Integrated Managed Futures Corp : IMFC Global Investment Program

archived programs
Year-to-Date
11.30%
Jun Performance
-1.46%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.88%
Sharpe (RFR=1%)
0.33
CAROR
5.12%
Assets
$ 29.5M
Worst DD
-32.59
S&P Correlation
-0.20

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
2/2007
IMFC Global Investment Program -1.46 -4.41 -11.30 -27.63 -6.58 -8.35 66.12 68.29
S&P 500 0.33 2.41 8.08 15.29 23.44 77.64 60.93 75.30
+/- S&P 500 -1.79 -6.82 -19.38 -42.91 -30.02 -85.99 5.19 -7.00

Strategy Description

Summary

-The IMFC Global Investment Program invests in a globally diversified portfolio of futures, options and forward contracts, swaps and other financial derivative instruments giving investors exposure to a broadly based portfolio of both long and short investments in agricultural and... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 2,000k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
1900 RT/YR/$M
Avg. Margin-to-Equity
12%
Targeted Worst DD
-13.00%
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
20.00%
Interest Rates
20.00%
Industrial Metals
13.00%
Energy
12.00%
Grains
12.00%
Softs
11.00%
Stock Indices
10.00%
Livestock
2.00%
Composition Pie Chart

Summary

-The IMFC Global Investment Program invests in a globally diversified portfolio of futures, options and forward contracts, swaps and other financial derivative instruments giving investors exposure to a broadly based portfolio of both long and short investments in agricultural and soft commodities, metals, energies, currencies, interest rates and equity indices.

Investment Strategy

The central investment tenet of the IMFC Global Investment Program is that markets exhibit serial correlation or price trends and other persistent anomalies that cannot be explained by random behavior or the assumption of fully informed and rational market participants. Price trends, or serial correlation in market prices, may be the result of many factors including deeply rooted supply and demand trends for physical commodities, equity risk premiums, persistent interest rate differentials between currencies, the basis embedded in the term structure of futures prices and the crowd behavior of market participants.The IMFC Global Investment Program IMFC utilizes proprietary systematic trading strategies to invest in long-term price trends in over 60 industrial, agricultural and financial futures markets. The average duration of profitable trades is approximately one year, though they often last anywhere from two to five years with losses cut quickly when they occur. IMFC’s strategies utilize multiple non-correlated signal generators applied across several long-term timeframes of market data. The effect of this diversification is a reduction of position sizes in markets at equilibrium often to the point of having no exposure to those markets, and increased position sizes in markets that are exhibiting extreme price swings. Proprietary smoothing techniques are also used to separate underlying trend-persistence from random market noise, resulting in continuous exposure to long-term market trends of one year or longer.In addition, IMFC’s strategies incorporate portfolio management algorithms that adjust individual, sector and overall market exposure based on observed and simulated patterns of market returns.

Risk Management

Position Management: IMFC utilizes proprietary quantitative algorithms to identify potential periods of underperformance in any particular commodity for IMFC strategies. In these situations, position sizes may be systematically reduced or eliminated until the same algorithms portend an end to the potential period of underperformance.As markets continue to evolve over time and as IMFC is continuously engaged in market research, a core feature if The IMFC Global Investment Program is that it may also, in the future, incorporate additional trading and risk-management strategies and/or modify or eliminate all or some of the current trading strategies already in use.IMFC believes that the success of a trading program is primarily contingent upon the implementation of a robust and well defined risk management model. IMFC utilizes a multi-faceted risk management program based on low levels of risk exposure and broad diversification that includes, but is not limited to, the following measures:Margin-to-Equity Targets: In an attempt to minimize exposure to the risk of adverse price movements, IMFC targets a level of trading activity that results in initial margin requirements that are generally between 12% and 17%. However, depending on market volatility and liquidity, these margin-to-equity ranges can be higher or lower;Risk Exposure Limits: IMFC utilizes a fixed risk budget that targets long-term average annualized portfolio volatility of less than 17% and long-term average downside deviation of less than 14%. This risk budget is equally allocated across over 60 markets and 576 distinct signal generators per market, resulting in a targeted risk budget per market and signal generator respectively, as measured by long-term average annualized volatility, of less than 50 basis points and 0.001%. This risk budget results in a 99% 1-month Portfolio Value-at-Risk (VaR) using Extreme Value Theory (EVT) of between 10-12%. Short-term volatility can however deviate substantially from targeted long-term average volatility. Furthermore, there may be circumstances where it is impossible to limit risk as described above. Such a circumstance may be a market that is locked limit up or down, or the occurrence of severe slippage on order execution due to extreme market volatility.Diversification: Diversification is applied to minimize the overall portfolio risk from any given market or trading model. IMFC uses multiple non-correlated signal generators and trades a diversified portfolio of futures contracts that involves most major commodity groups (i.e., agriculture, currencies, energy, interest rates, equities, livestock, metals and soft commodities). The selection process seeks to avoid undue concentration in any particular futures group and to achieve a balance across several groups. However, on occasion there may be a heavier concentration of a given commodity or commodity group, or no weighting of a given commodity or commodity group, which could result in a greater return or risk to the account;

   

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
-32.59 16 - 2/1/2016 6/1/2017
-20.34 19 24 4/1/2011 11/1/2012
-10.47 2 2 6/1/2007 8/1/2007
-10.13 2 2 6/1/2008 8/1/2008
-9.43 5 6 12/1/2008 5/1/2009
-9.38 2 2 1/1/0001 3/1/2007
-8.85 8 2 11/1/2009 7/1/2010
-6.57 5 7 1/1/2015 6/1/2015
-3.94 2 2 2/1/2008 4/1/2008
-1.86 1 1 10/1/2010 11/1/2010
-1.43 1 1 2/1/2011 3/1/2011
-1.25 1 1 10/1/2007 11/1/2007
-0.21 1 1 12/1/2010 1/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
30.43 4 9/1/2008 12/1/2008
27.41 3 11/1/2014 1/1/2015
27.17 3 12/1/2007 2/1/2008
20.22 3 4/1/2007 6/1/2007
19.47 2 9/1/2007 10/1/2007
17.61 3 8/1/2010 10/1/2010
12.47 6 4/1/2014 9/1/2014
10.37 2 4/1/2012 5/1/2012
9.20 4 9/1/2013 12/1/2013
8.77 1 11/1/2009 11/1/2009
7.85 2 8/1/2009 9/1/2009
6.78 3 7/1/2015 9/1/2015
6.50 3 2/1/2010 4/1/2010
5.39 2 5/1/2008 6/1/2008
5.38 2 1/1/2016 2/1/2016
5.18 1 6/1/2016 6/1/2016
4.76 2 3/1/2013 4/1/2013
4.02 2 7/1/2011 8/1/2011
3.88 1 2/1/2011 2/1/2011
3.81 2 12/1/2012 1/1/2013
3.73 1 4/1/2011 4/1/2011
3.23 1 11/1/2015 11/1/2015
3.07 1 12/1/2010 12/1/2010
1.91 2 11/1/2011 12/1/2011
1.26 1 2/1/2014 2/1/2014
1.22 1 7/1/2012 7/1/2012
0.85 1 5/1/2015 5/1/2015
0.76 1 3/1/2015 3/1/2015
0.35 1 6/1/2013 6/1/2013
0.27 1 6/1/2009 6/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-27.85 12 7/1/2016 6/1/2017
-11.75 4 8/1/2012 11/1/2012
-11.16 3 3/1/2016 5/1/2016
-10.47 2 7/1/2007 8/1/2007
-10.13 2 7/1/2008 8/1/2008
-9.43 5 1/1/2009 5/1/2009
-9.38 2 2/1/2007 3/1/2007
-8.19 2 9/1/2011 10/1/2011
-7.76 3 5/1/2010 7/1/2010
-7.22 2 12/1/2009 1/1/2010
-6.84 3 1/1/2012 3/1/2012
-6.52 2 7/1/2013 8/1/2013
-6.02 1 6/1/2012 6/1/2012
-5.17 2 5/1/2011 6/1/2011
-4.70 1 4/1/2015 4/1/2015
-4.28 1 10/1/2009 10/1/2009
-3.97 1 10/1/2015 10/1/2015
-3.94 2 3/1/2008 4/1/2008
-3.61 1 3/1/2014 3/1/2014
-2.85 1 1/1/2014 1/1/2014
-2.37 1 6/1/2015 6/1/2015
-1.86 1 11/1/2010 11/1/2010
-1.46 1 12/1/2015 12/1/2015
-1.43 1 3/1/2011 3/1/2011
-1.25 1 11/1/2007 11/1/2007
-1.18 1 2/1/2015 2/1/2015
-0.52 1 2/1/2013 2/1/2013
-0.31 1 10/1/2014 10/1/2014
-0.21 1 1/1/2011 1/1/2011
-0.08 1 5/1/2013 5/1/2013
-0.04 1 7/1/2009 7/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods125.00123.00120.00114.00108.00102.0090.0078.0066.00
Percent Profitable49.6051.2260.8360.5363.8969.6178.8984.6295.45
Average Period Return0.521.813.658.2312.4916.4722.4125.7826.91
Average Gain3.938.1110.7619.7225.8429.1030.4830.9328.52
Average Loss-2.84-4.81-7.41-9.39-11.13-12.48-7.72-2.60-7.06
Best Period19.6627.5850.0359.5775.6483.3391.95116.4393.00
Worst Period-7.01-13.29-19.65-27.85-28.96-26.65-16.25-6.09-11.52
Standard Deviation4.588.5912.4218.9523.2625.3326.0730.2225.75
Gain Standard Deviation4.007.2410.3214.7317.7019.1723.3730.0925.22
Loss Standard Deviation1.793.275.217.898.197.654.451.684.55
Sharpe Ratio (1%)0.090.180.250.380.470.570.740.720.85
Average Gain / Average Loss1.381.691.452.102.322.333.9511.914.04
Profit / Loss Ratio1.361.772.263.224.115.3414.7565.4984.86
Downside Deviation (10%)2.634.787.0010.3112.3013.3212.3012.5114.99
Downside Deviation (5%)2.434.195.918.169.019.005.352.792.94
Downside Deviation (0%)2.384.055.657.678.278.034.071.201.70
Sortino Ratio (10%)0.040.120.170.310.400.470.540.34-0.05
Sortino Ratio (5%)0.180.370.530.891.221.613.627.797.42
Sortino Ratio (0%)0.220.450.651.071.512.055.5121.5215.82

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.