Equilibrium Asset Management ltd. : FTIA (Proprietary)

archived programs
Year-to-Date
N / A
Jan Performance
-2.36%
Min Investment
$ 100k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
11.35%
Sharpe (RFR=1%)
-0.61
CAROR
-
Assets
$ 10.0M
Worst DD
-2.41
S&P Correlation
-0.24

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
11/2011
FTIA (Proprietary) -2.36 - - - - - - -1.58
S&P 500 4.36 - - - - - - 177.84
+/- S&P 500 -6.72 - - - - - - -179.42

Strategy Description

Summary

FTIA is a low frequency systematic trend following fund focusing about 2/3rds of risk exposure to commodity markets. It aims to provide investors a meaningful hedge against inflation.... Read More

Account & Fees

Type Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 1.00
Management Fee 1.50%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 1600 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 17.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 2.00%
4-12 Months 3.00%
1-3 Months 15.00%
1-30 Days 80.00%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Energy
20.00%
Grains
20.00%
Industrial Metals
10.00%
Precious Metals
10.00%
Interest Rates
10.00%
Livestock
10.00%
Softs
10.00%
Stock Indices
10.00%
Composition Pie Chart

Summary

FTIA is a low frequency systematic trend following fund focusing about 2/3rds of risk exposure to commodity markets. It aims to provide investors a meaningful hedge against inflation.

Investment Strategy

Low-frequency trend following in financial and commodity futures markets. No options (long or short), no OTCs, only highly liquid futures.

   

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
-2.41 1 1 1/1/0001 11/1/2011
-2.36 1 - 12/1/2011 1/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
3.29 1 12/1/2011 12/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.41 1 11/1/2011 11/1/2011
-2.36 1 1/1/2012 1/1/2012
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Time Windows Analysis

 1 Month
Number of Periods3.00
Percent Profitable33.33
Average Period Return-0.49
Average Gain3.29
Average Loss-2.39
Best Period3.29
Worst Period-2.41
Standard Deviation3.28
Gain Standard Deviation
Loss Standard Deviation0.04
Sharpe Ratio (1%)-0.18
Average Gain / Average Loss1.38
Profit / Loss Ratio0.69
Downside Deviation (10%)2.28
Downside Deviation (5%)2.02
Downside Deviation (0%)1.95
Sortino Ratio (10%)-0.40
Sortino Ratio (5%)-0.29
Sortino Ratio (0%)-0.25

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.