CTS Capital Management LLC : Short-Term Systematic (STS) Program

archived programs
Year-to-Date
N / A
Aug Performance
3.05%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.08%
Sharpe (RFR=1%)
0.52
CAROR
-
Assets
$ 1.5M
Worst DD
-9.65
S&P Correlation
0.01

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
1/2008
Short-Term Systematic (STS) Program 3.05 - - - - - - 13.23
S&P 500 3.36 - - - - - - 151.29
+/- S&P 500 -0.31 - - - - - - -138.06

Strategy Description

Summary

CTS Capital’s Short-Term Systematic (STS) Program employs fully systematic strategies that have an average trade length from one to twenty days. It trades a diverse universe of futures contracts, including currencies, interest rates, stock indices, energies, grains, metals, livestock,... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
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 2500 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 0%
1-3 Months 100.00%
1-30 Days
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Summary

CTS Capital’s Short-Term Systematic (STS) Program employs fully systematic strategies that have an average trade length from one to twenty days. 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. The use of short-term models leads to very low correlation to other strategies and the rest of the managed futures industry. The strategy was traded as a component of the Diversified-II program beginning in late 2007, and then launched as a separate program in January 2009.

   

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
-9.65 10 - 8/1/2008 6/1/2009
-5.86 2 4 1/1/2008 3/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
11.96 1 1/1/2008 1/1/2008
10.06 3 6/1/2008 8/1/2008
4.85 1 4/1/2008 4/1/2008
3.63 2 7/1/2009 8/1/2009
2.03 2 10/1/2008 11/1/2008
1.58 1 5/1/2009 5/1/2009
0.84 1 2/1/2009 2/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.86 2 2/1/2008 3/1/2008
-5.69 1 9/1/2008 9/1/2008
-2.97 1 6/1/2009 6/1/2009
-2.84 2 3/1/2009 4/1/2009
-2.76 2 12/1/2008 1/1/2009
-0.57 1 5/1/2008 5/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods20.0018.0015.009.00
Percent Profitable55.0044.4453.3366.67
Average Period Return0.700.551.301.92
Average Gain3.163.635.344.62
Average Loss-2.31-1.91-3.31-3.50
Best Period11.9610.0611.6415.18
Worst Period-5.69-3.78-5.65-6.37
Standard Deviation4.073.585.416.10
Gain Standard Deviation3.693.264.025.54
Loss Standard Deviation1.930.891.702.48
Sharpe Ratio (1%)0.150.080.150.15
Average Gain / Average Loss1.371.901.611.32
Profit / Loss Ratio1.671.521.842.64
Downside Deviation (10%)2.192.434.165.56
Downside Deviation (5%)2.021.732.822.86
Downside Deviation (0%)1.971.562.502.34
Sortino Ratio (10%)0.13-0.28-0.28-0.55
Sortino Ratio (5%)0.310.170.290.32
Sortino Ratio (0%)0.350.350.520.82

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.