FormulaFund - Systematic Managed Futures : Institutional Global Diversified Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Jun Performance -7.44% Min Investment $ 500k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 26.01% Sharpe (RFR=1%) 0.50 CAROR 11.38% Assets $ 2.0M Worst DD -21.47 S&P Correlation 0.04 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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since10/2009 Institutional Global Diversified Program -7.44 - - - - - 12.50 34.48 S&P 500 3.96 - - - - - 37.59 245.90 +/- S&P 500 -11.40 - - - - - -25.10 -211.42 Strategy Description SummaryFormulaFund has historically shown the following benefits: 1) Profit Potential: FormulaFund trades Long & Short. In rising or falling markets, FormulaFund has the potential for profitability over long-term investment periods. 2) Portfolio Efficiency: When added to traditional portfolios... Read More Account & Fees Type Managed Account Minimum Investment $ 500k Trading Level Incremental Increase $ 0k CTA Max Funding Factor 1.00 Management Fee 2.00% Performance Fee 20.00% Average Commission $5.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements Accredited Investors Lock-up Period 0 Trading Trading Frequency 1500 RT/YR/$M Avg. Margin-to-Equity 17% Targeted Worst DD -20.00% Worst Peak-to-Trough 17.27% Sector Focus Diversified Traders Holding Periods Over 12 Months 10.00% 4-12 Months 40.00% 1-3 Months 40.00% 1-30 Days 10.00% Intraday 0% Decision-Making Discretionary Systematic 100.00% Strategy Counter-trend 25.00% Pattern Recognition 25.00% Trend-following 50.00% Composition Currency Futures 10.00% Currency FX 10.00% Industrial Metals 10.00% Precious Metals 10.00% Energy 10.00% Grains 10.00% Interest Rates 10.00% Livestock 10.00% Softs 10.00% Stock Indices 10.00% SummaryFormulaFund has historically shown the following benefits: 1) Profit Potential: FormulaFund trades Long & Short. In rising or falling markets, FormulaFund has the potential for profitability over long-term investment periods. 2) Portfolio Efficiency: When added to traditional portfolios of stocks and bonds, FormulaFund has the potential to reduce volatility and enhance returns due to FormulaFund's low correlation to traditional asset classes. 3) Diversification: FormulaFund invests in over 100 different global futures such as Bonds, International Equity Indices, Global Currency and all commodity classes.Investment StrategyFormulaFund uses multiple trading systems to generate non-correlated systematic managed futures returns.Risk ManagementRisk Strategy: Money management: Consistent risk management is the most important element of the FormulaFund trading strategy. Trading risk is controlled by strictly limiting the size of individual trading positions and cutting losses early. The total risk is continuously screened and drawdowns are limited by daily maintenance of stop orders. In this way, if a trend reverses, losses are theoretically limited, while if a trend continues profits are theoretically protected. FormulaFund utilizes robust disaster recovery and operational tools such as, multiple redundant back up, generators, satellite communications. FormulaFund, and its strategies, can be operated from anywhere in the world. 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 -21.47 12 - 4/1/2011 4/1/2012 -9.64 1 9 12/1/2009 1/1/2010 -6.23 1 1 2/1/2011 3/1/2011 -0.24 1 1 1/1/0001 10/1/2009 Show More Consecutive Gains Run-up Length (Mos.) Start End 47.49 8 7/1/2010 2/1/2011 20.17 1 5/1/2012 5/1/2012 14.28 2 11/1/2009 12/1/2009 9.77 1 7/1/2011 7/1/2011 8.42 1 9/1/2011 9/1/2011 8.05 1 4/1/2011 4/1/2011 3.91 4 2/1/2010 5/1/2010 Show More Consecutive Losses Run-up Length (Mos.) Start End -20.95 7 10/1/2011 4/1/2012 -16.31 2 5/1/2011 6/1/2011 -9.64 1 1/1/2010 1/1/2010 -7.44 1 6/1/2012 6/1/2012 -6.23 1 3/1/2011 3/1/2011 -3.74 1 6/1/2010 6/1/2010 -0.26 1 8/1/2011 8/1/2011 -0.24 1 10/1/2009 10/1/2009 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month Number of Periods33.0031.0028.0022.0016.00 Percent Profitable54.5558.0660.7181.8293.75 Average Period Return1.163.036.5218.0728.85 Average Gain5.8710.0616.0924.7531.29 Average Loss-5.19-6.69-8.25-12.01-7.84 Best Period22.0731.1041.6247.0554.34 Worst Period-11.01-15.48-17.27-21.47-7.84 Standard Deviation7.5111.5716.5420.2616.54 Gain Standard Deviation6.659.9114.0115.4513.80 Loss Standard Deviation3.244.395.356.79 Sharpe Ratio (1%)0.140.240.360.841.65 Average Gain / Average Loss1.131.501.952.063.99 Profit / Loss Ratio1.572.083.019.2759.87 Downside Deviation (10%)4.025.817.457.813.95 Downside Deviation (5%)3.845.266.356.092.34 Downside Deviation (0%)3.805.126.085.701.96 Sortino Ratio (10%)0.190.310.541.675.38 Sortino Ratio (5%)0.280.530.952.8011.70 Sortino Ratio (0%)0.310.591.073.1714.72 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