Chadwick Investment Group : Global Trend Following

archived programs
Year-to-Date
N / A
Dec Performance
2.68%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
25.83%
Sharpe (RFR=1%)
0.40
CAROR
8.29%
Assets
$ 5.1M
Worst DD
-43.18
S&P Correlation
-0.26

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
6/2007
Global Trend Following 2.68 - - - - - -26.71 68.90
S&P 500 2.36 - - - - - 66.20 138.41
+/- S&P 500 0.32 - - - - - -92.92 -69.52

Strategy Description

Summary

-Chadwick uses a technical strategy to manage customer accounts. Chadwick believes that future price movements may be more accurately anticipated by historical price movements within technical analysis rather than by a fundamental analysis. The core structure of the program is long... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 0k
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 1500 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 5.00%
4-12 Months 70.00%
1-3 Months 25.00%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Interest Rates
25.00%
Currency Futures
20.00%
Grains
15.00%
Softs
15.00%
Energy
10.00%
Industrial Metals
5.00%
Precious Metals
5.00%
Stock Indices
5.00%
Composition Pie Chart

Summary

-Chadwick uses a technical strategy to manage customer accounts. Chadwick believes that future price movements may be more accurately anticipated by historical price movements within technical analysis rather than by a fundamental analysis. The core structure of the program is long term trend following in nature. The program seeks participation in markets where long term trends are developing. Chadwick has designed a managed futures program that seeks entry into a trending market whether the market is moving higher or lower. The program will take long and short positions the markets that it trades. Chadwick uses money management techniques that attempt to limit exposure of initial capital on any one market.

   

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:
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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
-43.18 24 - 9/1/2011 9/1/2013
-24.75 16 5 12/1/2008 4/1/2010
-14.55 5 2 1/1/2011 6/1/2011
-11.15 1 3 6/1/2008 7/1/2008
-9.52 1 2 10/1/2010 11/1/2010
-1.61 1 1 7/1/2007 8/1/2007
-0.34 1 1 10/1/2007 11/1/2007
-0.34 1 1 2/1/2008 3/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
47.51 4 7/1/2010 10/1/2010
41.95 5 8/1/2008 12/1/2008
26.33 3 7/1/2011 9/1/2011
22.28 3 4/1/2008 6/1/2008
19.35 3 12/1/2007 2/1/2008
15.38 1 5/1/2010 5/1/2010
15.32 2 12/1/2010 1/1/2011
11.15 1 5/1/2009 5/1/2009
10.89 2 9/1/2007 10/1/2007
10.82 1 5/1/2012 5/1/2012
10.68 1 11/1/2009 11/1/2009
8.99 2 8/1/2009 9/1/2009
8.76 1 4/1/2011 4/1/2011
7.78 2 6/1/2007 7/1/2007
6.32 1 3/1/2010 3/1/2010
4.72 1 7/1/2012 7/1/2012
3.84 1 12/1/2012 12/1/2012
3.10 1 10/1/2013 10/1/2013
2.68 1 12/1/2013 12/1/2013
2.28 1 2/1/2012 2/1/2012
0.57 1 9/1/2012 9/1/2012
0.53 1 5/1/2013 5/1/2013
0.34 1 3/1/2013 3/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-23.90 3 12/1/2009 2/1/2010
-21.76 4 10/1/2011 1/1/2012
-18.15 4 6/1/2013 9/1/2013
-14.43 4 1/1/2009 4/1/2009
-13.40 2 2/1/2011 3/1/2011
-11.15 1 7/1/2008 7/1/2008
-9.52 1 11/1/2010 11/1/2010
-9.27 2 5/1/2011 6/1/2011
-7.77 1 4/1/2013 4/1/2013
-7.72 2 6/1/2009 7/1/2009
-7.50 1 6/1/2010 6/1/2010
-7.06 1 6/1/2012 6/1/2012
-6.47 1 10/1/2009 10/1/2009
-6.14 2 1/1/2013 2/1/2013
-6.06 1 4/1/2010 4/1/2010
-5.74 2 10/1/2012 11/1/2012
-5.01 2 3/1/2012 4/1/2012
-2.13 1 11/1/2013 11/1/2013
-1.61 1 8/1/2007 8/1/2007
-1.50 1 8/1/2012 8/1/2012
-0.34 1 3/1/2008 3/1/2008
-0.34 1 11/1/2007 11/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods79.0077.0074.0068.0062.0056.0044.0032.00
Percent Profitable50.6351.9552.7048.5362.9073.2186.3675.00
Average Period Return0.942.605.3512.1317.8320.4036.2945.35
Average Gain6.6611.8219.6937.8538.0535.2745.5764.00
Average Loss-4.93-7.36-10.63-12.13-16.46-20.25-22.44-10.62
Best Period21.0538.9457.4382.60110.67104.47119.61161.58
Worst Period-18.00-23.90-24.11-30.04-31.94-43.18-34.01-22.72
Standard Deviation7.4612.9419.3429.9535.8933.1141.2853.66
Gain Standard Deviation5.1510.6715.4421.7930.0224.8436.1949.07
Loss Standard Deviation4.145.826.158.597.7711.2212.948.26
Sharpe Ratio (1%)0.110.180.250.370.450.560.810.77
Average Gain / Average Loss1.351.611.853.122.311.742.036.03
Profit / Loss Ratio1.381.742.062.943.924.7612.8618.09
Downside Deviation (10%)4.727.169.9313.7215.4416.8115.1617.81
Downside Deviation (5%)4.546.608.7111.2111.8812.8110.378.29
Downside Deviation (0%)4.506.478.4110.6111.0411.899.376.56
Sortino Ratio (10%)0.110.190.290.520.660.601.351.34
Sortino Ratio (5%)0.190.360.560.991.371.443.214.98
Sortino Ratio (0%)0.210.400.641.141.611.723.886.91

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.