ClaraVista Capital Management : Thuban

archived programs
Year-to-Date
N / A
Sep Performance
-0.62%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
20.09%
Sharpe (RFR=1%)
1.89
CAROR
-
Assets
$ 1.8M
Worst DD
-9.32
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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
1/2007
Thuban -0.62 - - - - - - 89.23
S&P 500 -9.08 - - - - - - 140.86
+/- S&P 500 8.46 - - - - - - -51.63

Strategy Description

Summary

-Thuban is a diversified trend following system.  The portfolio is balanced, on average, between commodities (Grains, Metals, Energies) and financials (Bonds, Rates, Currencies, Stock Indexes).  All markets in the portfolio are traded using the same algorithm and all markets are given equal... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $10.00
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
Lock-up Period 0

Trading

Trading Frequency 650 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-Thuban is a diversified trend following system.  The portfolio is balanced, on average, between commodities (Grains, Metals, Energies) and financials (Bonds, Rates, Currencies, Stock Indexes).  All markets in the portfolio are traded using the same algorithm and all markets are given equal weight.  Thuban uses Close data to compute signals and enters and exits on the following day.  Thuban attempts to avoid what it considers noise and waits for opportunities to get in a move.  Once in a move, Thuban can take profits at predetermined profit objectives.  Results are net of fees (2/20).

   

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
-9.32 2 2 6/1/2007 8/1/2007
-8.17 1 - 6/1/2008 7/1/2008
-6.74 2 1 1/1/2007 3/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
63.36 10 9/1/2007 6/1/2008
30.63 3 4/1/2007 6/1/2007
10.16 1 1/1/2007 1/1/2007
4.30 1 8/1/2008 8/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.32 2 7/1/2007 8/1/2007
-8.17 1 7/1/2008 7/1/2008
-6.74 2 2/1/2007 3/1/2007
-0.62 1 9/1/2008 9/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods21.0019.0016.0010.00
Percent Profitable71.4373.6893.75100.00
Average Period Return3.2410.0224.1558.69
Average Gain6.2214.4925.8058.69
Average Loss-4.20-2.50-0.55
Best Period10.1630.6352.5285.23
Worst Period-8.17-4.82-0.5541.01
Standard Deviation5.8010.8714.3713.96
Gain Standard Deviation3.538.9813.2213.96
Loss Standard Deviation2.591.89
Sharpe Ratio (1%)0.540.901.654.13
Average Gain / Average Loss1.485.7946.53
Profit / Loss Ratio3.7016.21698.00
Downside Deviation (10%)2.772.100.76
Downside Deviation (5%)2.611.660.26
Downside Deviation (0%)2.571.550.14
Sortino Ratio (10%)1.024.1828.68
Sortino Ratio (5%)1.215.8989.84
Sortino Ratio (0%)1.266.46174.25

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.