Gladius Asset Management : Fulham Program

archived programs
Year-to-Date
N / A
Dec Performance
-1.77%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
13.37%
Sharpe (RFR=1%)
0.33
CAROR
4.65%
Assets
$ 16.5M
Worst DD
-15.65
S&P Correlation
-0.32

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
1/2008
Fulham Program -1.77 -3.33 - -3.79 -4.05 -4.52 - 43.90
S&P 500 -1.75 6.45 - -0.73 43.31 62.49 - 48.24
+/- S&P 500 -0.02 -9.78 - -3.07 -47.36 -67.02 - -4.34

Strategy Description

Summary

* Fund Product with $100k minimum is also available * Gladius Asset Management, LLC - Fulham Program is a momentum-based trend following program which utilizes robust trading signals in an attempt to identify and profit from asymmetrical risk-reward opportunities over multiple timeframes.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 2,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.50
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$7.00
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
1800 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
Worst Peak-to-Trough
15.65%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
1.00%
1-3 Months
9.00%
1-30 Days
70.00%
Intraday
20.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
20.00%
Softs
20.00%
Grains
15.00%
Energy
14.00%
Interest Rates
14.00%
Precious Metals
7.00%
Livestock
7.00%
Industrial Metals
3.00%
Composition Pie Chart

Summary

* Fund Product with $100k minimum is also available * Gladius Asset Management, LLC - Fulham Program is a momentum-based trend following program which utilizes robust trading signals in an attempt to identify and profit from asymmetrical risk-reward opportunities over multiple timeframes. The program applies a unique Tactical Sector Allocation (TSA) algorithm to dynamically allocate risk capital across the 7 major market sectors traded (no equities), as well as across individual markets within each sector. In applying additional processes, partial profits may be taken as winning trades develop, simultaneously reducing risk into increasingly volatile markets while also allowing profits to run in order to secure capital appreciation with minimal drawdown periods.

   

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
-15.65 11 6 5/1/2009 4/1/2010
-15.39 32 - 9/1/2011 5/1/2014
-11.19 5 3 2/1/2008 7/1/2008
-6.18 5 5 10/1/2010 3/1/2011
-6.08 3 2 12/1/2008 3/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
28.76 3 10/1/2008 12/1/2008
20.59 2 1/1/2008 2/1/2008
12.42 5 9/1/2014 1/1/2015
11.45 2 9/1/2010 10/1/2010
10.11 3 7/1/2011 9/1/2011
9.72 3 5/1/2010 7/1/2010
8.50 2 4/1/2009 5/1/2009
8.13 1 8/1/2008 8/1/2008
6.49 1 5/1/2012 5/1/2012
6.31 1 9/1/2015 9/1/2015
5.01 2 5/1/2008 6/1/2008
4.85 1 4/1/2011 4/1/2011
3.78 2 2/1/2010 3/1/2010
2.45 1 7/1/2012 7/1/2012
1.83 1 11/1/2009 11/1/2009
1.81 2 6/1/2014 7/1/2014
1.55 2 9/1/2013 10/1/2013
1.55 2 1/1/2014 2/1/2014
1.32 2 8/1/2009 9/1/2009
1.32 3 12/1/2012 2/1/2013
0.85 1 6/1/2013 6/1/2013
0.62 2 2/1/2012 3/1/2012
0.55 1 12/1/2010 12/1/2010
0.34 1 2/1/2011 2/1/2011
0.09 1 3/1/2015 3/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.09 4 10/1/2011 1/1/2012
-8.89 2 12/1/2009 1/1/2010
-8.27 2 3/1/2008 4/1/2008
-8.20 5 4/1/2015 8/1/2015
-7.81 1 7/1/2008 7/1/2008
-6.08 3 1/1/2009 3/1/2009
-5.93 1 4/1/2010 4/1/2010
-5.05 2 6/1/2009 7/1/2009
-4.41 2 7/1/2013 8/1/2013
-4.26 4 8/1/2012 11/1/2012
-4.01 1 3/1/2011 3/1/2011
-3.39 2 11/1/2013 12/1/2013
-3.33 3 10/1/2015 12/1/2015
-3.21 1 10/1/2009 10/1/2009
-2.93 3 3/1/2014 5/1/2014
-2.48 1 2/1/2015 2/1/2015
-2.46 1 8/1/2010 8/1/2010
-2.26 3 3/1/2013 5/1/2013
-2.12 2 5/1/2011 6/1/2011
-1.92 1 11/1/2010 11/1/2010
-1.51 1 6/1/2012 6/1/2012
-1.23 1 1/1/2011 1/1/2011
-0.43 1 4/1/2012 4/1/2012
-0.41 1 8/1/2014 8/1/2014
-0.02 1 9/1/2008 9/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods96.0094.0091.0085.0079.0073.0061.0049.0037.00
Percent Profitable48.9651.0645.0558.8262.0360.2760.6661.2270.27
Average Period Return0.451.132.154.084.214.086.407.6110.27
Average Gain3.115.289.1410.619.559.1713.9113.8916.54
Average Loss-2.10-3.20-3.57-5.25-4.50-3.63-5.19-2.29-4.56
Best Period16.5928.7637.7149.0747.6532.1250.7244.8749.97
Worst Period-8.48-10.59-10.54-11.37-10.16-11.33-10.37-9.71-9.75
Standard Deviation3.866.428.8711.8610.699.3214.4414.0815.63
Gain Standard Deviation3.526.338.7211.4210.168.4213.9814.8014.56
Loss Standard Deviation2.012.432.872.733.163.482.772.622.47
Sharpe Ratio (1%)0.100.140.190.260.250.220.230.250.33
Average Gain / Average Loss1.481.652.562.022.122.532.686.053.63
Profit / Loss Ratio1.421.722.102.893.473.834.139.568.58
Downside Deviation (10%)2.293.534.986.958.199.9514.9618.7022.73
Downside Deviation (5%)2.112.943.684.374.174.175.464.415.70
Downside Deviation (0%)2.062.803.393.793.373.143.672.132.80
Sortino Ratio (10%)0.02-0.03-0.06-0.13-0.41-0.62-0.63-0.75-0.76
Sortino Ratio (5%)0.170.300.450.700.650.500.620.810.91
Sortino Ratio (0%)0.220.400.641.081.251.301.743.573.67

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 8 6.31 9/2015
Systematic Trader Index Month 9 6.31 9/2015

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.