John Lo Sordo & Company : Global Diversified Program

archived programs
Year-to-Date
N / A
Sep Performance
-0.04%
Min Investment
$ 1,250k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
5.27%
Sharpe (RFR=1%)
-0.63
CAROR
-2.41%
Assets
$ 1.2M
Worst DD
-19.30
S&P Correlation
-0.07

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
10/2004
Global Diversified Program -0.04 - - - - - -0.04 -13.62
S&P 500 8.76 - - - - - -20.56 206.51
+/- S&P 500 -8.80 - - - - - 20.52 -220.13

Strategy Description

Summary

-JLC uses multiple low correlation technical systems over multiple time frames to manage customer accounts. JLC believes that future price movements in all markets may be more accurately anticipated by historical price movements using technical analysis than by fundamental economic... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,250k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 0%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency Anytime
Redemption Frequency Anytime
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-JLC uses multiple low correlation technical systems over multiple time frames to manage customer accounts. JLC believes that future price movements in all markets may be more accurately anticipated by historical price movements using technical analysis than by fundamental economic analysis. Since both non-directional and price directional trading strategies are employed, major long-term price movements are not necessarily needed for the program to be successful. However, JLC is primarily a medium to long term trend follower. A countertrend model that has yielded good risk/reward characteristics in the past is combined with other trend following models to form a robust trading program that is slightly less dependent on any one particular market characteristic. The Advisor will effect transactions on most exchanges located in the United States, as well as non-U.S. exchanges, which include but are not limited to the London International Financial Futures and Options Exchange Ltd. (LIFFE), the Eurex Deutschland (EUREX), the Singapore International Monetary Exchange (SIMEX), London Metal Exchange (LME) and the Sydney Futures Exchange Ltd. The contracts that are currently traded by JLC include Eurocurrency, Japanese Yen, British Pound, Canadian Dollar, Australian Dollar, Mexican Peso, Eurodollar, Euribor, Short Sterling, U.S. Ten-Year Bond, Euro Bund, Long Gilt, Japanese Bond, Australian 3yr Bond, Nasdaq 100, Australian Share Price Index , Dax Index, FTSE Index, Nikkei Index, Taiwan Index, Crude Oil, Natural Gas, Silver, Copper, Corn, Soybean Meal, Soybean Oil, Wheat, Coffee, Cotton, Cocoa, Sugar, Live Cattle, Lean Hogs, Zinc, Nickel and Aluminum. INITIAL CAPITAL RISK EXPOSURE. The advisor attempts to limit maximum risk per trade to 0.2% of equity. POSITION SIZING. The advisor has a proprietary formula to determine the initial trading size based on market volatility among other factors. The Advisor may not take a trade in a market when the formula determines that risk is too high for that trading account size. Significant potential profit opportunities may be missed which would otherwise have been captured.

   

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
-19.30 33 - 11/1/2004 8/1/2007
-1.73 1 1 1/1/0001 10/1/2004
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Consecutive Gains

Run-up Length (Mos.) Start End
14.32 6 9/1/2007 2/1/2008
4.86 2 3/1/2006 4/1/2006
3.80 5 8/1/2008 12/1/2008
3.22 1 11/1/2004 11/1/2004
1.68 1 11/1/2009 11/1/2009
1.54 1 5/1/2009 5/1/2009
1.37 1 2/1/2005 2/1/2005
1.25 2 10/1/2006 11/1/2006
0.74 1 6/1/2007 6/1/2007
0.47 1 8/1/2006 8/1/2006
0.43 1 8/1/2010 8/1/2010
0.41 1 3/1/2010 3/1/2010
0.19 1 6/1/2005 6/1/2005
0.14 1 4/1/2007 4/1/2007
0.10 1 9/1/2005 9/1/2005
0.09 1 7/1/2009 7/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.18 3 3/1/2005 5/1/2005
-4.82 3 5/1/2006 7/1/2006
-4.44 4 4/1/2010 7/1/2010
-4.42 2 12/1/2004 1/1/2005
-4.32 4 12/1/2006 3/1/2007
-3.77 5 3/1/2008 7/1/2008
-3.64 3 12/1/2009 2/1/2010
-3.48 2 7/1/2007 8/1/2007
-2.94 5 10/1/2005 2/1/2006
-2.55 4 1/1/2009 4/1/2009
-2.31 2 7/1/2005 8/1/2005
-1.73 1 10/1/2004 10/1/2004
-1.51 1 9/1/2006 9/1/2006
-1.09 3 8/1/2009 10/1/2009
-0.84 1 5/1/2007 5/1/2007
-0.06 1 6/1/2009 6/1/2009
-0.04 1 9/1/2010 9/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods72.0070.0067.0061.0055.0049.0037.0025.00
Percent Profitable37.5031.4328.3631.1540.0044.9062.1632.00
Average Period Return-0.19-0.59-1.07-1.29-1.17-1.020.02-2.33
Average Gain1.252.664.185.846.096.333.681.35
Average Loss-1.06-2.07-3.16-4.52-6.02-7.00-5.99-4.07
Best Period4.988.5614.3210.1313.1412.916.202.84
Worst Period-4.08-6.03-8.13-10.79-10.16-12.98-16.57-9.20
Standard Deviation1.522.904.315.726.667.616.123.43
Gain Standard Deviation1.202.654.123.433.443.361.580.82
Loss Standard Deviation0.911.421.992.922.573.856.062.72
Sharpe Ratio (1%)-0.18-0.29-0.37-0.40-0.40-0.40-0.49-1.86
Average Gain / Average Loss1.181.281.331.291.010.900.610.33
Profit / Loss Ratio0.710.590.520.580.670.741.010.16
Downside Deviation (10%)1.362.995.078.3310.9213.5416.8624.12
Downside Deviation (5%)1.152.253.515.176.157.266.657.22
Downside Deviation (0%)1.102.073.154.455.065.915.154.00
Sortino Ratio (10%)-0.44-0.61-0.70-0.76-0.80-0.83-0.93-0.99
Sortino Ratio (5%)-0.24-0.37-0.45-0.44-0.44-0.42-0.45-0.88
Sortino Ratio (0%)-0.17-0.28-0.34-0.29-0.23-0.170.00-0.58

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.