III Associates : III Neural Networks Trading Program

archived programsClosed to new investments
Year-to-Date
N / A
Jan Performance
1.63%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.65%
Sharpe (RFR=1%)
0.48
CAROR
5.30%
Assets
$ 20.0M
Worst DD
-8.55
S&P Correlation
0.17

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
1/2008
III Neural Networks Trading Program 1.63 - - - - - 10.28 23.46
S&P 500 4.36 - - - - - 16.10 151.29
+/- S&P 500 -2.73 - - - - - -5.82 -127.82

Strategy Description

Investment Strategy

III Neural Networks is a unique systematic managed futures trading program powered by neural networks evolved with a generic algorithm to best utilize economic, fundamental, and technical data for each market traded. Through evolution,... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 2,000k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency Daily
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 500 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough 6.84%
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Energy
20.00%
Grains
20.00%
Softs
20.00%
Industrial Metals
10.00%
Precious Metals
10.00%
Livestock
10.00%
Other
10.00%
Composition Pie Chart

Investment Strategy

III Neural Networks is a unique systematic managed futures trading program powered by neural networks evolved with a generic algorithm to best utilize economic, fundamental, and technical data for each market traded. Through evolution, the neural networks develop their own trading rules. They can therefore avoid common human trading biases and their returns generally have low correlation to traditional CTAs. Extensive statistical out-of-sample testing is used to find markets where the neural networks have a robust advantage and to prevent over-fitting and data-dredging. Statistical analyses support the conclusion that the real-money profits over the 2+ year track record are the result of intelligent trading rather than randomness or luck. III Neural Networks uses multiple levels of risk management combining the best of systematic and discretionary risk controls, to lower volatility and minimize the frequency and severity of drawdowns.

   

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
-8.55 8 5 1/1/2010 9/1/2010
-6.82 12 4 2/1/2008 2/1/2009
-6.36 4 - 8/1/2011 12/1/2011
-4.25 1 3 4/1/2011 5/1/2011
-2.82 3 2 8/1/2009 11/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
16.67 6 3/1/2009 8/1/2009
15.56 5 12/1/2010 4/1/2011
9.48 2 1/1/2008 2/1/2008
5.77 3 4/1/2008 6/1/2008
4.73 3 6/1/2011 8/1/2011
3.27 3 4/1/2010 6/1/2010
3.05 1 10/1/2010 10/1/2010
3.04 2 12/1/2009 1/1/2010
1.63 1 1/1/2012 1/1/2012
1.22 1 8/1/2008 8/1/2008
1.13 1 10/1/2009 10/1/2009
0.59 1 10/1/2011 10/1/2011
0.02 1 12/1/2008 12/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.55 1 3/1/2008 3/1/2008
-6.48 3 7/1/2010 9/1/2010
-5.31 2 2/1/2010 3/1/2010
-4.74 1 9/1/2011 9/1/2011
-4.32 3 9/1/2008 11/1/2008
-4.25 1 5/1/2011 5/1/2011
-2.51 1 9/1/2009 9/1/2009
-2.28 2 11/1/2011 12/1/2011
-1.93 2 1/1/2009 2/1/2009
-1.43 1 11/1/2009 11/1/2009
-0.77 1 7/1/2008 7/1/2008
-0.31 1 11/1/2010 11/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods49.0047.0044.0038.0032.0026.0014.00
Percent Profitable61.2255.3254.5581.58100.00100.00100.00
Average Period Return0.471.222.695.698.1410.0517.65
Average Gain2.144.247.517.948.1410.0517.65
Average Loss-2.17-2.52-3.09-4.28
Best Period9.3410.0116.6715.8813.4122.1724.29
Worst Period-6.55-6.48-6.14-6.820.980.669.77
Standard Deviation2.784.196.326.363.305.773.63
Gain Standard Deviation1.942.964.444.543.305.773.63
Loss Standard Deviation1.641.691.392.09
Sharpe Ratio (1%)0.140.230.350.742.011.394.03
Average Gain / Average Loss0.991.682.431.85
Profit / Loss Ratio1.562.082.928.21
Downside Deviation (10%)1.892.763.894.282.093.741.66
Downside Deviation (5%)1.722.162.592.420.090.27
Downside Deviation (0%)1.672.012.272.02
Sortino Ratio (10%)0.030.000.060.160.26-0.051.14
Sortino Ratio (5%)0.220.450.851.9471.2730.31
Sortino Ratio (0%)0.280.611.182.82

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.