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Kaiser Trading Group : Kaiser Global Diversified Program - Class A

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Year-to-Date
5.69%
May Performance
-5.40%
Min Investment
$ 10,000k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
12.22%
Sharpe (RFR=1%)
0.59
CAROR
7.72%
Assets
$ 257.0M
Worst DD
-20.47
S&P Correlation
-0.14
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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 May Qtr YTD 1yr 3yr 5yr 10yr Since
3/1998
Kaiser Global Diversified Program - Class A -5.40 -7.78 -5.69 4.44 3.54 10.76 23.12 422.60
S&P 500 4.53 3.05 -5.77 10.62 24.94 42.99 176.56 178.49
+/- S&P 500 -9.93 -10.83 0.08 -6.18 -21.40 -32.23 -153.44 244.11

Strategy Description

Summary

The Kaiser Global Diversified Program was founded in 1998. The investment approach is short-term, 100% systematic, multi-strategy and multi-asset, utilizing advanced computer modelling.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 10,000k
Trading Level Incremental Increase $ 1,000k
CTA Max Funding Factor 4.00
Management Fee 0%
Performance Fee 30.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 2100 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD 14.84%
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 3.00%
1-3 Months 7.00%
1-30 Days 90.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Summary

The Kaiser Global Diversified Program was founded in 1998. The investment approach is short-term, 100% systematic, multi-strategy and multi-asset, utilizing advanced computer modelling.

Investment Strategy

The principle of the investment thesis is using pattern recognition to make short-term directional trades. The concepts are derived from discretionary technical trading decisions based on patterns in price action. Examples of a trading concept include a low volatility breakout, mean reversion to a trend or fading an extended move. Then look to systematize and quantitatively test our intuitive discretionary understanding of markets. The market conditions are defined through indicators, which are used to create the entry and exit criteria for a model. Fundamental to Kaiser Trading Group’s research philosophy is the concept of market regimes. They provide a multi-resolution understanding of the underlying time series in order to provide specific context when taking trades, and are defined across multiple time resolutions to indicate whether a market is directional or corrective in nature.

Risk Management

Each concept is thoroughly back-tested over an extended period of time to gauge robustness across markets and over varying conditions. A model is the product of a concept, defined through a unique combination of entry and exit rules. All models aim to provide consistent returns across all markets, time series and market conditions. The program is then made up of a set of models, markets and risk allocation methodology. The Program is not built around the concept of net long or short positions in a market. It applies each model independently over all markets. Although this may result in different models taking opposing trades in the same market, the idea is that over time, models with low correlation together provide superior risk-adjusted returns. For instance, the program could have a long position in a longer term trend model and enter a short position in a shorter-term countertrend model. The focus is on controlling drawdown risk rather than targeting a certain level of volatility in returns.

   

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
-20.47 10 9 1/1/2018 11/1/2018
-14.79 4 7 12/1/2013 4/1/2014
-14.12 6 6 2/1/2015 8/1/2015
-11.63 11 5 2/1/2009 1/1/2010
-10.84 19 4 2/1/2016 9/1/2017
-9.65 6 2 9/1/2011 3/1/2012
-9.13 3 4 4/1/2000 7/1/2000
-8.95 2 3 2/1/1999 4/1/1999
-8.74 5 3 8/1/1999 1/1/2000
-8.56 7 5 5/1/2012 12/1/2012
-7.78 2 - 3/1/2020 5/1/2020
-7.37 4 2 11/1/2006 3/1/2007
-7.27 4 3 12/1/2001 4/1/2002
-5.43 2 3 11/1/2004 1/1/2005
-4.13 2 3 8/1/2019 10/1/2019
-3.91 2 2 8/1/1998 10/1/1998
-3.89 4 3 10/1/2005 2/1/2006
-3.88 4 3 5/1/2013 9/1/2013
-3.48 2 2 9/1/2003 11/1/2003
-3.44 7 4 10/1/2010 5/1/2011
-3.38 1 1 12/1/2000 1/1/2001
-2.53 1 2 1/1/2004 2/1/2004
-2.48 1 1 6/1/2010 7/1/2010
-2.22 1 3 4/1/2001 5/1/2001
-2.18 2 2 7/1/2008 9/1/2008
-2.13 1 1 6/1/2005 7/1/2005
-1.49 1 3 5/1/2004 6/1/2004
-1.46 1 1 12/1/1998 1/1/1999
-1.34 1 1 3/1/2008 4/1/2008
-0.94 1 1 9/1/2002 10/1/2002
-0.93 1 1 8/1/2010 9/1/2010
-0.85 1 2 11/1/2002 12/1/2002
-0.48 2 1 9/1/2001 11/1/2001
-0.45 1 1 11/1/2014 12/1/2014
-0.32 1 1 7/1/2003 8/1/2003
-0.29 1 1 6/1/1998 7/1/1998
-0.26 2 1 2/1/2003 4/1/2003
-0.14 1 1 5/1/2007 6/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
25.05 4 3/1/1998 6/1/1998
23.39 9 7/1/2007 3/1/2008
17.52 3 2/1/2001 4/1/2001
17.24 4 5/1/1999 8/1/1999
17.08 3 6/1/2019 8/1/2019
16.64 9 3/1/2006 11/1/2006
16.32 1 2/1/1999 2/1/1999
15.84 3 12/1/2015 2/1/2016
14.25 2 8/1/2014 9/1/2014
13.52 5 8/1/2000 12/1/2000
13.30 2 4/1/2012 5/1/2012
12.12 5 2/1/2005 6/1/2005
11.90 3 3/1/2013 5/1/2013
11.67 2 11/1/1998 12/1/1998
10.99 3 4/1/2010 6/1/2010
10.63 1 1/1/2018 1/1/2018
10.54 3 2/1/2000 4/1/2000
10.15 5 5/1/2002 9/1/2002
10.07 2 10/1/2017 11/1/2017
9.57 5 10/1/2008 2/1/2009
8.65 4 2/1/2017 5/1/2017
8.60 2 4/1/2007 5/1/2007
7.34 2 11/1/2016 12/1/2016
7.05 2 3/1/2019 4/1/2019
6.79 3 8/1/2005 10/1/2005
6.31 1 12/1/2018 12/1/2018
6.23 2 1/1/2015 2/1/2015
6.14 5 11/1/2019 3/1/2020
5.80 2 8/1/2001 9/1/2001
5.64 3 3/1/2004 5/1/2004
5.13 3 5/1/2008 7/1/2008
5.01 1 1/1/2013 1/1/2013
4.78 1 11/1/2014 11/1/2014
4.74 3 10/1/2013 12/1/2013
4.68 1 8/1/1998 8/1/1998
4.54 3 5/1/2003 7/1/2003
4.11 1 12/1/1999 12/1/1999
3.80 1 5/1/2009 5/1/2009
3.78 1 9/1/2015 9/1/2015
3.67 2 5/1/2014 6/1/2014
3.66 1 8/1/2010 8/1/2010
3.65 2 12/1/2003 1/1/2004
3.48 3 5/1/2016 7/1/2016
3.46 1 2/1/2010 2/1/2010
3.44 1 8/1/2018 8/1/2018
3.20 1 9/1/2003 9/1/2003
3.16 1 2/1/2011 2/1/2011
3.14 2 8/1/2009 9/1/2009
3.10 5 7/1/2004 11/1/2004
2.80 2 8/1/2011 9/1/2011
2.60 1 10/1/2010 10/1/2010
2.36 1 11/1/2009 11/1/2009
2.27 1 4/1/2011 4/1/2011
2.18 1 7/1/2017 7/1/2017
1.83 1 1/1/2007 1/1/2007
1.75 1 6/1/2001 6/1/2001
1.73 1 6/1/2011 6/1/2011
1.64 2 1/1/2003 2/1/2003
1.58 1 11/1/2002 11/1/2002
1.45 1 12/1/2001 12/1/2001
1.37 2 5/1/2018 6/1/2018
1.34 1 2/1/2012 2/1/2012
1.14 1 12/1/2011 12/1/2011
0.99 1 12/1/2010 12/1/2010
0.94 1 7/1/2012 7/1/2012
0.65 1 7/1/2013 7/1/2013
0.48 1 3/1/2002 3/1/2002
0.42 1 12/1/2005 12/1/2005
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.79 4 1/1/2014 4/1/2014
-14.12 6 3/1/2015 8/1/2015
-11.89 3 9/1/2018 11/1/2018
-10.65 2 8/1/2017 9/1/2017
-10.63 3 2/1/2018 4/1/2018
-9.13 3 5/1/2000 7/1/2000
-9.13 2 12/1/2009 1/1/2010
-8.95 2 3/1/1999 4/1/1999
-8.36 2 10/1/2011 11/1/2011
-7.87 3 8/1/2016 10/1/2016
-7.78 2 4/1/2020 5/1/2020
-6.88 1 1/1/2000 1/1/2000
-6.87 5 8/1/2012 12/1/2012
-6.31 2 2/1/2007 3/1/2007
-5.86 3 9/1/1999 11/1/1999
-5.86 2 3/1/2016 4/1/2016
-5.43 2 12/1/2004 1/1/2005
-4.96 2 1/1/2019 2/1/2019
-4.87 2 3/1/2009 4/1/2009
-4.66 1 1/1/2017 1/1/2017
-4.49 2 1/1/2002 2/1/2002
-4.13 2 9/1/2019 10/1/2019
-3.97 1 10/1/2009 10/1/2009
-3.91 2 9/1/1998 10/1/1998
-3.68 1 7/1/2018 7/1/2018
-3.48 2 10/1/2003 11/1/2003
-3.38 1 1/1/2001 1/1/2001
-3.37 1 4/1/2002 4/1/2002
-2.98 1 11/1/2005 11/1/2005
-2.95 1 3/1/2012 3/1/2012
-2.95 1 1/1/2011 1/1/2011
-2.91 1 12/1/2006 12/1/2006
-2.87 2 6/1/2009 7/1/2009
-2.85 1 5/1/2011 5/1/2011
-2.76 1 10/1/2014 10/1/2014
-2.73 1 6/1/2012 6/1/2012
-2.66 1 3/1/2011 3/1/2011
-2.53 1 2/1/2004 2/1/2004
-2.50 1 6/1/2013 6/1/2013
-2.48 1 7/1/2010 7/1/2010
-2.22 1 5/1/2001 5/1/2001
-2.18 2 8/1/2008 9/1/2008
-2.16 2 10/1/2015 11/1/2015
-2.14 1 6/1/2017 6/1/2017
-2.13 1 7/1/2005 7/1/2005
-2.06 2 8/1/2013 9/1/2013
-1.85 1 2/1/2013 2/1/2013
-1.49 1 6/1/2004 6/1/2004
-1.46 1 7/1/2001 7/1/2001
-1.46 1 1/1/1999 1/1/1999
-1.35 2 1/1/2006 2/1/2006
-1.34 1 4/1/2008 4/1/2008
-1.25 1 11/1/2010 11/1/2010
-0.97 1 7/1/2014 7/1/2014
-0.94 1 10/1/2002 10/1/2002
-0.93 1 9/1/2010 9/1/2010
-0.89 1 1/1/2012 1/1/2012
-0.85 1 12/1/2017 12/1/2017
-0.85 1 3/1/2010 3/1/2010
-0.85 1 12/1/2002 12/1/2002
-0.73 1 7/1/2011 7/1/2011
-0.60 1 5/1/2019 5/1/2019
-0.48 2 10/1/2001 11/1/2001
-0.45 1 12/1/2014 12/1/2014
-0.32 1 8/1/2003 8/1/2003
-0.29 1 7/1/1998 7/1/1998
-0.26 2 3/1/2003 4/1/2003
-0.14 1 6/1/2007 6/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods267.00265.00262.00256.00250.00244.00232.00220.00208.00
Percent Profitable58.4364.5369.4779.6983.6088.5290.9595.0097.60
Average Period Return0.682.023.947.6710.8214.1722.2429.9138.52
Average Gain2.875.147.7810.9813.7816.5524.7631.7439.56
Average Loss-2.41-3.66-4.79-5.31-4.26-4.20-3.12-4.87-3.68
Best Period16.3225.1130.5260.5471.3760.8888.75102.52119.63
Worst Period-10.33-14.55-14.12-19.57-14.21-8.61-13.50-12.63-6.18
Standard Deviation3.535.707.7310.4011.7013.1918.5321.5825.38
Gain Standard Deviation2.634.195.658.8110.3812.1017.4920.5424.80
Loss Standard Deviation2.013.113.624.033.442.063.134.432.20
Sharpe Ratio (1%)0.170.310.450.640.800.921.041.201.32
Average Gain / Average Loss1.191.401.622.073.233.957.926.5110.74
Profit / Loss Ratio1.692.553.698.1116.4730.4479.61123.73436.17
Downside Deviation (10%)2.223.454.515.135.386.067.659.1810.49
Downside Deviation (5%)2.052.973.533.372.712.232.122.251.54
Downside Deviation (0%)2.012.853.313.002.211.581.311.440.65
Sortino Ratio (10%)0.120.230.330.520.600.650.850.911.04
Sortino Ratio (5%)0.290.600.971.983.435.459.0811.5121.66
Sortino Ratio (0%)0.340.711.192.564.908.9916.9120.7559.53

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 5 3.65 11/2019
Systematic Trader Index Month 7 3.65 11/2019
IASG CTA Index Month 8 3.65 11/2019
IASG CTA Index Month 6 6.19 12/2018
Diversified Trader Index Month 6 10.79 1/2018
Systematic Trader Index Month 7 10.79 1/2018
IASG CTA Index Month 7 10.79 1/2018
Diversified Trader Index Month 8 9.32 10/2017
Systematic Trader Index Month 10 9.32 10/2017
Systematic Trader Index Month 5 4.70 5/2017
Diversified Trader Index Month 7 4.70 5/2017
IASG CTA Index Month 7 4.70 5/2017

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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