Heritage Ltd : Var5 Fund Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Jan Performance 1.08% Min Investment $ 15k Mgmt. Fee 1.00% Perf. Fee 30.00% Annualized Vol 2.93% Sharpe (RFR=1%) 4.62 CAROR - Assets $ 1.5M Worst DD -1.50 S&P Correlation 0.26 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since11/2010 Var5 Fund 1.08 - - - - - 14.20 19.75 S&P 500 4.36 - - - - - 16.10 211.37 +/- S&P 500 -3.28 - - - - - -1.90 -191.62 Strategy Description SummaryThe principal objective is to provide growth of capital while minimizing volatility trough investment in a combination of products, while maitaining an opportunistic outlook for unique investment situations. Using a common sense businesslike approach, our core belief is that return... Read More Account & Fees Type Fund Minimum Investment $ 15k Trading Level Incremental Increase $ 1k CTA Max Funding Factor Management Fee 1.00% Performance Fee 30.00% Average Commission $3.00 Available to US Investors No Subscriptions High Water Mark Yes Subscription Frequency 15-30 Days Redemption Frequency 15-30 Days Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 3000 RT/YR/$M Avg. Margin-to-Equity 35% Targeted Worst DD 5.00% Worst Peak-to-Trough 1.90% Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 90.00% Intraday 10.00% Decision-Making Discretionary 40.00% Systematic 60.00% Strategy Arbitrage 2.00% Counter-trend 5.00% Fundamental 5.00% Momentum 10.00% Option-purchasing 20.00% Option-spreads 20.00% Option-writing 20.00% Pattern Recognition 2.00% Seasonal/cyclical 2.00% Spreading/hedging 10.00% Technical 2.00% Trend-following 2.00% Composition Currency Futures 20.00% Precious Metals 20.00% Energy 20.00% Interest Rates 20.00% Softs 10.00% Stock Indices 10.00% SummaryThe principal objective is to provide growth of capital while minimizing volatility trough investment in a combination of products, while maitaining an opportunistic outlook for unique investment situations. Using a common sense businesslike approach, our core belief is that return is generated trough diversification. Var5 Fund is largely proved in live trading and in a very different market conditions. The strategy trades only a few highly liquid futures markets and aim to achieve superior returns with low volatility and correlation to other investmentsInvestment StrategyThe Fund Strategy works as counter-trend strategy, trading some highly liquid futures markets: Australian Dollar, Euro, Sugar #11, Crude Oil, Gold, T-Bond, Eurostoxx50, Dax, Nasdaq100 and S&P 500. The Strategy, a counter-trend type, usea in-house retracement tecnique to profit from highly liquid market volatility. Trades duration average is 4 hour and ½. O/N trades are allowed, but not frequent. Trades max duration is one (1) week. The Fund aim to produce profits on monthly basis (max on bimonthly basis when an open trades is still open and eventually in Drawdown at end of the month). A in house Risk Management platform is used for this strategy, sourced by a in house trading tecniques, looking for counter-trend profits. Var5 Fund Strategy is not fully automated but is full sourced by strictly observed Trading Systems indications. The Fund Strategy represent an investment diversification itself, as showed low correlation to any investment sector index (included CTA). The 75% of the trades are short while 25% are Long. As a counter-trend strategy, Var5 Fund Strategy produce higher number of trades through short positions trades, but anyway, due to the higher volatility recognized in downtrends, profitability of long trades is highly efficient; this peculiarity allows to preserve Var5 Fund uncorrelation and profitability, even during deep downtrends.Risk ManagementVar5 Fund was created primarly for Risk Control. The term VaR (Value at Risk) underline that the key factor of this fund is a Max Drawdown of 5% and an expected yield of 25%. Margin to Equity is within the range 10% to 15% while the Max Margin to Equity is 35% with a peak to 50%. The Fund put itself as a high level risk management environment and a risk control solution to provide superior returns with a low portfolio volatility. The risk management is ensured also by control of max margin to equity and drawdown levels, reaching the maximum allowed margin to equity level, a cross control with the actual drawdown help in size re-balance and a partial or total open positions closure is activated. A maximum of traded contracts is set up, with a very maximum number of futures lots of 25 is reachable for 250K invested. This is a limit number of open positions that anyway have to comply with the above mentioned margin to equity policy of the Fund. The average of open contracts traded by Var5 Fund Strategy usually is widely lower than 10 lots for each 250K. Closing all the open positions and Stop trading if 5% Drawdown should be reached Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -1.50 1 1 7/1/2011 8/1/2011 Show More Consecutive Gains Run-up Length (Mos.) Start End 13.88 9 11/1/2010 7/1/2011 6.75 5 9/1/2011 1/1/2012 Show More Consecutive Losses Run-up Length (Mos.) Start End -1.50 1 8/1/2011 8/1/2011 Show More Time Windows Analysis 1 Month3 Month6 Month Number of Periods15.0013.0010.00 Percent Profitable93.33100.00100.00 Average Period Return1.213.566.95 Average Gain1.413.566.95 Average Loss-1.50 Best Period2.214.858.91 Worst Period-1.501.785.15 Standard Deviation0.851.031.41 Gain Standard Deviation0.411.031.41 Loss Standard Deviation Sharpe Ratio (1%)1.333.214.58 Average Gain / Average Loss0.94 Profit / Loss Ratio13.12 Downside Deviation (10%)0.49 Downside Deviation (5%)0.41 Downside Deviation (0%)0.39 Sortino Ratio (10%)1.63 Sortino Ratio (5%)2.76 Sortino Ratio (0%)3.13 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. x {{title}} x {{title}} Add Cancel