Centurion Investment Management Inc. : Zero Margin Program

archived programs
Year-to-Date
0.81%
May Performance
1.13%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
2.32%
Sharpe (RFR=1%)
-0.08
CAROR
0.80%
Assets
$ 26.0M
Worst DD
-3.25
S&P Correlation
-0.12

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
5/2016
Zero Margin Program 1.13 0.04 0.81 1.14 2.74 - - 2.48
S&P 500 -6.58 -1.17 9.77 1.72 29.91 - - 29.91
+/- S&P 500 7.71 1.21 -8.97 -0.59 -27.17 - - -27.43

Strategy Description

Investment Strategy

CENTURION ZERO MARGIN Program (ZMP) employs short term systematic trading of 50 liquid global financial and commodity markets. Trades are held on average 4 hours and holding periods are all on the intraday level. The portfolio consists of more than 60 independent and... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 1,000k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
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
4000 RT/YR/$M
Avg. Margin-to-Equity
0%
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

Counter-trend
5.00%
Momentum
95.00%
Strategy Pie Chart

Composition

Stock Indices
30.00%
Currency Futures
20.00%
Interest Rates
20.00%
Energy
15.00%
Precious Metals
5.00%
Grains
4.00%
Softs
3.00%
Industrial Metals
2.00%
Livestock
1.00%
Composition Pie Chart

Investment Strategy

CENTURION ZERO MARGIN Program (ZMP) employs short term systematic trading of 50 liquid global financial and commodity markets. Trades are held on average 4 hours and holding periods are all on the intraday level. The portfolio consists of more than 60 independent and momentum and mean-revision trading strategies which are dynamically weighted based on volatility, correlation, and performance.

   

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
-3.25 10 8 1/1/0001 2/1/2017
-2.23 7 - 12/1/2017 7/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
4.17 5 8/1/2017 12/1/2017
2.54 4 3/1/2017 6/1/2017
2.10 7 8/1/2018 2/1/2019
1.25 2 4/1/2019 5/1/2019
0.58 1 11/1/2016 11/1/2016
0.21 1 9/1/2016 9/1/2016
0.12 1 5/1/2018 5/1/2018
0.06 1 6/1/2016 6/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.44 3 12/1/2016 2/1/2017
-1.39 4 1/1/2018 4/1/2018
-1.20 1 3/1/2019 3/1/2019
-1.00 2 7/1/2016 8/1/2016
-0.98 2 6/1/2018 7/1/2018
-0.70 1 7/1/2017 7/1/2017
-0.42 1 10/1/2016 10/1/2016
-0.25 1 5/1/2016 5/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods37.0035.0032.0026.0020.0014.00
Percent Profitable59.4654.2956.2569.23100.00100.00
Average Period Return0.070.160.461.232.492.67
Average Gain0.501.081.652.122.492.67
Average Loss-0.56-0.92-1.06-0.78
Best Period1.272.754.156.034.085.88
Worst Period-1.25-2.44-2.21-1.530.101.21
Standard Deviation0.671.231.721.951.031.36
Gain Standard Deviation0.410.811.261.661.031.36
Loss Standard Deviation0.420.580.760.42
Sharpe Ratio (1%)-0.02-0.07-0.020.120.960.49
Average Gain / Average Loss0.891.171.562.73
Profit / Loss Ratio1.301.382.006.15
Downside Deviation (10%)0.681.562.604.225.207.69
Downside Deviation (5%)0.490.881.141.040.330.38
Downside Deviation (0%)0.440.730.850.48
Sortino Ratio (10%)-0.50-0.68-0.77-0.89-0.98-0.99
Sortino Ratio (5%)-0.03-0.10-0.030.222.961.74
Sortino Ratio (0%)0.150.220.552.55

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.