CTS Asset Management LLC : Flagship Program - Proprietary Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Aug Performance 2.16% Min Investment $ 1,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 8.13% Sharpe (RFR=1%) 0.36 CAROR 3.67% Assets $ 1.3M Worst DD -17.66 S&P Correlation 0.11 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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since1/2016 Flagship Program - Proprietary 2.16 - - 0.00 -7.92 - - 14.12 S&P 500 -1.81 - - 0.85 33.43 - - 78.57 +/- S&P 500 3.97 - - -0.85 -41.35 - - -64.45 Strategy Description SummaryThe FLAGSHIP PROGRAM is a diversified short-term managed futures program, with an average hold period of six days. It is 100% systematic and trades outright futures only. Twenty-six markets in the currencies, interest rates, stock indices, energies, metals, and softs sectors are traded.... Read More Account & Fees Type Managed Account Minimum Investment $ 1,000k Trading Level Incremental Increase $ 0k CTA Max Funding Factor 3.00 Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 1800 RT/YR/$M Avg. Margin-to-Equity 7% Targeted Worst DD Worst Peak-to-Trough 2.23% 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 40.00% Momentum 20.00% Pattern Recognition 40.00% Composition Precious Metals 20.00% Energy 20.00% Currency Futures 15.00% Interest Rates 15.00% Softs 15.00% Stock Indices 15.00% SummaryThe FLAGSHIP PROGRAM is a diversified short-term managed futures program, with an average hold period of six days. It is 100% systematic and trades outright futures only. Twenty-six markets in the currencies, interest rates, stock indices, energies, metals, and softs sectors are traded. Multiple trading strategies and multiple time frames are used, relying primarily on short-term price patterns and breakouts. Returns are based on proforma adjustments to a proprietary account to reflect fees. Client accounts will be traded in like fashion.Investment StrategyDiversified short-term systematic managed futures program. 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 -17.66 5 - 1/1/2018 6/1/2018 -2.22 4 4 3/1/2016 7/1/2016 -1.00 1 1 8/1/2017 9/1/2017 -0.99 1 2 11/1/2016 12/1/2016 -0.70 1 1 10/1/2017 11/1/2017 Show More Consecutive Gains Run-up Length (Mos.) Start End 17.22 8 1/1/2017 8/1/2017 6.81 3 7/1/2018 9/1/2018 5.29 4 8/1/2016 11/1/2016 3.94 2 12/1/2017 1/1/2018 3.72 3 1/1/2016 3/1/2016 2.75 1 10/1/2017 10/1/2017 2.65 3 6/1/2019 8/1/2019 1.95 1 12/1/2018 12/1/2018 1.91 1 4/1/2019 4/1/2019 0.30 1 2/1/2019 2/1/2019 0.19 1 3/1/2018 3/1/2018 Show More Consecutive Losses Run-up Length (Mos.) Start End -10.40 3 4/1/2018 6/1/2018 -8.27 1 2/1/2018 2/1/2018 -3.50 2 10/1/2018 11/1/2018 -2.76 1 3/1/2019 3/1/2019 -2.22 4 4/1/2016 7/1/2016 -1.00 1 9/1/2017 9/1/2017 -0.99 1 12/1/2016 12/1/2016 -0.70 1 11/1/2017 11/1/2017 -0.57 1 1/1/2019 1/1/2019 -0.08 1 5/1/2019 5/1/2019 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year Number of Periods44.0042.0039.0033.0027.0021.00 Percent Profitable63.6459.5258.9763.6459.2671.43 Average Period Return0.330.811.603.814.986.28 Average Gain1.623.736.3511.3114.2910.88 Average Loss-1.93-3.47-5.23-9.29-8.56-5.24 Best Period3.458.5314.7022.0228.3027.50 Worst Period-8.27-11.20-16.65-13.97-14.15-8.59 Standard Deviation2.354.597.4911.8313.709.91 Gain Standard Deviation1.082.174.307.579.357.63 Loss Standard Deviation2.273.775.552.924.102.75 Sharpe Ratio (1%)0.100.120.150.240.250.43 Average Gain / Average Loss0.841.071.211.221.672.08 Profit / Loss Ratio1.471.581.742.132.435.19 Downside Deviation (10%)1.943.796.038.8310.888.90 Downside Deviation (5%)1.803.325.036.436.894.10 Downside Deviation (0%)1.763.214.805.856.003.10 Sortino Ratio (10%)-0.04-0.11-0.14-0.13-0.24-0.45 Sortino Ratio (5%)0.140.170.220.440.501.04 Sortino Ratio (0%)0.190.250.330.650.832.02 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