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Ion Asset Architecture : Ion Pherium Program

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Year-to-Date
N / A
Sep Performance
2.37%
Min Investment
$ 10,000k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
9.39%
Sharpe (RFR=1%)
-0.43
CAROR
-3.45%
Assets
$ 9.5M
Worst DD
-15.81
S&P Correlation
0.24
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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 YTD 1yr 3yr 5yr 10yr Since
9/2012
Ion Pherium Program 2.37 - - - - - - -7.06
S&P 500 -1.55 - - - - - - 124.67
+/- S&P 500 3.92 - - - - - - -131.72

Strategy Description

Summary

The Ion Pherium Fund is a fully systematic fund focusing on medium to long-term effects in global stock index, interest rate, commodity and foreign exchange markets. The portfolio of strategies deployed include a broadly diversified set of trend-following, mean reversion, carry, fundamental... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 10,000k
Trading Level Incremental Increase $ 1,000k
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 Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 1000 RT/YR/$M
Avg. Margin-to-Equity
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
Systematic 100.00%

Strategy

Composition

Summary

The Ion Pherium Fund is a fully systematic fund focusing on medium to long-term effects in global stock index, interest rate, commodity and foreign exchange markets. The portfolio of strategies deployed include a broadly diversified set of trend-following, mean reversion, carry, fundamental and relative-value strategies. The Fund targets an annualized volatility of 20%.

   

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

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
-15.81 5 - 4/1/2013 9/1/2013
-4.27 2 5 1/1/0001 10/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
7.32 4 1/1/2013 4/1/2013
7.08 2 10/1/2013 11/1/2013
4.76 2 4/1/2014 5/1/2014
2.92 1 8/1/2014 8/1/2014
2.10 1 11/1/2012 11/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.81 5 5/1/2013 9/1/2013
-5.72 4 12/1/2013 3/1/2014
-4.60 2 6/1/2014 7/1/2014
-4.27 2 9/1/2012 10/1/2012
-1.00 1 12/1/2012 12/1/2012
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods24.0022.0019.0013.007.00
Percent Profitable41.6740.9121.057.690.00
Average Period Return-0.37-1.06-2.39-6.84-8.04
Average Gain2.383.453.071.15
Average Loss-2.33-4.19-3.85-7.50-8.04
Best Period3.785.978.481.15-5.22
Worst Period-6.58-11.66-12.82-12.63-10.85
Standard Deviation2.714.705.084.152.57
Gain Standard Deviation1.001.833.62
Loss Standard Deviation1.533.254.423.532.57
Sharpe Ratio (1%)-0.17-0.28-0.57-1.89-3.71
Average Gain / Average Loss1.020.820.800.15
Profit / Loss Ratio0.730.570.210.01
Downside Deviation (10%)2.384.816.7912.4915.82
Downside Deviation (5%)2.164.175.418.799.84
Downside Deviation (0%)2.114.025.117.918.39
Sortino Ratio (10%)-0.33-0.48-0.72-0.95-0.99
Sortino Ratio (5%)-0.21-0.31-0.53-0.89-0.97
Sortino Ratio (0%)-0.17-0.26-0.47-0.86-0.96

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.

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