CTS Asset Management LLC : Flagship Program - Proprietary

Year-to-Date
1.37%
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

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
1/2016
Flagship Program - Proprietary 2.16 2.65 1.37 2.94 11.73 - - 14.12
S&P 500 -1.81 6.34 16.73 0.85 33.43 - - 49.30
+/- S&P 500 3.97 -3.69 -15.36 2.09 -21.70 - - -35.17

Strategy Description

Summary

The 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%
Strategy Pie Chart

Composition

Precious Metals
20.00%
Energy
20.00%
Currency Futures
15.00%
Interest Rates
15.00%
Softs
15.00%
Stock Indices
15.00%
Composition Pie Chart

Summary

The 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 Strategy

Diversified short-term systematic managed futures program.

   

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
-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
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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
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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.