CTS Capital Management LLC : Diversified II Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Since4/2007 Diversified II Program 0.88 - - - - - - 27.08 S&P 500 3.36 - - - - - - 133.69 +/- S&P 500 -2.48 - - - - - - -106.61 Strategy Description SummaryCTS 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% SummaryCTS 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. 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel