Equidex Incorporated : Portfolio Enhancement Program

Year-to-Date
23.33%
Aug Performance
-2.40%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
25.55%
Sharpe (RFR=1%)
1.32
CAROR
36.90%
Assets
$ 1.5M
Worst DD
-12.21
S&P Correlation
-0.49

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
6/2018
Portfolio Enhancement Program -2.40 6.57 23.33 11.92 - - - 102.72
S&P 500 7.01 14.98 8.34 19.61 - - - 28.76
+/- S&P 500 -9.41 -8.41 14.99 -7.69 - - - 73.96

Strategy Description

Investment Strategy

The Portfolio Enhancement Program (PEP) uses historical databases for rule-based commodity futures trend-following systems with records of at least 20 consecutive years to derive optimized position allocation among the tracked contracts. By statistically deriving historical... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 1.00%
Performance Fee 25.00%
Average Commission $30.00
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 1600 RT/YR/$M
Avg. Margin-to-Equity 25%
Targeted Worst DD -17.00%
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 10.00%
1-3 Months 0%
1-30 Days 90.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Energy
20.00%
Grains
20.00%
Livestock
20.00%
Interest Rates
12.00%
Softs
12.00%
Precious Metals
11.00%
Currency Futures
5.00%
Composition Pie Chart

Investment Strategy

The Portfolio Enhancement Program (PEP) uses historical databases for rule-based commodity futures trend-following systems with records of at least 20 consecutive years to derive optimized position allocation among the tracked contracts. By statistically deriving historical probabilities of success and failure and correlating such probabilities with monetary exposure, PEP maximizes potential returns while minimizing loss exposure relative to risk; i.e. the probability of loss versus profit. PEP extrapolates diversified portfolios based upon capital constraints and optimum historical performances. This approach can be applied to any rule-based trading program, and is currently being used in conjunction with the publicly available COMMODEX® trading system which has been independently published daily since June, 1959.

   

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
-12.21 2 3 8/1/2019 10/1/2019
-9.64 2 - 3/1/2020 5/1/2020
-6.38 1 1 1/1/2020 2/1/2020
-5.82 1 2 12/1/2018 1/1/2019
-4.56 1 1 6/1/2019 7/1/2019
-2.46 1 1 3/1/2019 4/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
48.87 7 6/1/2018 12/1/2018
20.59 2 5/1/2019 6/1/2019
17.40 1 3/1/2020 3/1/2020
16.53 1 1/1/2020 1/1/2020
9.71 2 2/1/2019 3/1/2019
9.19 2 6/1/2020 7/1/2020
7.63 1 11/1/2019 11/1/2019
4.89 1 8/1/2019 8/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.21 2 9/1/2019 10/1/2019
-9.64 2 4/1/2020 5/1/2020
-6.38 1 2/1/2020 2/1/2020
-5.82 1 1/1/2019 1/1/2019
-4.56 1 7/1/2019 7/1/2019
-3.96 1 12/1/2019 12/1/2019
-2.46 1 4/1/2019 4/1/2019
-2.40 1 8/1/2020 8/1/2020
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods27.0025.0022.0016.0010.00
Percent Profitable62.9680.0090.91100.00100.00
Average Period Return2.908.7417.9734.8356.55
Average Gain7.4312.5320.2834.8356.55
Average Loss-4.80-6.43-5.08
Best Period17.4028.0845.1876.4578.27
Worst Period-7.98-9.37-9.165.4428.15
Standard Deviation7.3810.2012.3521.5116.42
Gain Standard Deviation5.207.3910.2621.5116.42
Loss Standard Deviation2.122.175.77
Sharpe Ratio (1%)0.380.831.411.573.35
Average Gain / Average Loss1.551.953.99
Profit / Loss Ratio2.637.7939.94
Downside Deviation (10%)3.393.532.59
Downside Deviation (5%)3.213.112.08
Downside Deviation (0%)3.163.011.96
Sortino Ratio (10%)0.742.125.99
Sortino Ratio (5%)0.882.738.39
Sortino Ratio (0%)0.922.919.15

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 8 8.87 7/2020

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