Ceros AG : Dax Managed Futures

Year-to-Date: N / A
Jun Performance: 9.31%

Min Investment: $ 50k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 44.24%
Sharpe (RFR=1%): 1.31
CAROR: 62.23%

Assets: $ 0k
Worst DD: -53.53
S&P Correlation: -0.16

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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 1/2000
Dax Managed Futures	9.31	-	-	-	-	-	-	15,980.66
S&P 500	-5.39	-	-	-	-	-	-	191.11
+/- S&P 500	14.70	-	-	-	-	-	-	15,789.55

Strategy Description

Summary

Account & Fees

Type	Managed Account
Minimum Investment	$ 50k
Trading Level Incremental Increase	$ 15k
CTA Max Funding Factor
Management Fee	2.00%
Performance Fee	20.00%
Average Commission	$25.00
Available to US Investors	Yes

Subscriptions

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

Trading

Trading Frequency	743 RT/YR/$M
Avg. Margin-to-Equity	35%
Targeted Worst DD	-45.00%
Worst Peak-to-Trough	65.00%
Sector Focus	Not Specified

Holding Periods

Over 12 Months	0%
4-12 Months	0%
1-3 Months	100.00%
1-30 Days
Intraday	0%

Decision-Making

Discretionary	0%
Systematic	100.00%

Strategy

Counter-trend: 30.00%
Trend-following: 50.00%
Other: 20.00%

Composition

Summary

Since 2000 the DAX system was only trading 254 with a very high accuracy of 71.7% resulting in only 72 losing and 182 winnig trades. The average profit per trade is 987€. Most consec winning trades were 15 whereas most consec losses were counting to 4 only. Average wining trade is 2705€, the average loss is 3357€. Profit factor is 2.04 These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown. There is risk of loss in futures. MANAGED ACCOUNT BUSINESS WILL START SOON.

Investment Strategy

The Dax system is based on a pattern recognition algorithm to spot entries and short term trend following parameters to ride every position as far as possible.

Risk Management

On a managed account basis traded the minimum investment is 30,000 USD whereas 50,000 USD are recommended in order to create a margin of safety. Normal stop in use is about 100 Dax points. Exceptions confirm the rule. For some highly successfull patterns the stop is only placed the very next day but this happens only form time to time.

Compare to:

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Index: Chart Type:

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

Compare to:

Index:

Monthly Annual

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Risk
Standard Deviation:
Worst Loss:
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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%)
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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
-53.53	5	7	3/1/2000	8/1/2000
-39.01	4	5	2/1/2006	6/1/2006
-35.64	2	5	6/1/2002	8/1/2002
-33.41	8	5	10/1/2003	6/1/2004
-22.95	2	3	3/1/2001	5/1/2001
-19.85	2	3	11/1/2009	1/1/2010
-19.03	1	5	2/1/2003	3/1/2003
-9.89	3	3	1/1/2005	4/1/2005
-8.54	1	1	6/1/2008	7/1/2008
-7.87	1	3	1/1/2009	2/1/2009
-6.67	1	1	5/1/2007	6/1/2007
-3.67	1	2	1/1/2008	2/1/2008
-3.37	1	1	9/1/2007	10/1/2007
-1.87	1	2	7/1/2009	8/1/2009
-1.61	1	1	11/1/2007	12/1/2007
-1.46	1	1	12/1/2001	1/1/2002
-1.26	1	1	5/1/2009	6/1/2009

Consecutive Gains

Run-up	Length (Mos.)	Start	End
101.48	6	9/1/2002	2/1/2003
89.46	4	12/1/2000	3/1/2001
85.67	5	2/1/2010	6/1/2010
83.09	5	2/1/2002	6/1/2002
77.07	3	1/1/2000	3/1/2000
73.89	4	8/1/2008	11/1/2008
60.88	3	1/1/2007	3/1/2007
40.77	2	9/1/2000	10/1/2000
40.27	2	7/1/2007	8/1/2007
37.05	3	4/1/2008	6/1/2008
30.19	2	10/1/2004	11/1/2004
29.38	3	11/1/2005	1/1/2006
28.73	5	5/1/2005	9/1/2005
27.69	1	7/1/2004	7/1/2004
25.02	1	11/1/2006	11/1/2006
22.92	1	7/1/2006	7/1/2006
22.76	3	10/1/2001	12/1/2001
22.57	4	7/1/2003	10/1/2003
19.33	1	1/1/2008	1/1/2008
18.91	1	8/1/2001	8/1/2001
18.38	2	10/1/2009	11/1/2009
17.59	1	5/1/2007	5/1/2007
16.44	2	4/1/2003	5/1/2003
15.46	1	1/1/2009	1/1/2009
15.35	1	5/1/2009	5/1/2009
12.32	1	9/1/2006	9/1/2006
10.62	1	6/1/2001	6/1/2001
8.90	1	4/1/2004	4/1/2004
5.80	1	11/1/2007	11/1/2007
5.25	1	7/1/2000	7/1/2000
3.92	1	1/1/2004	1/1/2004
3.78	1	3/1/2005	3/1/2005
3.54	1	5/1/2006	5/1/2006
3.13	1	7/1/2009	7/1/2009
2.83	1	1/1/2005	1/1/2005

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-39.49	3	4/1/2000	6/1/2000
-37.02	3	2/1/2006	4/1/2006
-35.64	2	7/1/2002	8/1/2002
-27.04	1	8/1/2000	8/1/2000
-23.82	2	2/1/2004	3/1/2004
-22.95	2	4/1/2001	5/1/2001
-19.85	2	12/1/2009	1/1/2010
-19.03	1	3/1/2003	3/1/2003
-12.18	2	5/1/2004	6/1/2004
-12.05	2	11/1/2003	12/1/2003
-8.62	2	8/1/2004	9/1/2004
-8.54	1	7/1/2008	7/1/2008
-7.90	1	2/1/2005	2/1/2005
-7.87	3	2/1/2009	4/1/2009
-6.67	1	6/1/2007	6/1/2007
-6.47	1	6/1/2006	6/1/2006
-5.72	1	4/1/2005	4/1/2005
-3.67	2	2/1/2008	3/1/2008
-3.37	2	9/1/2007	10/1/2007
-1.87	2	8/1/2009	9/1/2009
-1.61	1	12/1/2007	12/1/2007
-1.46	1	1/1/2002	1/1/2002
-1.26	1	6/1/2009	6/1/2009
-1.01	1	6/1/2003	6/1/2003
-0.68	1	8/1/2006	8/1/2006

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	126.00	124.00	121.00	115.00	109.00	103.00	91.00	79.00	67.00
Percent Profitable	60.32	75.00	80.99	89.57	97.25	99.03	100.00	100.00	100.00
Average Period Return	4.90	14.42	29.57	69.40	120.84	188.68	364.12	543.86	787.07
Average Gain	12.50	24.30	40.81	78.49	124.48	190.55	364.12	543.86	787.07
Average Loss	-10.05	-15.21	-18.29	-8.62	-7.75	-1.23
Best Period	46.83	77.08	113.61	247.76	327.06	601.92	1196.38	2211.28	2064.87
Worst Period	-31.36	-39.49	-53.47	-18.89	-11.12	-1.23	16.72	41.24	236.10
Standard Deviation	12.77	23.22	35.41	60.20	91.72	144.73	279.73	423.03	476.14
Gain Standard Deviation	9.04	16.72	28.93	56.97	90.38	144.20	279.73	423.03	476.14
Loss Standard Deviation	8.05	11.95	13.79	7.01	2.92
Sharpe Ratio (1%)	0.38	0.61	0.82	1.14	1.30	1.29	1.29	1.28	1.64
Average Gain / Average Loss	1.24	1.60	2.23	9.10	16.07	155.29
Profit / Loss Ratio	2.86	4.79	9.51	78.15	567.67	15839.64
Downside Deviation (10%)	6.72	10.11	10.80	4.92	2.77	1.13
Downside Deviation (5%)	6.59	9.71	10.09	3.79	1.59	0.32
Downside Deviation (0%)	6.55	9.61	9.91	3.53	1.35	0.12
Sortino Ratio (10%)	0.67	1.31	2.51	13.08	40.82	157.53
Sortino Ratio (5%)	0.73	1.46	2.88	18.05	75.02	585.27
Sortino Ratio (0%)	0.75	1.50	2.98	19.67	89.84	1560.63

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.

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Ceros AG : Dax Managed Futures

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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Ceros AG : Dax Managed Futures

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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