Futures Truth Company, FTC-CTA : SAM 101

archived programs
Year-to-Date
N / A
Dec Performance
-0.75%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.73%
Sharpe (RFR=1%)
0.46
CAROR
6.96%
Assets
$ 400k
Worst DD
-22.47
S&P Correlation
-0.34

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
10/2007
SAM 101 -0.75 - - - - - -16.31 42.36
S&P 500 0.71 - - - - - 62.07 123.58
+/- S&P 500 -1.46 - - - - - -78.39 -81.22

Strategy Description

Summary

At FTC, research has been the cornerstone of everything we’ve done for the last 25 years. It is our mission to develop technical trading strategies that deliver competitive returns for our clients with minimal risks. Diversification and a robust multiple strategy approach are the... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 200k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $10.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 3500 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 4.39%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 100.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
20.00%
Momentum
20.00%
Pattern Recognition
20.00%
Technical
40.00%
Strategy Pie Chart

Composition

Interest Rates
25.00%
Stock Indices
20.00%
Currency Futures
15.00%
Energy
15.00%
Grains
15.00%
Precious Metals
5.00%
Softs
5.00%
Composition Pie Chart

Summary

At FTC, research has been the cornerstone of everything we’ve done for the last 25 years. It is our mission to develop technical trading strategies that deliver competitive returns for our clients with minimal risks. Diversification and a robust multiple strategy approach are the driving factors in our research platforms. We diversify our approach by utilizing diverse, non-correlated strategies that allow us to achieve the optimal combination of profits and risk control. Further diversification is delivered through differing strategies, portfolios and time frames. Our objective in our quantitative systems is to deliver non correlated returns to the S & P index and other CTAs. The foundation of our investment philosophy is to deliver outstanding returns regardless of the state of world economies.

Investment Strategy

The SAM 101 System is a unique quantitative trading strategy offered by FTC, CTA. The firm specializes in the development of trading strategies designed to capitalize on short term price movements across a diversified portfolio. The strategy was developed through a rigorous quantitative study of a large data base of historical prices and was designed to have a low correlation to trend following strategies. The methodology is extremely short term in nature and utilizes counter trend and momentum analysis. Positions are held for an average of 2 to 5 days. Inception of this strategy is October 1, 2007.

Risk Management

The managed Futures portfolio’s targeted return to risk ratio is estimated to be two to one. The objective is to deliver returns of approximately 15-20% per year with a targeted drawdown of 10-15%.

   

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
-22.47 13 - 8/1/2011 9/1/2012
-12.56 9 15 6/1/2009 3/1/2010
-4.39 1 1 3/1/2008 4/1/2008
-1.61 1 1 3/1/2009 4/1/2009
-1.43 1 1 1/1/2008 2/1/2008
-1.37 1 1 8/1/2008 9/1/2008
-1.11 1 1 6/1/2011 7/1/2011
-0.39 1 1 1/1/0001 10/1/2007
-0.29 1 1 10/1/2008 11/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
20.97 4 5/1/2008 8/1/2008
20.46 3 11/1/2007 1/1/2008
17.44 4 12/1/2008 3/1/2009
13.43 3 4/1/2010 6/1/2010
8.85 2 10/1/2009 11/1/2009
7.55 1 1/1/2010 1/1/2010
7.10 2 5/1/2009 6/1/2009
6.55 2 2/1/2011 3/1/2011
5.33 1 10/1/2012 10/1/2012
5.06 2 5/1/2011 6/1/2011
4.10 2 4/1/2012 5/1/2012
3.91 2 8/1/2010 9/1/2010
3.48 1 8/1/2011 8/1/2011
2.68 1 3/1/2008 3/1/2008
2.49 1 10/1/2008 10/1/2008
0.59 1 1/1/2012 1/1/2012
0.05 1 11/1/2011 11/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.23 3 7/1/2009 9/1/2009
-9.78 4 6/1/2012 9/1/2012
-9.47 2 2/1/2010 3/1/2010
-8.40 2 2/1/2012 3/1/2012
-7.33 4 10/1/2010 1/1/2011
-7.09 2 9/1/2011 10/1/2011
-6.00 1 12/1/2009 12/1/2009
-4.39 1 4/1/2008 4/1/2008
-3.68 1 7/1/2010 7/1/2010
-3.62 1 12/1/2011 12/1/2011
-3.25 2 11/1/2012 12/1/2012
-2.39 1 4/1/2011 4/1/2011
-1.61 1 4/1/2009 4/1/2009
-1.43 1 2/1/2008 2/1/2008
-1.37 1 9/1/2008 9/1/2008
-1.11 1 7/1/2011 7/1/2011
-0.39 1 10/1/2007 10/1/2007
-0.29 1 11/1/2008 11/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods63.0061.0058.0052.0046.0040.0028.0016.00
Percent Profitable52.3862.3053.4563.4660.8767.5060.7193.75
Average Period Return0.651.873.206.729.9511.2417.0225.36
Average Gain3.825.8910.9415.6322.0221.4334.7527.64
Average Loss-2.84-4.77-5.68-8.76-8.83-9.94-10.37-8.89
Best Period11.2220.4622.6742.5466.2663.4173.9076.42
Worst Period-7.09-12.23-15.69-21.95-19.15-19.67-15.07-8.89
Standard Deviation4.256.7210.3517.4321.7121.6826.7024.73
Gain Standard Deviation3.084.927.4315.2319.5018.9218.5823.79
Loss Standard Deviation2.042.924.267.095.565.693.74
Sharpe Ratio (1%)0.130.240.260.330.390.430.520.86
Average Gain / Average Loss1.351.231.931.792.492.163.353.11
Profit / Loss Ratio1.482.042.213.103.884.485.1846.62
Downside Deviation (10%)2.634.096.269.4610.9812.5816.8512.84
Downside Deviation (5%)2.453.555.097.237.307.508.693.55
Downside Deviation (0%)2.403.414.816.746.486.466.872.22
Sortino Ratio (10%)0.090.160.120.180.210.080.070.30
Sortino Ratio (5%)0.230.460.530.791.161.231.616.00
Sortino Ratio (0%)0.270.550.671.001.541.742.4811.41

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.