Jones and Company LLC : High Sierra Direct Mehnert, L.P.

archived programsClosed to new investments
Year-to-Date
N / A
May Performance
-2.25%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
16.29%
Sharpe (RFR=1%)
-0.43
CAROR
-7.00%
Assets
$ 650k
Worst DD
-19.38
S&P Correlation
-0.22

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
3/2015
High Sierra Direct Mehnert, L.P. -2.25 1.90 - -17.15 - - - -15.07
S&P 500 1.16 2.04 - 15.01 - - - 15.30
+/- S&P 500 -3.41 -0.13 - -32.16 - - - -30.37

Strategy Description

Summary

High Sierra Direct Mehnert, L.P. is a feeder fund to Mehnert Capital's Diversified Trading Program. Diversified Trading Program (“DTP”) takes positions across a diversified portfolio of domestic futures markets with a primary focus on, but not limited to, currencies, agriculturals,... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$15.00
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
1800 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
5.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
5.00%
1-3 Months
25.00%
1-30 Days
70.00%
Intraday
0%

Decision-Making

Discretionary
2.00%
Systematic
98.00%

Strategy

Counter-trend
25.00%
Trend-following
75.00%
Strategy Pie Chart

Composition

Currency Futures
31.00%
Precious Metals
21.00%
Grains
12.00%
Energy
11.00%
Stock Indices
7.00%
Interest Rates
6.00%
Industrial Metals
5.00%
Softs
5.00%
Livestock
2.00%
Composition Pie Chart

Summary

High Sierra Direct Mehnert, L.P. is a feeder fund to Mehnert Capital's Diversified Trading Program. Diversified Trading Program (“DTP”) takes positions across a diversified portfolio of domestic futures markets with a primary focus on, but not limited to, currencies, agriculturals, equity indices, interest rates, metals, energies, softs and meats. - In broad terms, the different trading approaches that make up the trading program attempt to generate trading profits in (i) trending, (ii) nontrending, and (iii) reversal phases of any major market trend. All trades taken are actively managed, with the view of locking in as much of the prevailing market move as possible, while at the same time allowing each trade sufficient room to move in order to meet its return objectives. Accessing the DTP program through a managed account requires a $750,000 minimum investment. Accessing the DTP program through High Sierra Direct Mehnert, L.P. requires a $50,000 minimum investment.

Investment Strategy

This trading program and strategy operate on two levels. The first part of the strategy involves the use of two trading systems operated simultaneously; each system used has been profitable if run in isolation, but the combination of different models and strategies should produce better returns than any of the trading models alone. The use of multiple systems also decreases the reliance on any one market or trading strategy to produce consistent trading profits

Risk Management

The second part of the trading strategy involves strict risk management procedures that are used in order to achieve trading returns with the least possible risk. The Advisor believes that the leverage offered by futures contracts can work for and against an Advisor, and the understanding of risk is essential in trading mechanical systems over a wide range of futures markets. Risk is analyzed on a market basis and used to regularly balance the portfolio of contracts being traded at any given time.

   

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
-19.38 10 - 4/1/2016 2/1/2017
-13.47 8 6 1/1/0001 10/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
11.15 1 4/1/2016 4/1/2016
9.98 1 1/1/2016 1/1/2016
8.17 2 10/1/2016 11/1/2016
6.51 1 11/1/2015 11/1/2015
4.25 2 3/1/2017 4/1/2017
1.30 1 8/1/2015 8/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.74 5 5/1/2016 9/1/2016
-10.50 3 12/1/2016 2/1/2017
-8.84 2 9/1/2015 10/1/2015
-6.30 5 3/1/2015 7/1/2015
-4.55 2 2/1/2016 3/1/2016
-3.86 1 12/1/2015 12/1/2015
-2.25 1 5/1/2017 5/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods27.0025.0022.0016.0010.00
Percent Profitable29.6344.0036.3643.7510.00
Average Period Return-0.50-1.39-2.36-2.93-6.13
Average Gain5.155.176.964.510.41
Average Loss-2.88-6.54-7.69-8.71-6.86
Best Period11.1512.6219.487.440.41
Worst Period-8.00-13.30-14.52-17.15-12.19
Standard Deviation4.706.928.618.104.83
Gain Standard Deviation3.853.416.792.25
Loss Standard Deviation2.463.823.305.764.50
Sharpe Ratio (1%)-0.11-0.22-0.30-0.42-1.43
Average Gain / Average Loss1.790.790.910.520.06
Profit / Loss Ratio0.750.620.520.400.01
Downside Deviation (10%)3.416.438.5211.1314.47
Downside Deviation (5%)3.165.706.828.028.27
Downside Deviation (0%)3.145.616.647.707.65
Sortino Ratio (10%)-0.27-0.41-0.57-0.71-0.95
Sortino Ratio (5%)-0.17-0.27-0.38-0.43-0.83
Sortino Ratio (0%)-0.16-0.25-0.36-0.38-0.80

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.