CTS Capital Management LLC : Diversified II Program

archived programs
Year-to-Date
N / A
Aug Performance
0.88%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
18.13%
Sharpe (RFR=1%)
0.58
CAROR
10.43%
Assets
$ 5.3M
Worst DD
-11.13
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
4/2007
Diversified II Program 0.88 - - - - - - 27.08
S&P 500 3.36 - - - - - - 133.69
+/- S&P 500 -2.48 - - - - - - -106.61

Strategy Description

Summary

CTS Capital’s Diversified II Program employs both long-term and short-term fully systematic strategies. It trades a diverse universe of futures contracts, including currencies, interest rates, stock indices, energies, grains, metals, livestock, and softs. Market diversification is... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 2,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Request Information

Subscriptions

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

Trading

Trading Frequency 2000 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough 12.00%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
50.00%
Other
50.00%
Strategy Pie Chart

Summary

CTS Capital’s Diversified II Program employs both long-term and short-term fully systematic strategies. It trades a diverse universe of futures contracts, including currencies, interest rates, stock indices, energies, grains, metals, livestock, and softs. Market diversification is maintained at approximately 50% financial contracts and 50% non-financial contracts. The trading models are applied on multiple time frames.A series of enhancements were made to the program beginning in May 2007 in the areas of strategies, models, and risk control. Performance shown shown is since May 2007. For performance information since inception of the program in March 2006 please refer to the Disclosure Document.

   

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
-11.13 5 - 2/1/2009 7/1/2009
-10.53 2 2 6/1/2007 8/1/2007
-9.53 1 6 6/1/2008 7/1/2008
-7.17 1 1 2/1/2008 3/1/2008
-6.82 1 2 10/1/2007 11/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
23.43 3 12/1/2007 2/1/2008
15.03 3 4/1/2008 6/1/2008
14.72 2 9/1/2007 10/1/2007
11.09 3 4/1/2007 6/1/2007
8.55 2 10/1/2008 11/1/2008
1.86 1 8/1/2008 8/1/2008
1.76 2 1/1/2009 2/1/2009
0.88 1 8/1/2009 8/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.13 5 3/1/2009 7/1/2009
-10.53 2 7/1/2007 8/1/2007
-9.53 1 7/1/2008 7/1/2008
-7.17 1 3/1/2008 3/1/2008
-6.82 1 11/1/2007 11/1/2007
-0.46 1 12/1/2008 12/1/2008
-0.09 1 9/1/2008 9/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods29.0027.0024.0018.0012.00
Percent Profitable58.6255.5666.6783.3391.67
Average Period Return0.962.326.2115.2323.29
Average Gain4.378.5511.7819.0225.69
Average Loss-3.87-5.47-4.95-3.75-3.09
Best Period9.9923.4331.9431.7242.61
Worst Period-9.53-10.01-10.35-9.18-3.09
Standard Deviation5.238.3211.2412.1912.66
Gain Standard Deviation3.275.549.289.1910.02
Loss Standard Deviation3.282.374.114.73
Sharpe Ratio (1%)0.170.250.511.171.72
Average Gain / Average Loss1.131.562.385.078.31
Profit / Loss Ratio1.601.954.7725.3391.37
Downside Deviation (10%)3.414.714.844.083.13
Downside Deviation (5%)3.254.103.852.501.33
Downside Deviation (0%)3.213.953.622.200.89
Sortino Ratio (10%)0.160.230.772.515.01
Sortino Ratio (5%)0.270.501.485.6816.42
Sortino Ratio (0%)0.300.591.726.9326.09

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.