ClaraVista Capital Management : Thuban Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since1/2007 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). Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel