CNV Capital Management LLC : Adaptive Alpha Strategy (Client)

Year-to-Date: N / A
Aug Performance: 1.12%

Min Investment: $ 1,000k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 7.66%
Sharpe (RFR=1%): 0.86
CAROR: 7.58%

Assets: $ 228k
Worst DD: -14.86
S&P Correlation: 0.12

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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	Aug	Qtr	2020	1yr	3yr	5yr	10yr	Since 11/2010
Adaptive Alpha Strategy (Client)	1.12	-	-	-	-	1.36	38.27	53.16
S&P 500	-0.12	-	-	-	-	78.08	66.48	214.87
+/- S&P 500	1.24	-	-	-	-	-76.73	-28.21	-161.71

Strategy Description

Summary

Account & Fees

Type	Managed Account
Minimum Investment	$ 1,000k
Trading Level Incremental Increase	$ 0k
CTA Max Funding Factor	1.00
Management Fee	2.00%
Performance Fee	20.00%
Average Commission	$5.00
Available to US Investors	Yes

Subscriptions

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

Trading

Trading Frequency	10000 RT/YR/$M
Avg. Margin-to-Equity	9%
Targeted Worst DD	-10.00%
Worst Peak-to-Trough	10.00%
Sector Focus	Diversified Traders

Holding Periods

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

Decision-Making

Discretionary	0%
Systematic	100.00%

Strategy

Counter-trend: 20.00%
Momentum: 80.00%

Composition

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

Summary

CNV Capital Management LLC is a managed futures fund (CTA) that has developed the Adaptive Alpha Strategy which contains a low volatility breakout model, as well as a high volatility mean reversion model. Richard Weissman is the CEO and head of trading; he is an industry leader who teaches professional traders risk management and trading, and is the author of the well known book "Trade Like a Casino", as well as "Mechanical Trading Systems".

Investment Strategy

Risk Management

We strive to never risk more than 1% of AUM on any single position. Risk is further dampened by our proprietary correlation analysis so that we strive to have risk among positively correlated assets never exceed 2.5% of AUM.

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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.

Compare to:

Index:

Monthly Annual

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Risk
Standard Deviation:
Worst Loss:
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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
-14.86	10	-	4/1/2015	2/1/2016
-6.49	4	2	6/1/2013	10/1/2013
-4.85	8	3	10/1/2011	6/1/2012
-2.05	1	2	10/1/2014	11/1/2014
-1.32	1	1	7/1/2014	8/1/2014
-0.49	1	1	1/1/2013	2/1/2013
-0.46	1	1	7/1/2011	8/1/2011
-0.31	1	1	2/1/2014	3/1/2014

Consecutive Gains

Run-up	Length (Mos.)	Start	End
24.08	9	11/1/2010	7/1/2011
11.84	4	11/1/2013	2/1/2014
11.27	7	7/1/2012	1/1/2013
7.20	5	12/1/2014	4/1/2015
7.16	4	3/1/2016	6/1/2016
5.74	4	4/1/2014	7/1/2014
3.36	2	9/1/2014	10/1/2014
3.27	2	9/1/2011	10/1/2011
2.98	1	3/1/2013	3/1/2013
2.47	2	10/1/2015	11/1/2015
2.30	2	5/1/2013	6/1/2013
1.22	1	3/1/2012	3/1/2012
1.12	1	8/1/2016	8/1/2016
0.41	1	8/1/2013	8/1/2013

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-9.43	5	5/1/2015	9/1/2015
-8.26	3	12/1/2015	2/1/2016
-5.42	2	9/1/2013	10/1/2013
-3.25	4	11/1/2011	2/1/2012
-2.84	3	4/1/2012	6/1/2012
-2.05	1	11/1/2014	11/1/2014
-1.54	1	7/1/2013	7/1/2013
-1.32	1	8/1/2014	8/1/2014
-0.69	1	7/1/2016	7/1/2016
-0.49	1	2/1/2013	2/1/2013
-0.46	1	8/1/2011	8/1/2011
-0.31	1	3/1/2014	3/1/2014

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	70.00	68.00	65.00	59.00	53.00	47.00	35.00	23.00
Percent Profitable	64.29	70.59	67.69	72.88	83.02	85.11	100.00	100.00
Average Period Return	0.63	1.77	3.15	5.68	9.39	14.16	22.34	29.66
Average Gain	1.80	3.86	6.44	9.52	12.35	16.96	22.34	29.66
Average Loss	-1.53	-3.24	-3.75	-4.63	-5.08	-1.89
Best Period	7.94	11.60	19.82	27.55	26.26	30.16	36.61	59.18
Worst Period	-3.91	-8.26	-8.53	-11.63	-8.26	-3.88	4.00	15.23
Standard Deviation	2.21	4.30	5.96	8.23	8.41	9.05	9.52	12.00
Gain Standard Deviation	1.73	2.91	3.96	5.64	5.64	6.49	9.52	12.00
Loss Standard Deviation	1.16	2.62	2.49	4.18	2.26	1.24
Sharpe Ratio (1%)	0.25	0.35	0.44	0.57	0.94	1.34	2.03	2.13
Average Gain / Average Loss	1.18	1.19	1.72	2.06	2.43	8.99
Profit / Loss Ratio	2.21	2.86	3.60	5.53	11.90	51.35
Downside Deviation (10%)	1.32	2.80	3.81	5.54	5.48	5.05	3.94	2.13
Downside Deviation (5%)	1.16	2.34	2.78	3.61	2.85	1.57
Downside Deviation (0%)	1.12	2.24	2.54	3.20	2.27	0.85
Sortino Ratio (10%)	0.17	0.20	0.18	0.12	0.33	0.77	1.67	3.81
Sortino Ratio (5%)	0.48	0.65	0.95	1.30	2.77	7.75
Sortino Ratio (0%)	0.57	0.79	1.24	1.77	4.14	16.62

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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CNV Capital Management LLC : Adaptive Alpha Strategy (Client)

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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Find the right managed futures programs for you with our comprehensive free CTA database.

CNV Capital Management LLC : Adaptive Alpha Strategy (Client)

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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