CNV Capital Management LLC : Adaptive Alpha Strategy (Client)

archived programs
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

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 YTD 1yr 3yr 5yr 10yr Since
11/2010
Adaptive Alpha Strategy (Client) 1.12 - - - - -0.11 - 53.16
S&P 500 -0.12 - - - - 78.08 - 193.43
+/- S&P 500 1.24 - - - - -78.19 - -140.27

Strategy Description

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... Read More

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%
Strategy Pie Chart

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%
Composition Pie Chart

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

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".

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.

   

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
-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
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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
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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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods70.0068.0065.0059.0053.0047.0035.0023.00
Percent Profitable64.2970.5967.6972.8883.0285.11100.00100.00
Average Period Return0.631.773.155.689.3914.1622.3429.66
Average Gain1.803.866.449.5212.3516.9622.3429.66
Average Loss-1.53-3.24-3.75-4.63-5.08-1.89
Best Period7.9411.6019.8227.5526.2630.1636.6159.18
Worst Period-3.91-8.26-8.53-11.63-8.26-3.884.0015.23
Standard Deviation2.214.305.968.238.419.059.5212.00
Gain Standard Deviation1.732.913.965.645.646.499.5212.00
Loss Standard Deviation1.162.622.494.182.261.24
Sharpe Ratio (1%)0.250.350.440.570.941.342.032.13
Average Gain / Average Loss1.181.191.722.062.438.99
Profit / Loss Ratio2.212.863.605.5311.9051.35
Downside Deviation (10%)1.322.803.815.545.485.053.942.13
Downside Deviation (5%)1.162.342.783.612.851.57
Downside Deviation (0%)1.122.242.543.202.270.85
Sortino Ratio (10%)0.170.200.180.120.330.771.673.81
Sortino Ratio (5%)0.480.650.951.302.777.75
Sortino Ratio (0%)0.570.791.241.774.1416.62

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.