Kaiser Trading Group : Kaiser Global Diversified Program - Class A

Year-to-Date: 18.40%
Aug Performance: 8.01%

Min Investment: $ 10,000k
Mgmt. Fee: 0%
Perf. Fee: 30.00%

Annualized Vol: 12.31%
Sharpe (RFR=1%): 0.61
CAROR: 8.00%

Assets: $ 326.0M
Worst DD: -20.47
S&P Correlation: -0.13

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Growth of 1,000 - VAMI

Monthly Performance

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	Aug	Qtr	YTD	1yr	3yr	5yr	10yr	Since 3/1998
Kaiser Global Diversified Program - Class A	8.01	17.08	18.40	10.90	11.47	22.99	34.33	422.92
S&P 500	-1.81	6.34	16.73	0.85	33.43	44.59	183.77	162.87
+/- S&P 500	9.82	10.74	1.67	10.05	-21.96	-21.60	-149.44	260.05

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%

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.

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Index: Chart Type:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Compare to:

Index:

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Reward
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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
-14.83	4	7	12/1/2013	4/1/2014
-14.19	6	6	2/1/2015	8/1/2015
-11.76	11	5	2/1/2009	1/1/2010
-11.69	19	4	2/1/2016	9/1/2017
-9.73	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
-8.69	7	5	5/1/2012	12/1/2012
-8.41	4	4	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
-3.94	4	3	5/1/2013	9/1/2013
-3.91	2	2	8/1/1998	10/1/1998
-3.89	4	3	10/1/2005	2/1/2006
-3.55	7	4	10/1/2010	5/1/2011
-3.48	2	2	9/1/2003	11/1/2003
-3.38	1	1	12/1/2000	1/1/2001
-2.53	1	2	1/1/2004	2/1/2004
-2.49	1	1	6/1/2010	7/1/2010
-2.44	2	2	7/1/2008	9/1/2008
-2.22	1	3	4/1/2001	5/1/2001
-2.13	1	1	6/1/2005	7/1/2005
-1.49	1	3	5/1/2004	6/1/2004
-1.47	1	1	3/1/2008	4/1/2008
-1.46	1	1	12/1/1998	1/1/1999
-0.94	1	1	9/1/2002	10/1/2002
-0.94	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
-0.46	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

Consecutive Gains

Run-up	Length (Mos.)	Start	End
25.05	4	3/1/1998	6/1/1998
21.43	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
16.32	1	2/1/1999	2/1/1999
16.12	9	3/1/2006	11/1/2006
15.82	3	12/1/2015	2/1/2016
14.23	2	8/1/2014	9/1/2014
13.52	5	8/1/2000	12/1/2000
13.31	2	4/1/2012	5/1/2012
12.12	5	2/1/2005	6/1/2005
11.94	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
9.89	2	10/1/2017	11/1/2017
9.51	5	10/1/2008	2/1/2009
8.42	2	4/1/2007	5/1/2007
7.23	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
6.21	2	1/1/2015	2/1/2015
5.80	2	8/1/2001	9/1/2001
5.64	3	3/1/2004	5/1/2004
4.99	1	1/1/2013	1/1/2013
4.92	3	5/1/2008	7/1/2008
4.82	1	11/1/2014	11/1/2014
4.73	3	10/1/2013	12/1/2013
4.70	1	5/1/2017	5/1/2017
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
3.82	2	2/1/2017	3/1/2017
3.81	1	5/1/2009	5/1/2009
3.76	1	9/1/2015	9/1/2015
3.65	1	8/1/2010	8/1/2010
3.65	2	12/1/2003	1/1/2004
3.63	2	5/1/2014	6/1/2014
3.45	1	2/1/2010	2/1/2010
3.44	1	8/1/2018	8/1/2018
3.39	3	5/1/2016	7/1/2016
3.20	1	9/1/2003	9/1/2003
3.15	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
2.81	2	8/1/2011	9/1/2011
2.58	1	10/1/2010	10/1/2010
2.41	1	7/1/2017	7/1/2017
2.34	1	11/1/2009	11/1/2009
2.25	1	4/1/2011	4/1/2011
1.75	1	6/1/2001	6/1/2001
1.72	1	6/1/2011	6/1/2011
1.64	2	1/1/2003	2/1/2003
1.62	1	1/1/2007	1/1/2007
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
1.32	1	2/1/2012	2/1/2012
1.12	1	12/1/2011	12/1/2011
0.98	1	12/1/2010	12/1/2010
0.97	1	7/1/2012	7/1/2012
0.64	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

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-14.83	4	1/1/2014	4/1/2014
-14.19	6	3/1/2015	8/1/2015
-11.89	3	9/1/2018	11/1/2018
-11.04	2	8/1/2017	9/1/2017
-10.63	3	2/1/2018	4/1/2018
-9.15	2	12/1/2009	1/1/2010
-9.13	3	5/1/2000	7/1/2000
-8.95	2	3/1/1999	4/1/1999
-8.38	2	10/1/2011	11/1/2011
-7.94	3	8/1/2016	10/1/2016
-6.98	5	8/1/2012	12/1/2012
-6.96	2	2/1/2007	3/1/2007
-6.88	1	1/1/2000	1/1/2000
-5.98	2	3/1/2016	4/1/2016
-5.86	3	9/1/1999	11/1/1999
-5.43	2	12/1/2004	1/1/2005
-4.96	2	1/1/2019	2/1/2019
-4.90	2	3/1/2009	4/1/2009
-4.70	1	1/1/2017	1/1/2017
-4.49	2	1/1/2002	2/1/2002
-3.98	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
-3.12	1	12/1/2006	12/1/2006
-2.98	1	11/1/2005	11/1/2005
-2.97	1	1/1/2011	1/1/2011
-2.96	1	3/1/2012	3/1/2012
-2.92	2	6/1/2009	7/1/2009
-2.87	1	5/1/2011	5/1/2011
-2.78	1	10/1/2014	10/1/2014
-2.78	1	6/1/2012	6/1/2012
-2.68	1	3/1/2011	3/1/2011
-2.53	1	2/1/2004	2/1/2004
-2.51	1	6/1/2013	6/1/2013
-2.49	1	7/1/2010	7/1/2010
-2.45	1	6/1/2017	6/1/2017
-2.44	2	8/1/2008	9/1/2008
-2.22	1	5/1/2001	5/1/2001
-2.20	2	10/1/2015	11/1/2015
-2.13	1	7/1/2005	7/1/2005
-2.10	2	8/1/2013	9/1/2013
-1.87	1	2/1/2013	2/1/2013
-1.49	1	6/1/2004	6/1/2004
-1.47	1	4/1/2008	4/1/2008
-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
-1.26	1	11/1/2010	11/1/2010
-0.99	1	7/1/2014	7/1/2014
-0.94	1	9/1/2010	9/1/2010
-0.94	1	10/1/2002	10/1/2002
-0.91	1	1/1/2012	1/1/2012
-0.87	1	12/1/2017	12/1/2017
-0.87	1	3/1/2010	3/1/2010
-0.85	1	12/1/2002	12/1/2002
-0.74	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
-0.46	1	12/1/2014	12/1/2014
-0.36	1	6/1/2007	6/1/2007
-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
-0.04	1	4/1/2017	4/1/2017

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	258.00	256.00	253.00	247.00	241.00	235.00	223.00	211.00	199.00
Percent Profitable	58.14	64.06	67.98	78.95	82.57	86.38	88.34	94.31	96.98
Average Period Return	0.71	1.96	3.67	6.94	10.18	13.60	21.34	28.67	37.22
Average Gain	2.92	5.14	7.64	10.25	13.27	16.40	24.58	30.73	38.51
Average Loss	-2.40	-3.72	-4.77	-5.48	-4.45	-4.14	-3.16	-5.42	-4.31
Best Period	16.32	25.11	30.52	60.54	71.37	60.88	88.75	102.52	119.63
Worst Period	-10.34	-14.58	-14.19	-19.57	-14.82	-9.20	-14.48	-13.76	-7.53
Standard Deviation	3.55	5.76	7.71	10.15	11.52	12.84	18.08	20.84	24.24
Gain Standard Deviation	2.65	4.24	5.65	8.60	10.17	11.51	16.70	19.61	23.46
Loss Standard Deviation	2.01	3.12	3.64	3.98	3.52	2.42	3.17	4.68	2.66
Sharpe Ratio (1%)	0.18	0.30	0.41	0.59	0.75	0.90	1.01	1.18	1.32
Average Gain / Average Loss	1.22	1.38	1.60	1.87	2.98	3.96	7.77	5.67	8.93
Profit / Loss Ratio	1.71	2.47	3.40	7.01	14.13	25.11	58.90	93.96	287.18
Downside Deviation (10%)	2.22	3.50	4.61	5.31	5.65	6.39	8.12	9.75	10.80
Downside Deviation (5%)	2.05	3.02	3.61	3.48	2.88	2.46	2.39	2.54	1.83
Downside Deviation (0%)	2.01	2.90	3.39	3.10	2.36	1.76	1.51	1.68	0.86
Sortino Ratio (10%)	0.13	0.21	0.26	0.36	0.46	0.52	0.69	0.73	0.89
Sortino Ratio (5%)	0.30	0.57	0.88	1.70	3.01	4.72	7.67	9.68	17.54
Sortino Ratio (0%)	0.35	0.67	1.08	2.24	4.32	7.71	14.09	17.10	43.31

Top Performer Badges

Index	Award Type	Rank	Performance	Period
IASG CTA Index	Month	6	6.19	12/2018
Diversified Trader Index	Month	6	10.79	1/2018
IASG CTA Index	Month	7	10.79	1/2018
Systematic Trader 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.

^#6

Top Performer

IASG CTA INDEX

DECEMBER
2018

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More Programs by Kaiser Trading Group

Program Name	CAROR
Kaiser Global Diversified Program - Class A	8.00%
Kaiser Global Diversified Program - Class B	7.11%
Kaiser Trading Fund 2X SPC - Share Class A	4.52%
Kaiser Trading Fund 2X SPC - Share Class B	3.06%

IASG Activity

Blends 6
Portfolios 4
Watchlists 9

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Kaiser Trading Group : Kaiser Global Diversified Program - Class A

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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