Concorde Finance S. A. : Concorde Diversified Futures

archived programs
Year-to-Date
N / A
Jun Performance
1.78%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.14%
Sharpe (RFR=1%)
0.82
CAROR
9.13%
Assets
$ 1.4M
Worst DD
-12.58
S&P Correlation
-0.02

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
2/2003
Concorde Diversified Futures 1.78 0.21 - 9.75 26.36 58.26 - 127.68
S&P 500 3.96 -3.29 - 3.13 48.15 -9.41 - 61.91
+/- S&P 500 -2.18 3.49 - 6.63 -21.79 67.67 - 65.77

Strategy Description

Summary

The Concorde diversified futures program invests only on U.S. and U.K. futures and options exchanges regulated by the CFTC and the FSA, thereby providing the investor full transparency and protection. This program is weighted 80% towards agricultural futures, 10% towards energy futures,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
3.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$4.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
4800 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
N/A
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
40.00%
Intraday
60.00%

Decision-Making

Discretionary
100.00%
Systematic
0%

Composition

Softs
40.00%
Grains
40.00%
Energy
10.00%
Livestock
4.00%
Currency Futures
2.00%
Precious Metals
2.00%
Stock Indices
2.00%
Composition Pie Chart

Summary

The Concorde diversified futures program invests only on U.S. and U.K. futures and options exchanges regulated by the CFTC and the FSA, thereby providing the investor full transparency and protection. This program is weighted 80% towards agricultural futures, 10% towards energy futures, the remaining 10% is split between energy, precious metals, financials and currency futures markets. The investment manager, Mr. Jacques Emler is an experienced chartist; with over 30 years' experience of the futures markets. The decision making process is discretionary, and based upon the daily review of chart patterns, technical indicators, seasonal studies and cycles. Position taking and leverage applied are guided by proprietary risk management tools. Risk/reward ratios, market volatility and liquidity are essential components in determining market entry and exit levels. Option positioning is primarily used to take advantage of low volatility environments, or short term gamma strategies with limited risk.Writing option premium is a very rare occurrence.

Risk Management

The maximum leverage applied is a conservative 300% of equity face value, with the margin to equity ratio at a maximum of 20 per cent, thereby leaving ample cash reserves. One trading unit is equal to 50 per cent of face value, and is the maximum allowance per commodity. With the increased market volatility, smaller positions ( 1/2 UNITS) are often initiated and stop loss orders are more conservatively positioned.

   

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
-12.58 7 7 10/1/2009 5/1/2010
-10.10 6 5 10/1/2006 4/1/2007
-6.75 7 7 8/1/2005 3/1/2006
-6.13 2 1 3/1/2008 5/1/2008
-5.79 2 3 9/1/2004 11/1/2004
-5.71 2 7 12/1/2008 2/1/2009
-4.42 1 1 3/1/2005 4/1/2005
-3.84 7 1 1/1/0001 8/1/2003
-3.46 1 2 9/1/2007 10/1/2007
-2.93 1 3 4/1/2004 5/1/2004
-2.34 2 2 6/1/2008 8/1/2008
-1.98 5 - 12/1/2011 5/1/2012
-1.14 1 1 10/1/2011 11/1/2011
-0.90 1 1 10/1/2008 11/1/2008
-0.74 1 1 4/1/2011 5/1/2011
-0.57 1 1 1/1/2011 2/1/2011
-0.37 1 1 10/1/2003 11/1/2003
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Consecutive Gains

Run-up Length (Mos.) Start End
23.10 5 11/1/2007 3/1/2008
15.54 2 9/1/2003 10/1/2003
12.83 2 8/1/2004 9/1/2004
12.62 4 5/1/2005 8/1/2005
12.16 5 9/1/2010 1/1/2011
11.35 5 5/1/2007 9/1/2007
8.88 5 12/1/2003 4/1/2004
8.79 5 6/1/2006 10/1/2006
8.52 4 12/1/2004 3/1/2005
7.70 1 6/1/2008 6/1/2008
7.64 5 6/1/2011 10/1/2011
6.36 2 3/1/2011 4/1/2011
5.42 1 12/1/2011 12/1/2011
5.14 3 3/1/2009 5/1/2009
5.00 2 9/1/2008 10/1/2008
4.30 2 11/1/2005 12/1/2005
4.04 2 9/1/2009 10/1/2009
3.10 1 7/1/2009 7/1/2009
3.09 1 6/1/2010 6/1/2010
2.66 1 4/1/2006 4/1/2006
1.98 1 2/1/2007 2/1/2007
1.78 1 6/1/2012 6/1/2012
1.44 1 2/1/2010 2/1/2010
1.40 1 12/1/2008 12/1/2008
1.32 1 6/1/2004 6/1/2004
0.34 1 4/1/2012 4/1/2012
0.07 1 3/1/2003 3/1/2003
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.49 3 3/1/2010 5/1/2010
-6.63 3 11/1/2006 1/1/2007
-6.13 2 4/1/2008 5/1/2008
-5.83 3 11/1/2009 1/1/2010
-5.79 2 10/1/2004 11/1/2004
-5.71 2 1/1/2009 2/1/2009
-5.58 2 3/1/2007 4/1/2007
-5.46 3 1/1/2006 3/1/2006
-5.44 2 9/1/2005 10/1/2005
-4.42 1 4/1/2005 4/1/2005
-3.46 1 10/1/2007 10/1/2007
-2.93 1 5/1/2004 5/1/2004
-2.54 5 4/1/2003 8/1/2003
-2.34 2 7/1/2008 8/1/2008
-2.16 1 6/1/2009 6/1/2009
-2.07 1 5/1/2006 5/1/2006
-1.88 1 5/1/2012 5/1/2012
-1.41 1 2/1/2003 2/1/2003
-1.14 1 11/1/2011 11/1/2011
-0.90 1 11/1/2008 11/1/2008
-0.74 1 5/1/2011 5/1/2011
-0.57 1 2/1/2011 2/1/2011
-0.52 1 8/1/2009 8/1/2009
-0.44 3 1/1/2012 3/1/2012
-0.37 1 11/1/2003 11/1/2003
-0.28 2 7/1/2010 8/1/2010
-0.14 1 7/1/2004 7/1/2004
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods113.00111.00108.00102.0096.0090.0078.0066.0054.00
Percent Profitable57.5266.6774.0780.3987.5091.11100.00100.00100.00
Average Period Return0.772.384.9910.0814.6118.5226.1437.1350.99
Average Gain2.645.057.9913.3517.1920.5026.1437.1350.99
Average Loss-1.87-2.98-3.60-3.32-3.44-1.80
Best Period9.3715.3923.1330.0240.3352.8351.2252.4786.95
Worst Period-5.60-8.49-11.61-8.73-8.26-4.2211.3718.8417.58
Standard Deviation2.934.916.869.9711.9913.088.639.4017.11
Gain Standard Deviation2.213.564.998.2110.4811.958.639.4017.11
Loss Standard Deviation1.541.973.242.352.721.71
Sharpe Ratio (1%)0.240.430.650.911.091.262.683.522.68
Average Gain / Average Loss1.411.692.224.025.0011.38
Profit / Loss Ratio2.043.396.3416.4834.99116.68
Downside Deviation (10%)1.732.683.523.984.504.590.800.342.31
Downside Deviation (5%)1.562.182.642.171.991.27
Downside Deviation (0%)1.522.052.451.791.530.72
Sortino Ratio (10%)0.210.430.721.281.561.8012.8946.3810.11
Sortino Ratio (5%)0.440.981.704.196.5912.98
Sortino Ratio (0%)0.511.162.045.649.5825.79

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.