Ion Asset Architecture : Ion Fund Program

archived programs
Year-to-Date
N / A
Jun Performance
-0.06%
Min Investment
$ 10,000k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
5.93%
Sharpe (RFR=1%)
0.25
CAROR
2.33%
Assets
$ 24.4M
Worst DD
-16.63
S&P Correlation
-0.37

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
11/2007
Ion Fund Program -0.06 -0.11 - -0.03 -2.75 -13.32 - 19.28
S&P 500 -2.10 -0.23 - 5.25 51.46 100.13 - 39.27
+/- S&P 500 2.04 0.12 - -5.28 -54.21 -113.45 - -19.99

Strategy Description

Summary

The Ion Fund Programme is a 100% systematic programme that operates in highly liquid and listed instruments. Its trading systems are designed to exploit price changes in the short and medium term. The system portfolio consists of trend-following, mean reversion and opportunistic trading... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 10,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
0%
Performance Fee
30.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
Redemption Frequency
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
10000 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Composition

Summary

The Ion Fund Programme is a 100% systematic programme that operates in highly liquid and listed instruments. Its trading systems are designed to exploit price changes in the short and medium term. The system portfolio consists of trend-following, mean reversion and opportunistic trading strategies that have been extensively tested over at least ten years of market data. The programme objective is to provide returns on the order of 20% p.a. without showing correlation to any single market.

   

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
-16.63 39 - 9/1/2010 12/1/2013
-3.85 3 8 8/1/2009 11/1/2009
-3.47 1 1 4/1/2008 5/1/2008
-0.97 1 1 11/1/2008 12/1/2008
-0.36 1 2 3/1/2009 4/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
20.39 6 6/1/2008 11/1/2008
11.20 6 11/1/2007 4/1/2008
6.27 6 4/1/2010 9/1/2010
5.85 4 5/1/2009 8/1/2009
3.10 1 1/1/2009 1/1/2009
2.65 2 12/1/2009 1/1/2010
2.04 2 7/1/2012 8/1/2012
1.99 1 10/1/2009 10/1/2009
1.78 1 10/1/2011 10/1/2011
1.69 1 2/1/2013 2/1/2013
0.80 1 6/1/2011 6/1/2011
0.72 2 1/1/2011 2/1/2011
0.57 2 3/1/2012 4/1/2012
0.50 1 11/1/2012 11/1/2012
0.26 1 6/1/2013 6/1/2013
0.25 2 2/1/2014 3/1/2014
0.24 1 3/1/2009 3/1/2009
0.05 2 12/1/2014 1/1/2015
0.04 1 4/1/2011 4/1/2011
0.02 1 9/1/2014 9/1/2014
0.02 1 3/1/2015 3/1/2015
0.01 1 4/1/2013 4/1/2013
0.01 1 5/1/2014 5/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.43 4 11/1/2011 2/1/2012
-4.03 3 10/1/2010 12/1/2010
-3.89 7 7/1/2013 1/1/2014
-3.51 1 11/1/2009 11/1/2009
-3.47 1 5/1/2008 5/1/2008
-3.35 3 7/1/2011 9/1/2011
-2.38 2 2/1/2010 3/1/2010
-2.30 1 9/1/2009 9/1/2009
-1.79 2 9/1/2012 10/1/2012
-1.78 2 5/1/2012 6/1/2012
-1.43 1 3/1/2011 3/1/2011
-0.97 1 12/1/2008 12/1/2008
-0.96 2 12/1/2012 1/1/2013
-0.64 1 5/1/2011 5/1/2011
-0.48 1 5/1/2013 5/1/2013
-0.36 1 4/1/2009 4/1/2009
-0.20 1 3/1/2013 3/1/2013
-0.11 3 4/1/2015 6/1/2015
-0.06 3 6/1/2014 8/1/2014
-0.01 1 4/1/2014 4/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods92.0090.0087.0081.0075.0069.0057.0045.0033.00
Percent Profitable51.0947.7851.7254.3238.6728.9924.5626.6733.33
Average Period Return0.210.591.021.621.260.34-1.70-4.16-2.76
Average Gain1.242.814.326.9711.9217.4821.6115.0012.91
Average Loss-1.10-1.48-2.51-4.74-5.46-6.65-9.29-11.13-10.59
Best Period8.349.7520.3926.7932.6739.0039.1134.1322.91
Worst Period-3.86-6.18-7.41-10.07-12.63-13.16-16.62-16.45-14.48
Standard Deviation1.713.115.169.0811.4312.9314.8313.0612.30
Gain Standard Deviation1.532.854.959.0811.5811.4811.159.687.40
Loss Standard Deviation1.161.592.222.883.493.543.843.833.37
Sharpe Ratio (1%)0.070.110.100.07-0.02-0.13-0.32-0.63-0.64
Average Gain / Average Loss1.131.901.721.472.182.632.331.351.22
Profit / Loss Ratio1.481.781.851.751.381.070.760.490.61
Downside Deviation (10%)1.202.293.927.2710.8714.6722.1328.7032.71
Downside Deviation (5%)1.031.672.594.356.107.8711.2013.4113.13
Downside Deviation (0%)0.991.542.323.745.066.338.7110.079.06
Sortino Ratio (10%)-0.17-0.28-0.37-0.46-0.58-0.68-0.79-0.90-0.93
Sortino Ratio (5%)0.120.200.200.14-0.04-0.21-0.42-0.61-0.60
Sortino Ratio (0%)0.210.380.440.430.250.05-0.19-0.41-0.30

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 10 3.14 6/2009
IASG CTA Index Sharpe 3 5.96 2006 - 2007

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.