EMC Capital Advisors, LLC : Classic

Year-to-Date
4.70%
Jul Performance
1.62%
Min Investment
$ 5,000k
Mgmt. Fee
1.00%
Perf. Fee
10.00%
Annualized Vol
43.99%
Sharpe (RFR=1%)
0.51
CAROR
16.87%
Assets
$ 21.6M
Worst DD
-45.35
S&P Correlation
0.04

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
1/1985
Classic 1.62 6.00 4.70 3.39 -13.05 9.92 6.98 21,828.00
S&P 500 1.31 1.17 18.88 5.82 35.72 52.80 198.70 1,542.03
+/- S&P 500 0.31 4.83 -14.18 -2.43 -48.77 -42.88 -191.71 20,285.97

Strategy Description

Investment Strategy

EMC employs technical, systematic investment strategies in a broadly diversified portfolio of over eighty markets that includes stock indices, currencies, financial instruments, precious metals, base metals, agriculturals, energies, and soft commodities. EMC's portfolio... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.00%
Performance Fee
10.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
No
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
2500 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
25.00%
1-3 Months
50.00%
1-30 Days
25.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Momentum
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Interest Rates
26.00%
Currency Futures
20.00%
Stock Indices
14.00%
Energy
10.00%
Softs
10.00%
Grains
8.00%
Industrial Metals
6.00%
Precious Metals
4.00%
Livestock
2.00%
Composition Pie Chart

Investment Strategy

EMC employs technical, systematic investment strategies in a broadly diversified portfolio of over eighty markets that includes stock indices, currencies, financial instruments, precious metals, base metals, agriculturals, energies, and soft commodities. EMC's portfolio features a significant 40% allocation to physical commodities. The managed futures trading strategies EMC currently employs range in duration from 10 to 60 days.

Risk Management

EMC actively manages risk at the trade, market, sector and portfolio levels on a daily basis using a proprietary algorithm.

   

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
-45.35 12 58 5/1/1995 5/1/1996
-44.90 8 3 2/1/1985 10/1/1985
-42.20 3 5 7/1/1989 10/1/1989
-34.85 9 4 11/1/1990 8/1/1991
-32.49 12 7 12/1/1991 12/1/1992
-31.66 19 - 2/1/2016 9/1/2017
-28.51 10 6 12/1/1993 10/1/1994
-27.25 22 9 5/1/2012 3/1/2014
-27.13 7 19 2/1/2004 9/1/2004
-27.06 3 9 3/1/1986 6/1/1986
-24.61 14 27 12/1/2008 2/1/2010
-23.93 5 7 9/1/2001 2/1/2002
-21.44 2 2 2/1/1988 4/1/1988
-19.60 1 3 6/1/1988 7/1/1988
-18.20 1 1 3/1/1989 4/1/1989
-16.75 2 10 9/1/2002 11/1/2002
-15.90 1 2 4/1/1990 5/1/1990
-13.10 1 6 7/1/1987 8/1/1987
-9.81 10 3 5/1/2006 3/1/2007
-9.21 4 2 3/1/2001 7/1/2001
-8.32 2 1 6/1/2007 8/1/2007
-6.84 3 1 8/1/1993 11/1/1993
-6.40 2 1 12/1/1988 2/1/1989
-6.10 1 2 6/1/2008 7/1/2008
-4.80 5 3 1/1/2015 6/1/2015
-4.66 2 1 4/1/1987 6/1/1987
-4.00 1 1 5/1/1989 6/1/1989
-3.88 3 1 9/1/2015 12/1/2015
-2.70 1 1 10/1/2003 11/1/2003
-1.40 1 2 2/1/2008 3/1/2008
-1.10 1 1 12/1/2003 1/1/2004
-0.30 1 1 10/1/2007 11/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
435.25 5 11/1/1985 3/1/1986
175.70 6 11/1/1989 4/1/1990
140.79 2 3/1/1987 4/1/1987
93.92 2 5/1/1988 6/1/1988
87.22 4 2/1/1995 5/1/1995
73.19 6 6/1/1990 11/1/1990
72.50 1 5/1/1985 5/1/1985
62.50 5 8/1/1988 12/1/1988
55.97 2 1/1/1985 2/1/1985
44.60 1 12/1/1991 12/1/1991
43.56 2 8/1/1998 9/1/1998
43.14 10 4/1/2014 1/1/2015
34.22 3 9/1/1996 11/1/1996
34.00 1 5/1/1989 5/1/1989
33.59 2 7/1/1993 8/1/1993
31.65 4 1/1/1993 4/1/1993
29.20 1 7/1/1985 7/1/1985
27.75 3 5/1/2002 7/1/2002
27.40 1 1/1/1987 1/1/1987
26.42 3 3/1/2006 5/1/2006
23.78 5 8/1/2008 12/1/2008
23.77 4 11/1/1987 2/1/1988
20.47 3 12/1/2007 2/1/2008
20.01 2 8/1/2001 9/1/2001
20.00 3 10/1/2000 12/1/2000
19.81 2 4/1/2012 5/1/2012
19.29 3 12/1/2002 2/1/2003
19.27 3 1/1/1997 3/1/1997
19.11 2 2/1/2001 3/1/2001
18.14 2 11/1/1995 12/1/1995
17.69 2 9/1/2007 10/1/2007
17.30 1 2/1/1999 2/1/1999
17.10 1 3/1/1989 3/1/1989
16.69 3 6/1/1992 8/1/1992
15.91 2 12/1/2017 1/1/2018
14.48 2 10/1/2004 11/1/2004
14.41 5 5/1/2005 9/1/2005
14.40 1 11/1/1994 11/1/1994
14.33 3 8/1/2010 10/1/2010
14.28 2 7/1/1986 8/1/1986
14.24 2 4/1/2003 5/1/2003
14.04 2 1/1/2016 2/1/2016
13.40 1 9/1/1991 9/1/1991
13.02 3 4/1/2007 6/1/2007
12.00 1 3/1/1994 3/1/1994
11.90 1 5/1/1994 5/1/1994
11.69 3 3/1/2019 5/1/2019
9.99 2 9/1/2003 10/1/2003
9.95 3 12/1/2010 2/1/2011
9.90 1 7/1/1987 7/1/1987
9.66 3 5/1/1997 7/1/1997
9.60 1 2/1/2004 2/1/2004
8.80 1 5/1/2000 5/1/2000
8.60 1 12/1/2003 12/1/2003
8.20 1 12/1/1993 12/1/1993
8.20 1 11/1/2005 11/1/2005
7.50 1 9/1/1999 9/1/1999
7.30 3 4/1/2008 6/1/2008
7.30 1 2/1/2005 2/1/2005
7.26 2 1/1/2012 2/1/2012
7.01 2 12/1/2012 1/1/2013
6.96 2 11/1/1997 12/1/1997
6.80 1 7/1/2011 7/1/2011
6.70 1 9/1/1987 9/1/1987
6.62 2 10/1/2013 11/1/2013
6.53 2 3/1/2010 4/1/2010
6.24 1 10/1/2017 10/1/2017
6.10 1 4/1/2011 4/1/2011
5.66 2 6/1/1996 7/1/1996
5.30 1 3/1/2002 3/1/2002
5.30 1 7/1/1989 7/1/1989
5.09 2 3/1/2013 4/1/2013
5.00 1 4/1/1999 4/1/1999
4.69 1 2/1/2017 2/1/2017
4.66 1 7/1/2015 7/1/2015
4.60 1 1/1/2006 1/1/2006
4.60 1 8/1/2000 8/1/2000
4.14 2 11/1/1999 12/1/1999
4.03 2 6/1/2016 7/1/2016
3.90 1 9/1/2002 9/1/2002
3.90 1 9/1/2015 9/1/2015
3.83 1 11/1/2009 11/1/2009
3.80 1 1/1/2007 1/1/2007
3.50 1 4/1/1996 4/1/1996
3.40 1 9/1/2011 9/1/2011
3.30 1 2/1/1998 2/1/1998
3.09 1 11/1/2015 11/1/2015
2.90 1 2/1/2000 2/1/2000
2.81 2 8/1/2009 9/1/2009
2.70 1 12/1/1998 12/1/1998
2.49 2 11/1/2018 12/1/2018
2.40 1 7/1/2003 7/1/2003
2.39 2 4/1/2017 5/1/2017
2.10 1 11/1/2011 11/1/2011
2.03 2 7/1/2017 8/1/2017
2.01 2 10/1/2006 11/1/2006
1.81 1 8/1/2018 8/1/2018
1.62 1 7/1/2019 7/1/2019
1.33 3 3/1/2015 5/1/2015
1.30 1 8/1/2006 8/1/2006
1.10 1 6/1/1991 6/1/1991
0.80 1 11/1/1992 11/1/1992
0.50 1 5/1/2009 5/1/2009
0.40 1 2/1/2009 2/1/2009
0.30 1 7/1/2012 7/1/2012
0.20 1 3/1/1991 3/1/1991
0.10 1 8/1/2004 8/1/2004
0.08 1 4/1/2018 4/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-44.56 3 8/1/1985 10/1/1985
-42.46 2 3/1/1985 4/1/1985
-42.20 3 8/1/1989 10/1/1989
-40.46 5 6/1/1995 10/1/1995
-31.01 5 1/1/1992 5/1/1992
-27.06 3 4/1/1986 6/1/1986
-26.10 5 3/1/2004 7/1/2004
-24.95 5 6/1/1994 10/1/1994
-23.93 5 10/1/2001 2/1/2002
-22.94 5 3/1/1998 7/1/1998
-22.92 2 1/1/1994 2/1/1994
-22.50 1 6/1/1985 6/1/1985
-21.44 2 3/1/1988 4/1/1988
-20.22 3 1/1/1996 3/1/1996
-19.87 3 12/1/1990 2/1/1991
-19.60 1 7/1/1988 7/1/1988
-18.20 1 4/1/1989 4/1/1989
-18.10 1 10/1/1999 10/1/1999
-16.75 2 10/1/2002 11/1/2002
-16.36 5 5/1/2013 9/1/2013
-15.90 1 5/1/1990 5/1/1990
-15.25 3 3/1/2016 5/1/2016
-15.00 6 8/1/2016 1/1/2017
-14.58 2 5/1/2011 6/1/2011
-13.74 3 12/1/2009 2/1/2010
-13.10 1 8/1/1987 8/1/1987
-13.07 2 9/1/1992 10/1/1992
-12.90 2 7/1/1991 8/1/1991
-12.60 1 3/1/2003 3/1/2003
-12.02 4 5/1/1999 8/1/1999
-11.54 2 10/1/1998 11/1/1998
-10.97 4 12/1/2013 3/1/2014
-10.79 3 8/1/1997 10/1/1997
-9.97 4 8/1/2012 11/1/2012
-9.30 1 2/1/1987 2/1/1987
-9.21 4 4/1/2001 7/1/2001
-9.12 2 3/1/2009 4/1/2009
-9.00 1 10/1/2011 10/1/2011
-8.70 1 12/1/1996 12/1/1996
-8.61 2 12/1/2004 1/1/2005
-8.32 2 7/1/2007 8/1/2007
-8.23 2 2/1/2007 3/1/2007
-8.10 1 4/1/1997 4/1/1997
-8.08 2 12/1/1994 1/1/1995
-7.85 2 4/1/1991 5/1/1991
-7.60 1 10/1/2005 10/1/2005
-7.37 2 6/1/2000 7/1/2000
-7.33 2 2/1/2018 3/1/2018
-7.22 2 6/1/2009 7/1/2009
-7.18 4 9/1/1986 12/1/1986
-6.92 2 5/1/1993 6/1/1993
-6.84 3 9/1/1993 11/1/1993
-6.67 1 9/1/2017 9/1/2017
-6.50 2 6/1/2006 7/1/2006
-6.41 1 3/1/2017 3/1/2017
-6.40 2 1/1/1989 2/1/1989
-6.40 1 6/1/2012 6/1/2012
-6.10 1 7/1/2008 7/1/2008
-6.10 1 10/1/1987 10/1/1987
-6.07 2 1/1/2019 2/1/2019
-6.00 1 3/1/1999 3/1/1999
-5.90 1 2/1/2006 2/1/2006
-5.90 1 9/1/2000 9/1/2000
-5.90 1 5/1/1996 5/1/1996
-5.85 3 5/1/2010 7/1/2010
-5.73 2 3/1/2005 4/1/2005
-5.37 2 9/1/2018 10/1/2018
-5.33 2 10/1/1991 11/1/1991
-4.80 1 1/1/1999 1/1/1999
-4.66 2 5/1/1987 6/1/1987
-4.58 1 6/1/2015 6/1/2015
-4.58 3 5/1/2018 7/1/2018
-4.53 1 6/1/2017 6/1/2017
-4.32 1 3/1/2011 3/1/2011
-4.30 1 12/1/1992 12/1/1992
-4.10 1 4/1/2002 4/1/2002
-4.00 1 6/1/1989 6/1/1989
-3.62 1 10/1/2015 10/1/2015
-3.60 1 2/1/2013 2/1/2013
-3.40 1 3/1/2012 3/1/2012
-3.28 2 3/1/2000 4/1/2000
-3.26 1 12/1/2015 12/1/2015
-2.80 1 8/1/1996 8/1/1996
-2.70 1 11/1/2003 11/1/2003
-2.65 1 8/1/2015 8/1/2015
-2.20 1 6/1/2003 6/1/2003
-2.00 1 8/1/2011 8/1/2011
-2.00 1 9/1/2006 9/1/2006
-1.90 1 10/1/2009 10/1/2009
-1.90 1 1/1/2009 1/1/2009
-1.79 1 6/1/2019 6/1/2019
-1.54 1 2/1/2015 2/1/2015
-1.50 1 9/1/2004 9/1/2004
-1.40 1 12/1/2011 12/1/2011
-1.40 1 3/1/2008 3/1/2008
-1.40 1 4/1/1994 4/1/1994
-1.30 1 8/1/2002 8/1/2002
-1.10 1 1/1/2004 1/1/2004
-0.70 1 1/1/2000 1/1/2000
-0.45 1 11/1/2017 11/1/2017
-0.40 1 12/1/2005 12/1/2005
-0.40 1 1/1/1998 1/1/1998
-0.30 1 11/1/2007 11/1/2007
-0.30 1 1/1/2001 1/1/2001
-0.20 1 11/1/2010 11/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods415.00413.00410.00404.00398.00392.00380.00368.00356.00
Percent Profitable51.0855.2157.5664.6069.8571.4382.1188.3291.85
Average Period Return1.965.8912.3424.7938.1057.0598.27156.21246.26
Average Gain8.9917.5528.6944.6359.1283.79122.42178.08269.09
Average Loss-5.49-8.48-9.82-11.43-10.61-9.81-12.52-9.07-11.13
Best Period108.30203.43399.92362.311052.241003.362032.992125.637185.46
Worst Period-27.80-44.56-41.22-45.35-30.73-30.32-34.52-23.82-25.16
Standard Deviation12.7024.7942.4556.9791.18134.26238.74386.30792.19
Gain Standard Deviation13.7127.6149.6062.26102.08150.76257.25406.11822.79
Loss Standard Deviation5.297.707.738.257.607.257.516.367.71
Sharpe Ratio (1%)0.150.230.280.420.400.410.400.390.30
Average Gain / Average Loss1.642.072.923.905.578.549.7819.6324.17
Profit / Loss Ratio1.752.553.967.1212.9121.3644.86148.36272.51
Downside Deviation (10%)5.488.299.4610.9610.9311.5812.9112.3013.73
Downside Deviation (5%)5.317.788.398.877.857.407.304.995.15
Downside Deviation (0%)5.277.668.148.387.166.516.163.773.84
Sortino Ratio (10%)0.280.561.041.802.794.046.3910.9515.92
Sortino Ratio (5%)0.350.731.412.684.667.4413.0530.4846.78
Sortino Ratio (0%)0.370.771.522.965.328.7715.9441.4064.08

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 8 7.30 2/2005
Systematic Trader Index Month 8 7.30 2/2005
Systematic Trader Index Month 10 2.40 7/2003
Diversified Trader Index Month 10 2.40 7/2003
Trend Following Strategy Index Month 7 2.40 7/2003
Diversified Trader Index Month 7 13.00 9/2001
Systematic Trader Index Month 8 13.00 9/2001
Trend Following Strategy Index Month 8 13.00 9/2001
IASG CTA Index Month 9 13.00 9/2001
IASG CTA Index Month 2 17.00 3/2001
Trend Following Strategy Index Month 2 17.00 3/2001
Diversified Trader Index Month 2 17.00 3/2001
Systematic Trader Index Month 2 17.00 3/2001
Trend Following Strategy Index Month 7 8.80 5/2000
Systematic Trader Index Month 9 8.80 5/2000
Diversified Trader Index Month 9 8.80 5/2000
IASG CTA Index Month 10 8.80 5/2000
Trend Following Strategy Index Month 8 2.90 2/2000
Diversified Trader Index Month 3 7.50 9/1999
IASG CTA Index Month 4 7.50 9/1999
Systematic Trader Index Month 2 7.50 9/1999
Trend Following Strategy Index Month 2 7.50 9/1999
IASG CTA Index Month 2 17.30 2/1999
Trend Following Strategy Index Month 1 17.30 2/1999
Systematic Trader Index Month 2 17.30 2/1999
Diversified Trader Index Month 2 17.30 2/1999
IASG CTA Index Month 5 32.80 8/1998
Trend Following Strategy Index Month 5 32.80 8/1998
Systematic Trader Index Month 5 32.80 8/1998
Diversified Trader Index Month 5 32.80 8/1998
Trend Following Strategy Index Month 8 3.30 2/1998
Diversified Trader Index Month 9 3.30 2/1998
Systematic Trader Index Month 10 3.30 2/1998
Systematic Trader Index Month 10 5.90 12/1997
Trend Following Strategy Index Month 9 5.90 12/1997
Trend Following Strategy Index Month 10 1.10 5/1997
Systematic Trader Index Month 10 4.00 3/1997
Diversified Trader Index Month 10 4.00 3/1997
Trend Following Strategy Index Month 9 4.00 3/1997
Diversified Trader Index Month 8 8.60 2/1997
Systematic Trader Index Month 8 8.60 2/1997
IASG CTA Index Month 8 8.60 2/1997
Trend Following Strategy Index Month 7 8.60 2/1997
IASG CTA Index Month 8 18.90 10/1996
Systematic Trader Index Month 8 18.90 10/1996
Trend Following Strategy Index Month 8 18.90 10/1996
Diversified Trader Index Month 8 18.90 10/1996
IASG CTA Index Month 4 1.50 7/1996
Trend Following Strategy Index Month 3 1.50 7/1996
Systematic Trader Index Month 3 1.50 7/1996
Diversified Trader Index Month 3 1.50 7/1996
Trend Following Strategy Index Month 5 4.10 6/1996
Systematic Trader Index Month 6 4.10 6/1996
IASG CTA Index Month 9 4.10 6/1996
Diversified Trader Index Month 8 4.10 6/1996
Trend Following Strategy Index Month 6 17.20 12/1995
IASG CTA Index Month 7 17.20 12/1995
Diversified Trader Index Month 7 17.20 12/1995
Systematic Trader Index Month 7 17.20 12/1995
Trend Following Strategy Index Month 10 -0.70 6/1995
Systematic Trader Index Month 2 22.80 5/1995
Diversified Trader Index Month 2 22.80 5/1995
IASG CTA Index Month 2 22.80 5/1995
Trend Following Strategy Index Month 2 22.80 5/1995
IASG CTA Index Month 1 16.70 4/1995
Systematic Trader Index Month 1 16.70 4/1995
Diversified Trader Index Month 1 16.70 4/1995
Trend Following Strategy Index Month 1 16.70 4/1995
IASG CTA Index Month 7 21.30 3/1995
Trend Following Strategy Index Month 6 21.30 3/1995
Systematic Trader Index Month 6 21.30 3/1995
Diversified Trader Index Month 6 21.30 3/1995
IASG CTA Index 5 Year Rolling 5 169.94 1989 - 1994
Trend Following Strategy Index Month 8 -0.20 12/1994
IASG CTA Index Month 6 14.40 11/1994
Diversified Trader Index Month 5 14.40 11/1994
Systematic Trader Index Month 5 14.40 11/1994
Trend Following Strategy Index Month 5 14.40 11/1994
Trend Following Strategy Index Month 6 11.90 5/1994
Diversified Trader Index Month 7 11.90 5/1994
Systematic Trader Index Month 7 11.90 5/1994
IASG CTA Index Month 7 11.90 5/1994
Trend Following Strategy Index Month 10 -1.40 4/1994
Diversified Trader Index Month 8 12.00 3/1994
Systematic Trader Index Month 7 12.00 3/1994
Trend Following Strategy Index Month 7 12.00 3/1994
IASG CTA Index Month 8 12.00 3/1994
IASG CTA Index 5 Year Rolling 6 217.63 1988 - 1993
IASG CTA Index Year Rolling 5 65.02 1992 - 1993
Trend Following Strategy Index Month 8 8.20 12/1993
Systematic Trader Index Month 10 8.20 12/1993
Diversified Trader Index Month 3 9.50 8/1993
IASG CTA Index Month 3 9.50 8/1993
Systematic Trader Index Month 2 9.50 8/1993
Trend Following Strategy Index Month 2 9.50 8/1993
Diversified Trader Index Month 1 22.00 7/1993
Systematic Trader Index Month 1 22.00 7/1993
IASG CTA Index Month 1 22.00 7/1993
Trend Following Strategy Index Month 1 22.00 7/1993
IASG CTA Index Month 7 10.20 4/1993

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.