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/ EMC Capital Advisors, LLC / EMC Balance Program

EMC Capital Advisors, LLC : EMC Balance Program

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Year-to-Date
0.53%
Jan Performance
-0.53%
Min Investment
$ 3,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.26%
Sharpe (RFR=1%)
0.52
CAROR
5.55%
Assets
$ 5.9M
Worst DD
-9.15
S&P Correlation
0.87
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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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
8/2018
EMC Balance Program -0.53 7.79 -0.53 6.58 - - - 14.47
S&P 500 -1.11 13.59 -1.11 15.15 - - - 28.00
+/- S&P 500 0.58 -5.80 0.58 -8.57 - - - -13.53

Strategy Description

Investment Strategy

The EMC BALANCE PROGRAM is a long-only strategy that allocates to a subset of diverse global markets, including global stock index futures, sovereign interest rate futures and metal futures. Components of the portfolio are optimized across markets to capture profits during... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 3,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 120 RT/YR/$M
Avg. Margin-to-Equity 6%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Financial & Metals Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Stock Indices
50.00%
Interest Rates
40.00%
Precious Metals
10.00%
Composition Pie Chart

Investment Strategy

The EMC BALANCE PROGRAM is a long-only strategy that allocates to a subset of diverse global markets, including global stock index futures, sovereign interest rate futures and metal futures. Components of the portfolio are optimized across markets to capture profits during times of economic expansion. Systematic rebalancing is done to return to optimal allocations.

   

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

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
-9.15 2 5 1/1/2020 3/1/2020
-7.73 4 6 8/1/2018 12/1/2018
-1.85 2 1 8/1/2020 10/1/2020
-0.53 1 - 12/1/2020 1/1/2021
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Consecutive Gains

Run-up Length (Mos.) Start End
10.89 5 4/1/2020 8/1/2020
9.47 8 6/1/2019 1/1/2020
8.36 2 11/1/2020 12/1/2020
7.13 4 1/1/2019 4/1/2019
1.60 1 11/1/2018 11/1/2018
0.43 1 8/1/2018 8/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.15 2 2/1/2020 3/1/2020
-7.64 2 9/1/2018 10/1/2018
-1.85 2 9/1/2020 10/1/2020
-1.68 1 12/1/2018 12/1/2018
-1.17 1 5/1/2019 5/1/2019
-0.53 1 1/1/2021 1/1/2021
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods30.0028.0025.0019.0013.00
Percent Profitable70.0071.4368.0094.7492.31
Average Period Return0.491.493.396.039.30
Average Gain1.753.966.286.4110.26
Average Loss-2.47-4.68-2.77-0.72-2.23
Best Period5.347.9510.0115.3114.02
Worst Period-7.05-8.68-6.16-0.72-2.23
Standard Deviation2.674.654.824.374.46
Gain Standard Deviation1.392.062.314.172.93
Loss Standard Deviation2.653.301.91
Sharpe Ratio (1%)0.150.270.601.151.75
Average Gain / Average Loss0.710.852.278.914.60
Profit / Loss Ratio1.662.124.82160.3155.25
Downside Deviation (10%)2.093.563.141.972.86
Downside Deviation (5%)1.963.112.110.391.03
Downside Deviation (0%)1.923.001.860.170.62
Sortino Ratio (10%)0.040.070.290.520.60
Sortino Ratio (5%)0.210.401.3712.767.53
Sortino Ratio (0%)0.250.501.8236.5515.05

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.

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