ISAM : ISAM Systematic Trend (Levitas)

Year-to-Date
1.13%
Nov Performance
-0.14%
Min Investment
$ 1,000k
Mgmt. Fee
1.20%
Perf. Fee
20.00%
Annualized Vol
9.57%
Sharpe (RFR=1%)
0.03
CAROR
0.80%
Assets
$ 3,501.0M
Worst DD
-22.61
S&P Correlation
-0.05

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
5/2010
ISAM Systematic Trend (Levitas) -0.14 -9.17 1.13 2.75 -8.85 -0.84 - 7.96
S&P 500 3.40 7.33 25.29 13.79 41.40 50.37 - 185.34
+/- S&P 500 -3.54 -16.50 -24.15 -11.04 -50.24 -51.22 - -177.38

Strategy Description

Account & Fees

Type
Fund
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
1.20%
Performance Fee
20.00%
Average Commission
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
0 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
Worst Peak-to-Trough
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

Trend-following
100.00%
Strategy Pie Chart

Composition

   

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
-22.61 35 - 2/1/2016 1/1/2019
-21.14 31 15 2/1/2011 9/1/2013
-8.56 3 6 3/1/2015 6/1/2015
-2.50 1 1 10/1/2010 11/1/2010
-2.13 2 1 5/1/2010 7/1/2010
-1.66 1 1 1/1/2015 2/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
23.41 3 11/1/2014 1/1/2015
17.45 6 4/1/2014 9/1/2014
11.74 3 6/1/2019 8/1/2019
10.47 4 11/1/2015 2/1/2016
6.78 3 12/1/2010 2/1/2011
6.78 3 8/1/2010 10/1/2010
5.99 3 2/1/2019 4/1/2019
5.10 1 10/1/2017 10/1/2017
4.90 1 7/1/2015 7/1/2015
4.72 2 7/1/2018 8/1/2018
4.03 3 7/1/2011 9/1/2011
3.67 2 12/1/2017 1/1/2018
3.57 1 9/1/2015 9/1/2015
3.32 2 11/1/2011 12/1/2011
2.90 1 8/1/2017 8/1/2017
2.69 2 6/1/2016 7/1/2016
2.47 3 10/1/2013 12/1/2013
2.27 1 7/1/2012 7/1/2012
2.15 1 3/1/2015 3/1/2015
1.76 2 3/1/2013 4/1/2013
1.67 1 5/1/2012 5/1/2012
1.60 1 12/1/2018 12/1/2018
1.51 1 4/1/2011 4/1/2011
1.18 1 2/1/2012 2/1/2012
1.01 2 3/1/2018 4/1/2018
0.62 1 2/1/2017 2/1/2017
0.36 1 2/1/2014 2/1/2014
0.17 1 5/1/2010 5/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.17 3 9/1/2019 11/1/2019
-9.00 3 3/1/2016 5/1/2016
-8.99 5 5/1/2013 9/1/2013
-8.56 3 4/1/2015 6/1/2015
-8.09 3 9/1/2018 11/1/2018
-6.68 7 8/1/2012 2/1/2013
-6.64 6 8/1/2016 1/1/2017
-6.62 1 2/1/2018 2/1/2018
-5.92 2 5/1/2011 6/1/2011
-5.62 1 10/1/2011 10/1/2011
-4.62 2 5/1/2018 6/1/2018
-4.28 5 3/1/2017 7/1/2017
-4.01 1 6/1/2012 6/1/2012
-3.24 1 1/1/2019 1/1/2019
-2.86 1 9/1/2017 9/1/2017
-2.84 1 5/1/2019 5/1/2019
-2.58 2 3/1/2012 4/1/2012
-2.52 1 10/1/2015 10/1/2015
-2.50 1 11/1/2010 11/1/2010
-2.33 1 1/1/2012 1/1/2012
-2.13 2 6/1/2010 7/1/2010
-1.98 1 3/1/2011 3/1/2011
-1.66 1 2/1/2015 2/1/2015
-1.29 1 1/1/2014 1/1/2014
-0.76 1 3/1/2014 3/1/2014
-0.66 1 11/1/2017 11/1/2017
-0.63 1 8/1/2015 8/1/2015
-0.43 1 10/1/2014 10/1/2014
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods115.00113.00110.00104.0098.0092.0080.0068.0056.00
Percent Profitable48.7045.1341.8240.3831.6335.8748.7570.5998.21
Average Period Return0.100.360.891.352.163.496.9213.5819.11
Average Gain2.334.607.8612.6722.3726.0026.1722.6319.47
Average Loss-2.00-3.13-4.13-6.32-7.20-9.10-11.40-8.15-0.84
Best Period7.9823.4132.9944.9946.0652.9643.8039.5731.88
Worst Period-6.62-9.17-9.88-14.87-15.26-19.02-21.70-17.35-0.84
Standard Deviation2.765.178.0112.7616.9519.7820.8415.845.55
Gain Standard Deviation1.794.507.9013.1316.5216.2411.497.944.88
Loss Standard Deviation1.632.242.323.304.144.365.255.01
Sharpe Ratio (1%)0.010.020.050.030.040.070.190.602.53
Average Gain / Average Loss1.161.471.912.003.112.862.302.7823.05
Profit / Loss Ratio1.101.211.371.361.441.602.186.671267.69
Downside Deviation (10%)2.083.635.359.1712.7916.0319.9916.9210.10
Downside Deviation (5%)1.892.993.946.197.969.5510.987.130.79
Downside Deviation (0%)1.842.843.605.506.858.078.975.150.11
Sortino Ratio (10%)-0.15-0.24-0.30-0.40-0.42-0.42-0.44-0.47-0.84
Sortino Ratio (5%)0.010.040.100.060.080.150.351.3317.63
Sortino Ratio (0%)0.060.130.250.250.310.430.772.63169.27

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.