Issumboshi Assets Management : Issumboshi (Proprietary)

archived programsClosed to new investments
Year-to-Date
N / A
Jan Performance
-1.30%
Min Investment
$ 200k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
19.02%
Sharpe (RFR=1%)
0.10
CAROR
-
Assets
$ 148k
Worst DD
-24.14
S&P Correlation
-0.09

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
3/2010
Issumboshi (Proprietary) -1.30 - - - - - -17.06 2.16
S&P 500 4.36 - - - - - 16.10 196.22
+/- S&P 500 -5.66 - - - - - -33.16 -194.06

Strategy Description

Summary

Quantitative Strategies - which were chosen, use a scientific and quantitative approach to conduct a comprehensive research and analysis of various futures markets across massive data sets. We have also identified numerous regular patterns, which repeat frequently in these markets.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 200k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 2.00
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 200 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 10.00%
1-30 Days 50.00%
Intraday 40.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
20.00%
Momentum
20.00%
Pattern Recognition
20.00%
Technical
20.00%
Trend-following
20.00%
Strategy Pie Chart

Composition

Stock Indices
50.00%
Energy
30.00%
Currency Futures
10.00%
Precious Metals
10.00%
Composition Pie Chart

Summary

Quantitative Strategies - which were chosen, use a scientific and quantitative approach to conduct a comprehensive research and analysis of various futures markets across massive data sets. We have also identified numerous regular patterns, which repeat frequently in these markets. Only these patterns logical, statistically significant and profitable across various markets and proven to be the most robust are used to formulate strategies in actual trading.

Investment Strategy

The system uses a disciplined, multidimensional technical strategy to a diversified group of markets. The strategy is based on multiple, independent and parallel, trend-following systems with a formalized overlay. Each trading system is designed and validated to extract different market behaviors on different time horizons (frequencies) for a particular market. Within the parameters of multiple frequencies the trading methodology combines systematic, disciplined trading criteria, which are unique to each market, with well-defined, responsible risk management procedures. Each strategy is designed to deal with a specific pattern or market condition being independent and non-correlated to the others. These strategies can be categorized as Intra-day Trend Following (which is different from the traditional Long Term Trend Following, or Counter Trend) and it is associated with day trading risks. The trading activities of Advisor may be quite active and the turnover rate of the Advisor‟s portfolio substantial. With aggressive trading, day trading or multiple contract trading strategies, the commissions that the customer pays may be more than what is considered “normal” for commodity trading. Although it is difficult to estimate the number of trades that may be made since technical factors will determine the trades, it is possible that a trade, or trades, may be made several days in a row, then no trades may occur for several days. They are non-parametric and adaptive to different market volatility conditions. It is possible that one strategy may signal a long position while another strategy signals a short position in the same market. Issumboshi Assets Management intends to offset those signals to reduce unnecessary trading. But provided the signals are not simultaneous, both trades will be taken. Since it is unlikely that both positions are profitable, in retrospect one or both trades will prove to be unnecessary. Issumboshi Assets Management follows trade signals of each strategy independently of the others.

Risk Management

Essentially is used for trading this futures : SPI 200-SFE, HSI –HKFE, HHI – HKFE, e-mini S&P 500 – CME, US 30y – CBOT, US 10y-CBOT, GOLD – different exchanges. In some cases also program can include Crude Oil, e-mini Nasdaq 100 Natural Gas, Heating Oil, Nikkei 225, e-mini Dow, Futures on EUR, GBP,CHF,AUD,NZD,CAD, DX – index, Russell 2000, Corn, Wheat, Soybeans, Coffee, TW index, In nifty index, It depends on Advisor choice what contracts is traded at the moment and can vary from month to month . All contracts traded in electronic versions. Forex is not traded in no shape or form. Advisor retain the right to make changes in composition of portfolio without limit, within the framework of disclosed risks. The Advisor generally attempts to limit daily risk between one percent (1%) and five percent (5%) of an account‟s equity per day. However there is no guarantee that losses will be limited to these amounts.

   

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:
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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
-24.14 4 - 7/1/2011 11/1/2011
-10.68 1 9 8/1/2010 9/1/2010
-0.68 1 1 1/1/0001 3/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
24.02 5 4/1/2010 8/1/2010
8.95 1 12/1/2011 12/1/2011
7.20 2 11/1/2010 12/1/2010
6.75 4 4/1/2011 7/1/2011
3.18 1 2/1/2011 2/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-24.14 4 8/1/2011 11/1/2011
-10.68 2 9/1/2010 10/1/2010
-3.11 1 3/1/2011 3/1/2011
-1.30 1 1/1/2012 1/1/2012
-0.68 1 3/1/2010 3/1/2010
-0.50 1 1/1/2011 1/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods23.0021.0018.0012.00
Percent Profitable56.5261.9061.1158.33
Average Period Return0.240.421.665.00
Average Gain3.715.959.7115.48
Average Loss-4.76-8.56-10.99-9.67
Best Period12.1220.0723.1721.08
Worst Period-10.90-18.52-21.76-14.76
Standard Deviation5.499.0312.0314.28
Gain Standard Deviation3.575.275.126.99
Loss Standard Deviation4.016.027.835.13
Sharpe Ratio (1%)0.030.020.100.28
Average Gain / Average Loss0.780.700.881.60
Profit / Loss Ratio1.131.131.392.24
Downside Deviation (10%)4.006.989.5310.01
Downside Deviation (5%)3.846.458.477.50
Downside Deviation (0%)3.806.328.216.91
Sortino Ratio (10%)-0.04-0.12-0.090.00
Sortino Ratio (5%)0.040.030.140.53
Sortino Ratio (0%)0.060.070.200.72

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.