Fitrol Investment Management : Investment Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Performance Min Investment $ 0k Mgmt. Fee 0% Perf. Fee 0% Annualized Vol 0.00% Sharpe (RFR=1%) 0.00 CAROR - Assets Worst DD N/A S&P Correlation 0.00 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. Strategy Description Summary-Methodology Development of the Strategy From 1997 to 2001, a period of extensive research was undertaken and by the end of 2001, the Fitrol Trading System (the â??Trading Modelâ??) currently being used was implemented (although the Trading Model continues to evolve as a result of... Read More Account & Fees Type Managed Account Minimum Investment $ 0k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 0% Performance Fee 0% Average Commission $0 Available to US Investors Request Information Subscriptions High Water Mark No Subscription Frequency Redemption Frequency Investor Requirements Lock-up Period 0 Trading Trading Frequency 0 RT/YR/$M Avg. Margin-to-Equity 0% Targeted Worst DD Worst Peak-to-Trough 0% Sector Focus Not Specified Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days Intraday 0% Decision-Making Discretionary 0% Systematic 0% Strategy Summary-Methodology Development of the Strategy From 1997 to 2001, a period of extensive research was undertaken and by the end of 2001, the Fitrol Trading System (the â??Trading Modelâ??) currently being used was implemented (although the Trading Model continues to evolve as a result of on-going research). The Trading Model uses mathematical and statistical forecasting techniques. The Strategy - Fully-computerized Investment Decision - Unique Investment Strategy Applications - Based on Mathematical & Statistical Models - Successful track-record We have developed and successfully implemented the Fitrol Managed Futures Program: consistent asset management through systematic trading in derivative products (Equity indices' futures) based on the Trading Model. Concept The investment strategy consists of the active management (long/short) of trading positions in a diversified portfolio of the worldâ??s equity indices. Investment is based on proprietary computer trading technology and advanced risk management models. Objective To achieve consistent performance with minimal draw-down and to control market risk by systematically adjusting trading positions by applying sophisticated risk management techniques. Trading Methods The trading system seeks to identify and take advantage of directional trends in various international stock index markets. As determined by the proprietary trading model, a fixed percentage of assets are placed on each trade. Risk is defined at the inception of each trade and â??stopsâ?? are implemented at trade initiation. However, the system is dynamic in nature - adjusting risk, and subsequent â??stopâ?? levels in response to market developments. While technical in nature, trader discretion is exercised if multiple signals are generated intraday. This discretionary override is designed to mitigate the whipsaw effect exhibited during volatile market conditions. Volatility is managed by defined parameters. Essential to the trading system is an integrated sensitivity to shifts in market direction. The system contains a reversal component whereby a trade may be stopped in one direction and a new trade initiated in the other direction. This distinctive element of the trading system may result in long and short positions in a particular index on the same day. The system may be neutral, as positions are taken only on signals. One of the most significant features of the system, however, addresses profit preservation. Initial profit objectives are defined at each tradeâ??s initiation. Once the primary profit objective has been reached, part of the position is liquidated and proceeds are preserved. Because the trading system utilized is proprietary, the description given here is not meant to be exhaustive. 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 Consecutive Gains Run-up Length (Mos.) Start End Show More Consecutive Losses Run-up Length (Mos.) Start End Show More 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