Ceros AG : Ceros-Neumann Managed Account

archived programs
Year-to-Date
N / A
Jun Performance
-1.49%
Min Investment
$ 30k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
14.77%
Sharpe (RFR=1%)
1.09
CAROR
-
Assets
$ 686k
Worst DD
-5.53
S&P Correlation
0.25

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
9/2011
Ceros-Neumann Managed Account -1.49 - - - - - - 14.32
S&P 500 3.96 - - - - - - 206.20
+/- S&P 500 -5.45 - - - - - - -191.88

Strategy Description

Investment Strategy

The manager seeks to exploit opportunities through diversified strategies for both cash and futures markets. The main goal is the preservation and long-term accumulation of capital. The expected yearly return is 15% or more. The core investment is a diversified portfolio... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 30k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 30.00%
Average Commission $10.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 100 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 35.00%
1-3 Months 35.00%
1-30 Days 30.00%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Fundamental
30.00%
Option-spreads
30.00%
Spreading/hedging
30.00%
Technical
10.00%
Strategy Pie Chart

Composition

Stock Indices
70.00%
Energy
30.00%
Composition Pie Chart

Investment Strategy

The manager seeks to exploit opportunities through diversified strategies for both cash and futures markets. The main goal is the preservation and long-term accumulation of capital. The expected yearly return is 15% or more. The core investment is a diversified portfolio of highest-dividend paying companies in the Eurozone. Via the use of derivatives this portfolio is constantly hedged (cross-hedge). Therefore, at all times the managed account is protected against large draw-downs and a stock market crash. In order to obtain additional gains the manager applies various strategies on the regulated financial and commodity markets. These additional gains as well as the received dividends are used to finance the cross-hedge positions. When additional gains and dividends exceed the hedging costs the surplus amount is invested in the stock portfolio. The strategies used to secure additional gains are mainly based on inter-contract spreads and calendar spreads using options or futures to exploit volatility as well as seasonal effects. Through the combination of cash instruments with additional strategies on the financial and commodity markets the manager seeks to have a low correlation to the stock market. In the last years the manager has applied this system highly successful in his proprietary trading. Since September this strategy is open for external investors. The strategy is tradable with a minimum of USD 30.000.

   

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

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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
-5.53 1 1 11/1/2011 12/1/2011
-2.68 3 - 3/1/2012 6/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
21.13 3 1/1/2012 3/1/2012
2.65 3 9/1/2011 11/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.53 1 12/1/2011 12/1/2011
-2.68 3 4/1/2012 6/1/2012
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Time Windows Analysis

 1 Month3 Month
Number of Periods10.008.00
Percent Profitable60.0075.00
Average Period Return1.435.44
Average Gain3.758.40
Average Loss-2.06-3.45
Best Period8.5721.13
Worst Period-5.53-4.21
Standard Deviation4.268.37
Gain Standard Deviation3.627.47
Loss Standard Deviation2.381.08
Sharpe Ratio (1%)0.320.62
Average Gain / Average Loss1.822.44
Profit / Loss Ratio2.737.32
Downside Deviation (10%)2.032.37
Downside Deviation (5%)1.881.89
Downside Deviation (0%)1.841.77
Sortino Ratio (10%)0.501.78
Sortino Ratio (5%)0.722.75
Sortino Ratio (0%)0.783.08

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.