Heritage Ltd : Var5 Fund

archived programs
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

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
11/2010
Var5 Fund 1.08 - - - - - - 19.75
S&P 500 4.36 - - - - - - 193.43
+/- S&P 500 -3.28 - - - - - - -173.69

Strategy Description

Summary

The 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%

Composition

Currency Futures
20.00%
Precious Metals
20.00%
Energy
20.00%
Interest Rates
20.00%
Softs
10.00%
Stock Indices
10.00%
Composition Pie Chart

Summary

The 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 investments

Investment Strategy

The 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 Management

Var5 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

   

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
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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
-1.50 1 1 7/1/2011 8/1/2011
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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
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Consecutive Losses

Run-up Length (Mos.) Start End
-1.50 1 8/1/2011 8/1/2011
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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.