Equidex Incorporated : Portfolio Enhancement Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 15.74% May Performance -1.80% Min Investment $ 500k Mgmt. Fee 1.00% Perf. Fee 25.00% Annualized Vol 26.48% Sharpe (RFR=1%) 1.32 CAROR 37.92% Assets $ 1.5M Worst DD -12.21 S&P Correlation -0.52 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 May Qtr YTD 1yr 3yr 5yr 10yr Since6/2018 Portfolio Enhancement Program -1.80 -9.64 15.74 5.14 - - - 90.23 S&P 500 4.53 3.05 -5.77 10.62 - - - 14.04 +/- S&P 500 -6.33 -12.69 21.51 -5.48 - - - 76.19 Strategy Description Investment StrategyThe 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% 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% Investment StrategyThe 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 -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 Show More 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 7.63 1 11/1/2019 11/1/2019 4.89 1 8/1/2019 8/1/2019 Show More 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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month Number of Periods24.0022.0019.0013.007.00 Percent Profitable62.5081.8289.47100.00100.00 Average Period Return2.999.7318.8339.9763.92 Average Gain7.8113.1521.6539.9763.92 Average Loss-5.06-5.70-5.08 Best Period17.4028.0845.1876.4578.27 Worst Period-7.98-7.92-9.1610.4146.42 Standard Deviation7.6410.0913.0620.4112.59 Gain Standard Deviation5.197.5410.4820.4112.59 Loss Standard Deviation2.061.645.77 Sharpe Ratio (1%)0.380.941.401.914.96 Average Gain / Average Loss1.542.314.26 Profit / Loss Ratio2.5710.3936.24 Downside Deviation (10%)3.553.012.78 Downside Deviation (5%)3.372.612.24 Downside Deviation (0%)3.322.502.11 Sortino Ratio (10%)0.732.825.88 Sortino Ratio (5%)0.863.638.18 Sortino Ratio (0%)0.903.888.91 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. x {{title}} x {{title}} Add Cancel