Forbes Futures : Investment Program

archived programs
Year-to-Date
N / A
Mar Performance
22.30%
Min Investment
$ 0k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
85.50%
Sharpe (RFR=1%)
0.49
CAROR
8.86%
Assets
$ 947k
Worst DD
-89.44
S&P Correlation
-0.07

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
3/2002
Investment Program 22.30 - - - - - - 82.48
S&P 500 8.54 - - - - - - 201.91
+/- S&P 500 13.76 - - - - - - -119.43

Strategy Description

Summary

-Investment/Risk Philosophy Trading Methodology - Discretionary. I constantly evaluate the economic, political and social environments, as well as study price charts for potential trades. However, the final decision to buy or sell is often more intuitive than systematic. In my opinion,... 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 Yes

Subscriptions

High Water Mark No
Subscription Frequency Anytime
Redemption Frequency Anytime
Investor Requirements Any Investor
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

-Investment/Risk Philosophy Trading Methodology - Discretionary. I constantly evaluate the economic, political and social environments, as well as study price charts for potential trades. However, the final decision to buy or sell is often more intuitive than systematic. In my opinion, trading commodities is much like playing baseball, 70% of the time a player strikes out and 30% they get a hit with an occasional home run or the rare grand slam. And mind you, a .300 batting average is considered to be very good, even for professionals. The same applies to profitable trading. Yet, even with only a 30% or less profitable trade ratio, it is still quite possible to make profits. How? By using disciplined money management principles such as using trade stops, limit losing trades to only a small percentage of trade equity, adjusting margin/equity ratios to volatility and look for potential trades that offer a high reward/risk ratio. Clearly, speculation in the futures markets is not appropriate for everyone because it requires the financial resources and the emotional temperament to handle the volatility. Just as it is possible to realize substantial profits in a short period of time, it is also possible to incur substantial losses in a short period of time. Trading the futures markets is also a very frustrating business because one is wrong more often than one is right. Even with profitable trades, there is the frustration of knowing (in hindsight) that you could have made more if you had stayed in longer or exited earlier, traded more contracts, etc, etc. So how should an investor manage the financial and the emotional demands of a speculative investment in the futures markets? First, mentally accept the fact that this type of investment is based on volatility and uncertainty. Erratic performance is a natural extension of this environment. Second, limit any investment in futures to only a small portion of your investment capital. Third, set a percentage amount of equity risk. If your account decreases by certain percentage, then re-evaluate your investment and/or close your account. Do not try to armchair quarterback every trade. Fourth, if your account realizes significant profits, (No claim is made that trading results will be profitable or that losses could not occur), then take some equity out and diversify into other investments, thereby keeping your investment in futures too only a small percentage of your investment capital

   

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
-89.44 16 - 8/1/2007 12/1/2008
-61.73 1 2 3/1/2002 4/1/2002
-41.59 15 7 10/1/2005 1/1/2007
-31.67 5 4 6/1/2004 11/1/2004
-30.63 3 11 4/1/2003 7/1/2003
-30.45 1 1 8/1/2002 9/1/2002
-1.65 1 1 7/1/2005 8/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
323.92 4 5/1/2002 8/1/2002
183.33 3 1/1/2009 3/1/2009
181.69 7 10/1/2002 4/1/2003
62.36 6 2/1/2005 7/1/2005
55.42 4 4/1/2008 7/1/2008
44.97 3 2/1/2007 4/1/2007
42.90 4 8/1/2003 11/1/2003
37.71 3 6/1/2007 8/1/2007
29.94 1 12/1/2004 12/1/2004
18.65 2 6/1/2006 7/1/2006
14.27 2 9/1/2005 10/1/2005
13.31 3 4/1/2004 6/1/2004
11.66 1 9/1/2008 9/1/2008
10.81 2 12/1/2007 1/1/2008
10.35 1 3/1/2006 3/1/2006
9.22 1 3/1/2002 3/1/2002
6.14 1 2/1/2004 2/1/2004
5.64 2 8/1/2004 9/1/2004
0.06 1 12/1/2006 12/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-73.39 3 9/1/2007 11/1/2007
-65.33 3 10/1/2008 12/1/2008
-61.73 1 4/1/2002 4/1/2002
-39.14 4 11/1/2005 2/1/2006
-33.73 2 2/1/2008 3/1/2008
-30.63 3 5/1/2003 7/1/2003
-30.45 1 9/1/2002 9/1/2002
-20.47 2 10/1/2004 11/1/2004
-18.67 1 7/1/2004 7/1/2004
-10.45 2 12/1/2003 1/1/2004
-10.20 4 8/1/2006 11/1/2006
-10.15 1 8/1/2008 8/1/2008
-10.07 2 4/1/2006 5/1/2006
-9.28 1 1/1/2007 1/1/2007
-6.25 1 5/1/2007 5/1/2007
-5.38 1 1/1/2005 1/1/2005
-1.85 1 3/1/2004 3/1/2004
-1.65 1 8/1/2005 8/1/2005
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods85.0083.0080.0074.0068.0062.0050.0038.0026.00
Percent Profitable60.0056.6358.7554.0554.4167.7464.0052.6334.62
Average Period Return3.599.6215.0724.3624.3629.3254.6753.4187.64
Average Gain15.5231.7744.1372.3478.8369.52118.61147.28341.91
Average Loss-14.29-19.30-26.31-32.09-40.65-55.11-59.00-50.88-46.98
Best Period113.62246.93339.63730.52703.26687.76834.04738.941029.74
Worst Period-62.32-73.39-77.48-73.52-86.27-82.06-86.47-80.06-80.71
Standard Deviation24.6844.0058.41104.24110.66114.22160.73154.07246.35
Gain Standard Deviation21.8444.9758.14121.08124.69118.98170.34162.87279.19
Loss Standard Deviation16.6918.9623.6425.2425.7416.1313.1511.7015.24
Sharpe Ratio (1%)0.140.210.250.220.210.240.320.320.34
Average Gain / Average Loss1.091.651.682.251.941.262.012.897.28
Profit / Loss Ratio1.632.152.392.652.312.653.573.223.85
Downside Deviation (10%)13.9518.2923.7830.2736.8038.2445.6650.4761.59
Downside Deviation (5%)13.8117.8222.8028.0633.2033.6538.0038.6243.78
Downside Deviation (0%)13.7817.7022.5627.5232.3332.5536.2235.8839.83
Sortino Ratio (10%)0.230.460.530.640.460.500.850.630.97
Sortino Ratio (5%)0.250.530.640.830.690.811.361.281.89
Sortino Ratio (0%)0.260.540.670.890.750.901.511.492.20

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.