Fuimus Financial LLC : Fuimus Financial - Zentrender Program

archived programs
Year-to-Date
N / A
Sep Performance
-18.92%
Min Investment
$ 200k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
52.21%
Sharpe (RFR=1%)
1.26
CAROR
68.13%
Assets
$ 180k
Worst DD
-62.98
S&P Correlation
-0.13

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
9/2006
Fuimus Financial - Zentrender Program -18.92 - - - - - - 396.32
S&P 500 3.57 - - - - - - 159.32
+/- S&P 500 -22.49 - - - - - - 237.00

Strategy Description

Summary

-In 1998, Steve Carruthers received a Masters of Business Administration degree from Nyenrode University in the Netherlands. During that period, Mr. Carruthers began research into technical trading methods. After moving to the United States in 2002, Mr. Carruthers began trading currency... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 200k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 25.00%
Average Commission $0
Available to US Investors Request Information

Subscriptions

High Water Mark Yes
Subscription Frequency Anytime
Redemption Frequency Anytime
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 1200 RT/YR/$M
Avg. Margin-to-Equity 30%
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 5.00%
Systematic 95.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Summary

-In 1998, Steve Carruthers received a Masters of Business Administration degree from Nyenrode University in the Netherlands. During that period, Mr. Carruthers began research into technical trading methods. After moving to the United States in 2002, Mr. Carruthers began trading currency futures and concentrated his research efforts on systematic trading. From March 2003 until June 2003, Steve Carruthers was registered as an Investment Advisor with AXA Advisors and left to form Fuimus Financial LLC where he continued his research into quantitative methodologies. From February 2004 to present, Mr. Carruthers has been registered as an Investment Advisor for Fuimus Financial LLC with FINRA and Washington State Securities Division, where he has developed a proprietary model for trading a diversified basket of commodities. Detailed records of that model known as Zentrender have been kept since September of 2006 to the present. Fuimus Financial and Steve Carruthers are registered as a CTA with the NFA.

Investment Strategy

The ZENTRENDER system trades a basket of up to forty different commodity and financial futures instruments. The modelenters a position once the prevailing trend has already been established and remains in that trade until the trade has been seen to have changed or has been stopped out at a pre-determined point established by the current volatility of the said commodity. Risk control is therefore inherent in each single trade but is also spread broadly over the entire portfolio by trading in different directions according to the trend in each commodity class. An automated approach to trading means that the human factor is largely eliminated from the system and losses can be kept within the established risk parameters. Returns are based on proforma adjustments to a proprietary account to reflect fees. Client accounts will be traded in like fashion. As of June 2009 we are excluding proprietary data and reporting exclusively client funds

   

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
-62.98 3 - 6/1/2009 9/1/2009
-19.71 1 5 12/1/2008 1/1/2009
-4.20 1 2 5/1/2008 6/1/2008
-3.11 1 2 2/1/2008 3/1/2008
-0.41 1 1 4/1/2007 5/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
155.46 8 9/1/2006 4/1/2007
142.73 9 6/1/2007 2/1/2008
69.33 6 7/1/2008 12/1/2008
52.53 5 2/1/2009 6/1/2009
12.78 2 4/1/2008 5/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-62.98 3 7/1/2009 9/1/2009
-19.71 1 1/1/2009 1/1/2009
-4.20 1 6/1/2008 6/1/2008
-3.11 1 3/1/2008 3/1/2008
-0.41 1 5/1/2007 5/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods37.0035.0032.0026.0020.0014.00
Percent Profitable81.0882.8687.5092.3190.00100.00
Average Period Return5.5719.3542.71112.94215.59349.25
Average Gain10.5628.7252.03124.71240.55349.25
Average Loss-15.82-25.94-22.50-28.29-8.96
Best Period38.5367.11130.85221.10517.52663.66
Worst Period-37.60-62.98-45.54-36.75-17.0520.84
Standard Deviation15.0728.0337.6065.72127.01185.56
Gain Standard Deviation10.2918.4329.3453.00106.91185.56
Loss Standard Deviation13.8721.6819.6311.9511.44
Sharpe Ratio (1%)0.360.681.121.701.691.87
Average Gain / Average Loss0.671.112.314.4126.85
Profit / Loss Ratio2.865.3516.1852.89241.63
Downside Deviation (10%)9.0013.9110.689.535.83
Downside Deviation (5%)8.8913.5910.118.464.18
Downside Deviation (0%)8.8613.519.978.193.82
Sortino Ratio (10%)0.571.303.7711.3335.70
Sortino Ratio (5%)0.621.414.1713.2451.19
Sortino Ratio (0%)0.631.434.2813.7956.48

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.