David Derwin - PI Financial Corp. : Diversified Pattern & Trend

archived programs
Year-to-Date
N / A
Mar Performance
-0.24%
Min Investment
$ 200k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
4.08%
Sharpe (RFR=1%)
-1.85
CAROR
-
Assets
$ 1.8M
Worst DD
-6.37
S&P Correlation
-0.07

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
5/2015
Diversified Pattern & Trend -0.24 - - - - -2.26 - -5.92
S&P 500 6.60 - - - - 55.32 - 64.41
+/- S&P 500 -6.84 - - - - -57.58 - -70.32

Strategy Description

Summary

A lower volatility, fully diversified commodity futures investment program capturing recurring price patterns that develop into profitable trends. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 200k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 3.00
Management Fee 0%
Performance Fee 20.00%
Average Commission $14.00
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 600 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -8.00%
Worst Peak-to-Trough 10.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 7.00%
1-3 Months 33.00%
1-30 Days 57.00%
Intraday 3.00%

Decision-Making

Discretionary 30.00%
Systematic 70.00%

Strategy

Momentum
15.00%
Option-writing
15.00%
Pattern Recognition
20.00%
Spreading/hedging
10.00%
Technical
10.00%
Trend-following
30.00%
Strategy Pie Chart

Composition

Grains
18.00%
Currency Futures
16.00%
Interest Rates
16.00%
Softs
14.00%
Stock Indices
10.00%
Energy
8.00%
Precious Metals
6.00%
Livestock
6.00%
Industrial Metals
4.00%
VIX
2.00%
Composition Pie Chart

Summary

A lower volatility, fully diversified commodity futures investment program capturing recurring price patterns that develop into profitable trends.

Investment Strategy

A lower volatility, fully diversified commodity futures investment program capturing recurring price patterns that develop into profitable trends. We are targeting a lower downside volatility strategy. The ability to manage risk and control drawdowns is the foundation of our proactive commodity futures investment program. It's not about having more; it's about having unique and different opportunities that can potentially profit in any economic environment. Our Diversified Pattern/Trend

Over 50 global futures markets across 8 different sectors: (Grains, Livestock, Food/Fibre, Metals, Energy, Currencies, Bonds/Interest Rates, Stocks Indices) Long and short positions giving the ability to gain from both up and down markets. Various Timeframes: short, medium and longer-term holding periods Price Patterns: For 20 years, our team has focused on prices to build awareness of recurring patterns when entering and exiting positions. Numerous studies support price pattern analysis in the investment decision making process. Once a high probability pattern emerges, our trend analysis research & strategies are applied to the developing trend.

Risk Management

1) Strict position sizing 2) maximum risk per trade using stop losses and 3) overall portfolio exposure limits provide the risk management infrastructure for our 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:
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Average Gain:
Gain Deviation:
Risk
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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:
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Risk
Standard Deviation:
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Loss Frequency:
Average Loss:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-6.37 10 - 5/1/2015 3/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
0.48 1 5/1/2015 5/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.37 10 6/1/2015 3/1/2016
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Time Windows Analysis

 1 Month3 Month
Number of Periods11.009.00
Percent Profitable9.090.00
Average Period Return-0.55-1.95
Average Gain0.48
Average Loss-0.72-1.95
Best Period0.48-0.22
Worst Period-3.89-4.20
Standard Deviation1.181.64
Gain Standard Deviation
Loss Standard Deviation1.241.64
Sharpe Ratio (1%)-0.53-1.35
Average Gain / Average Loss0.67
Profit / Loss Ratio0.07
Downside Deviation (10%)1.473.53
Downside Deviation (5%)1.282.69
Downside Deviation (0%)1.242.49
Sortino Ratio (10%)-0.65-0.90
Sortino Ratio (5%)-0.49-0.82
Sortino Ratio (0%)-0.44-0.78

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.