Intercontinental Managed Futures : ICMF Global Momentum Trading Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Sep Performance 0.00% Min Investment $ 50k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 2.45% Sharpe (RFR=1%) -0.33 CAROR - Assets $ 400k Worst DD -2.18 S&P Correlation -0.01 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 Sep Qtr 2020 1yr 3yr 5yr 10yr Since10/2012 ICMF Global Momentum Trading Program 0.00 - - - - - - 0.16 S&P 500 2.97 - - - - - - 163.27 +/- S&P 500 -2.97 - - - - - - -163.11 Strategy Description SummaryNew breed of Professional CTA managing the near-term risk in a long-term outlook. 5 years of third-party program testing and infrastructure development came ahead of raising AUM. Stand-alone alternative investment, offering a challenge to limited Option and ETF portfolio insurance. Long... Read More Account & Fees Type Managed Account Minimum Investment $ 50k Trading Level Incremental Increase $ 50k CTA Max Funding Factor 1.00 Management Fee 2.00% Performance Fee 20.00% Average Commission $10.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Redemption Frequency Daily Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 7000 RT/YR/$M Avg. Margin-to-Equity 10% Targeted Worst DD -10.00% Worst Peak-to-Trough 2.00% Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 0% Intraday 100.00% Decision-Making Discretionary 0% Systematic 100.00% Strategy Fundamental 20.00% Momentum 40.00% Technical 40.00% Composition Currency Futures 40.00% Stock Indices 40.00% Precious Metals 20.00% SummaryNew breed of Professional CTA managing the near-term risk in a long-term outlook. 5 years of third-party program testing and infrastructure development came ahead of raising AUM. Stand-alone alternative investment, offering a challenge to limited Option and ETF portfolio insurance. Long or short exposure in-line with global market momentum, with no overnight exposure. Built around changes in Vega (volatility), automatic position adjustments, and risk-to-exit strategies. Conservative research-driven trade team with multiple skill-sets and forward-thinking outlooks. Hourly program reviews, which contain exposure to quick shifts in global market sentiment. Educational program generating daily Client Notes, keeping investors connected to the Manager. Tailored and transparent reporting, with 24/7 client access to their own Managed Futures account. Former Bank of England trader at the helm with over 30 years of global market experience. Business operation built by staff with back office expertise in Fortune 500 companies. Assisting IB’s, Allocators, and Investors in achieving their goals with a loyal and inter-active CTA partner. Investment StrategyThe US-based Global Futures Momentum Program (GFMP) offers traditional portfolio diversification with on-exchange Equity Indices, Bullion, Dollar Index and Currency-based Futures contracts. The program monitors changes in commercial and institutional global market momentum and sentiment, creating near-term price dislocation, which in turn forces institutional risk exposure adjustment. The methodology merges old world trade desk specialist experience with new world non-discretionary quantitative models. The program looks to profit from increasing near-term volatility, or Vega (the sensitivity to changes in Implied Volatility). Stocks tend to be Vega-Negative; creating a negative reaction to volatility change. GFMP is designed to be Vega-Positive; looking to protect capital and limit downside exposure in long-term portfolios when volatility strikes, while also participating in Vega-induced upside moves. There are no complex strategies, calendar spreads, derivatives, hedge, or arbitrage positions; just simple use of buy or sell front-month Futures positions. GFMP is a non-discretionary program, designed with a standardized filter process as the final step to determine trade exposure and contract size. The program allows all trade signals to be implemented, while automatically filtering for exit and target areas in a non-discretionary process. Risk ManagementRisk management takes precedence over all other component parts of GFMP. An automated trade filter process is in place so that a daily loss does not exceed a predefined capital percentage amount (outside of a catastrophic FCM/Exchange-related situation which could be outside of the program’s control). Risk tolerance is achieved with automatic use of Loss/Target ratio analysis designed to adapt in real-time to changes in market sentiment. Risk is systematically predetermined using global market alignment, price action, time of day, and breaking-news impact. The program limits the intra-day exposure of individual positions to a predetermined value and assesses the risk to reward ratios as each position moves. Risk analysis and the constant monitoring of the strength of global market sentiment are integral components of the program. Block allocations and front-month futures contract are used to create a straightforward process that allows for quick unwinding of positions if required. It should take less than five minutes to liquidate the entire program under normal market conditions, and is a reason for favoring highly liquid Futures contracts. The system generates entry and exit points ahead of time following a repeatable trade management process with trailing price points implemented on all positions. 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 -2.18 2 - 11/1/2012 1/1/2013 Show More Consecutive Gains Run-up Length (Mos.) Start End 1.99 2 2/1/2013 3/1/2013 0.40 1 11/1/2012 11/1/2012 Show More Consecutive Losses Run-up Length (Mos.) Start End -2.18 2 12/1/2012 1/1/2013 Show More Time Windows Analysis 1 Month3 Month6 Month Number of Periods12.0010.007.00 Percent Profitable25.0030.0071.43 Average Period Return0.020.010.59 Average Gain0.791.340.87 Average Loss-1.10-1.29-0.24 Best Period1.401.991.99 Worst Period-1.67-1.79-0.24 Standard Deviation0.711.150.83 Gain Standard Deviation0.530.710.82 Loss Standard Deviation0.810.49 Sharpe Ratio (1%)-0.09-0.200.11 Average Gain / Average Loss0.721.043.68 Profit / Loss Ratio1.091.0418.38 Downside Deviation (10%)0.731.612.03 Downside Deviation (5%)0.540.890.38 Downside Deviation (0%)0.500.740.09 Sortino Ratio (10%)-0.54-0.75-0.93 Sortino Ratio (5%)-0.12-0.260.23 Sortino Ratio (0%)0.030.026.57 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