Heritage Ltd : Eurostoxx 50 / Dax / Bund Options

archived programs
Year-to-Date
N / A
Jan Performance
0.89%
Min Investment
$ 200k
Mgmt. Fee
0%
Perf. Fee
40.00%
Annualized Vol
16.58%
Sharpe (RFR=1%)
1.17
CAROR
20.78%
Assets
$ 2.0M
Worst DD
-15.84
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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
1/2009
Eurostoxx 50 / Dax / Bund Options 0.89 - - - - - 47.70 79.01
S&P 500 4.36 - - - - - 16.10 319.45
+/- S&P 500 -3.47 - - - - - 31.59 -240.44

Strategy Description

Summary

The strategy wants to deliver capital appreciation, over time, irrespective of market conditions, built around a portfolio weighted across a number of unrelated global themes, or trends, and those businesses that are best placed to capitalize on them wherever in the world they may... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 200k
Trading Level Incremental Increase $ 10k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 40.00%
Average Commission $10.00
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 7-14 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 2500 RT/YR/$M
Avg. Margin-to-Equity 50%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 15.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 60.00%
Intraday 40.00%

Decision-Making

Discretionary 80.00%
Systematic 20.00%

Composition

Stock Indices
30.00%
Interest Rates
15.00%
Energy
10.00%
VIX
10.00%
Currency FX
5.00%
Industrial Metals
5.00%
Precious Metals
5.00%
Grains
5.00%
Livestock
5.00%
Softs
5.00%
SSF
5.00%
Composition Pie Chart

Summary

The strategy wants to deliver capital appreciation, over time, irrespective of market conditions, built around a portfolio weighted across a number of unrelated global themes, or trends, and those businesses that are best placed to capitalize on them wherever in the world they may be. No reference to country and sectoral boundaries by treating global markets as a single market place, allowing dynamic asset allocation during different market conditions. This is coupled with continuous and considered view of risk management.

Investment Strategy

The principal investment objective of the Eurostoxx 50 / Dax / Bund Strategy is to generate stable monthly rates of return, through investing in options on regulated international equity markets and futures, which are mostly uncorrelated with the broader debt and equity markets, while at the same time controlling the volatility and managing risks by using several hedging techniques.

Risk Management

Margin allocation is a critical aspect of the strategy risk control procedures and position management procedures. The aims of the Eurostoxx 50 / Dax / Bund Strategy is to maintain an average margin allocation of 50% of the funds total assets. The strategy will aim to never utilize the funds total assets in terms of margin requirement, however if at any time an individual event occurs which put the Strategy on margin call, positions will be de-leveraged immediately or closed outright in order to remain with the Strategy risk parameters.

   

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:
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Risk
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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
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Risk
Standard Deviation:
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Average Loss:
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Sharpe Ratio: (RF=1%)
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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
-15.84 1 5 5/1/2010 6/1/2010
-8.95 1 - 7/1/2011 8/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
56.06 10 10/1/2010 7/1/2011
30.06 17 1/1/2009 5/1/2010
10.72 2 7/1/2010 8/1/2010
7.42 5 9/1/2011 1/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.84 1 6/1/2010 6/1/2010
-8.95 1 8/1/2011 8/1/2011
-3.24 1 9/1/2010 9/1/2010
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods37.0035.0032.0026.0020.0014.00
Percent Profitable91.8982.8681.25100.00100.00100.00
Average Period Return1.705.3211.0925.0535.1054.56
Average Gain2.677.9515.0725.0535.1054.56
Average Loss-9.34-7.43-6.18
Best Period16.9631.2140.7562.0262.0969.00
Worst Period-15.84-14.40-10.861.309.4644.48
Standard Deviation4.798.8014.0415.1514.787.29
Gain Standard Deviation3.247.0312.4315.1514.787.29
Loss Standard Deviation6.313.803.03
Sharpe Ratio (1%)0.340.580.751.592.277.21
Average Gain / Average Loss0.291.072.44
Profit / Loss Ratio3.245.1810.57
Downside Deviation (10%)3.143.863.970.74
Downside Deviation (5%)3.063.493.13
Downside Deviation (0%)3.043.392.93
Sortino Ratio (10%)0.411.062.1727.26
Sortino Ratio (5%)0.531.453.38
Sortino Ratio (0%)0.561.573.78

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.