FormulaFund - Systematic Managed Futures : Institutional Global Diversified Program

archived programs
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

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 Since
10/2009
Institutional Global Diversified Program -7.44 6.11 - 4.37 - - - 34.48
S&P 500 3.96 -3.29 - 3.13 - - - 31.44
+/- S&P 500 -11.40 9.40 - 1.24 - - - 3.05

Strategy Description

Summary

FormulaFund 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%
Strategy Pie Chart

Composition

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

Summary

FormulaFund 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 Strategy

FormulaFund uses multiple trading systems to generate non-correlated systematic managed futures returns.

Risk Management

Risk 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.

   

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
-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
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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
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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
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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.