trend-following
10.00%
Strategy Pie Chart

Composition

Interest Rates
22.00%
Currency Futures
21.00%
Stock Indices
19.00%
Energy
10.00%
Precious Metals
8.00%
Industrial Metals
7.00%
Grains
7.00%
Softs
6.00%
Composition Pie Chart

Summary

We believe a systematic approach to the futures market, which combines technology and quantitative research, provides the framework for an uncorrelated, stable and scalable performance. Our proprietary trading ideas and programs are built on in depth experience and research. We trade a select number of methodologies that complement each other and aim to provide absolute returns using all major futures and LME forwards.

Investment Strategy

Cardwell’s research involves designing a portfolio of systems with low drawdown to profit ratios whilst being scalable and practical. • Our strategies are unique - this is evident in the negative monthly correlation of performance against other systematic futures funds. • We have produced and maintained custom built historical data sets which can take into account liquidity and roll effects. Significant attention to detail in the data set enables us to test unique time frames separating us from the competition. • The Cardwell 1x Program trades complimenting systems which aim to capture profit from different market situations including trend, momentum, congestion breaks and time biased situations. • New systems are tested on Cardwell’s in-house money before inclusion into the Fund to ensure results reflect back testing. • All trade signals are systematically generated and automatically executed whilst being monitored by experienced traders.

Risk Management

Risk is central to everything we do. Our bespoke processes and systems are designed to filter out as much operational risk as possible and respond to capital risk quickly. We have designed and implemented a portfolio strategy that aims to target a maximum drawdown of10%. Market risk / Liquidity risk: The Cardwell Program is fully diversified, trading over 60 markets with multiple strategies across several time frames. Additionally, each market has been chosen depending on strict liquidity criteria that facilitates low slippage and large scalability. These criteria change depending on the profitability of the system. Cardwell trades primarily exchange based futures and some LME forwards negating counter party risk. Operational risk: Cardwell uses bespoke in-house monitoring software which incorporates a minimum of two data sources, to ensure Cardwell always has exactly the positions that the systems require. Servers, which are constantly backed up, are held in a secure managed data centre. Cardwell has full off-site capabilities. Trading risk: All trades are systematically generated from size to stop levels through to market selection. All executed trades are constantly monitored for slippage. System/Portfolio Risk: All Cardwell’s systems are traded with a reduction exposure algorithm in times of excessive drawdown. This procedure enables the portfolio to limit the maximum drawdown to 10%.

   

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
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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:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-10.11 12 8 4/1/2013 4/1/2014
-9.04 11 - 3/1/2015 2/1/2016
-6.76 5 3 11/1/2011 4/1/2012
-6.29 3 5 5/1/2010 8/1/2010
-4.65 3 2 7/1/2012 10/1/2012
-4.13 5 3 6/1/2009 11/1/2009
-3.03 3 2 12/1/2008 3/1/2009
-2.95 2 1 2/1/2010 4/1/2010
-2.63 2 1 8/1/2011 10/1/2011
-2.26 1 1 2/1/2013 3/1/2013
-1.10 2 1 1/1/2011 3/1/2011
-0.62 1 1 4/1/2011 5/1/2011
-0.53 1 1 1/1/2015 2/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
11.32 2 12/1/2010 1/1/2011
10.43 4 11/1/2012 2/1/2013
9.23 3 11/1/2014 1/1/2015
6.78 1 9/1/2014 9/1/2014
5.52 1 4/1/2013 4/1/2013
5.31 1 5/1/2012 5/1/2012
5.02 1 5/1/2010 5/1/2010
4.80 3 4/1/2009 6/1/2009
4.53 2 11/1/2008 12/1/2008
4.16 1 11/1/2011 11/1/2011
3.69 1 12/1/2009 12/1/2009
2.83 2 3/1/2016 4/1/2016
2.71 1 7/1/2012 7/1/2012
2.04 3 6/1/2011 8/1/2011
1.78 1 5/1/2014 5/1/2014
1.61 1 7/1/2014 7/1/2014
1.59 1 12/1/2013 12/1/2013
1.51 1 3/1/2015 3/1/2015
1.49 1 9/1/2010 9/1/2010
1.47 1 7/1/2010 7/1/2010
1.45 1 4/1/2011 4/1/2011
1.42 1 8/1/2009 8/1/2009
1.26 1 7/1/2015 7/1/2015
1.24 2 11/1/2015 12/1/2015
1.23 1 2/1/2010 2/1/2010
0.99 1 3/1/2012 3/1/2012
0.54 1 9/1/2012 9/1/2012
0.45 1 2/1/2014 2/1/2014
0.16 1 2/1/2009 2/1/2009
0.06 1 8/1/2013 8/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.38 3 5/1/2013 7/1/2013
-6.33 3 12/1/2011 2/1/2012
-5.28 3 4/1/2015 6/1/2015
-4.27 1 6/1/2010 6/1/2010
-3.91 1 8/1/2012 8/1/2012
-3.86 3 8/1/2015 10/1/2015
-3.65 3 9/1/2009 11/1/2009
-3.53 1 8/1/2010 8/1/2010
-2.95 2 3/1/2010 4/1/2010
-2.89 3 9/1/2013 11/1/2013
-2.63 2 9/1/2011 10/1/2011
-2.57 2 1/1/2016 2/1/2016
-2.26 1 3/1/2013 3/1/2013
-1.96 1 3/1/2009 3/1/2009
-1.89 1 7/1/2009 7/1/2009
-1.55 2 3/1/2014 4/1/2014
-1.54 1 10/1/2014 10/1/2014
-1.44 1 4/1/2012 4/1/2012
-1.30 1 10/1/2012 10/1/2012
-1.25 1 1/1/2009 1/1/2009
-1.10 2 2/1/2011 3/1/2011
-0.98 1 8/1/2014 8/1/2014
-0.83 2 10/1/2010 11/1/2010
-0.71 1 6/1/2014 6/1/2014
-0.62 1 5/1/2011 5/1/2011
-0.58 1 1/1/2014 1/1/2014
-0.53 1 2/1/2015 2/1/2015
-0.23 1 6/1/2012 6/1/2012
-0.22 1 1/1/2010 1/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods90.0088.0085.0079.0073.0067.0055.0043.0031.00
Percent Profitable47.7855.6857.6564.5683.5697.0196.36100.00100.00
Average Period Return0.300.791.623.495.757.5410.8015.2418.84
Average Gain2.233.435.187.317.327.8211.2315.2418.84
Average Loss-1.46-2.52-3.22-3.47-2.20-1.41-0.72
Best Period10.4810.7314.2317.6717.4916.3824.3326.9731.51
Worst Period-5.33-7.38-9.79-10.11-5.73-1.67-0.877.398.75
Standard Deviation2.513.905.546.915.243.966.364.756.79
Gain Standard Deviation2.042.914.295.294.173.696.064.756.79
Loss Standard Deviation1.311.952.562.841.520.360.21
Sharpe Ratio (1%)0.090.140.200.360.811.401.222.352.02
Average Gain / Average Loss1.531.361.612.103.325.5315.62
Profit / Loss Ratio1.401.712.193.8316.88179.86413.89
Downside Deviation (10%)1.652.824.115.574.864.597.727.7911.01
Downside Deviation (5%)1.462.252.933.141.630.670.84
Downside Deviation (0%)1.412.112.662.651.070.250.14
Sortino Ratio (10%)-0.06-0.15-0.21-0.27-0.38-0.59-0.64-0.81-0.80
Sortino Ratio (5%)0.150.240.380.792.618.269.21
Sortino Ratio (0%)0.210.370.611.325.3730.4177.12

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 3 10.48 1/2011
Diversified Trader Index Month 3 10.48 1/2011
IASG CTA Index Month 6 10.48 1/2011
Systematic Trader Index Month 10 3.69 12/2009
Diversified Trader Index Month 10 3.69 12/2009
IASG CTA Index Sharpe 3 18.87 2007 - 2008

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