Kaiser Trading Group : Kaiser Global Diversified Program - Class B Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 16.02% Dec Performance 4.60% Min Investment $ 1,000k Mgmt. Fee 3.00% Perf. Fee 20.00% Annualized Vol 13.49% Sharpe (RFR=1%) 0.41 CAROR 5.78% Assets $ 227.0M Worst DD -24.74 S&P Correlation -0.16 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Dec Qtr 2020 1yr 3yr 5yr 10yr Since3/1998 Kaiser Global Diversified Program - Class B 4.60 -3.79 -16.02 -16.02 -9.41 -5.38 -13.67 261.01 S&P 500 3.71 11.69 16.26 16.26 40.48 81.90 195.57 237.40 +/- S&P 500 0.89 -15.48 -32.28 -32.28 -49.88 -87.28 -209.24 23.61 Strategy Description SummaryThe Kaiser Global Diversified Program was founded in 1998. The investment approach is short-term, 100% systematic, multi-strategy and multi-asset approach utilizing advanced computer modelling. ... Read More Account & Fees Type Managed Account Minimum Investment $ 1,000k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 3.00% Performance Fee 20.00% 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 5% Targeted Worst DD Worst Peak-to-Trough 16.42% Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 0% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Technical 100.00% Composition SummaryThe Kaiser Global Diversified Program was founded in 1998. The investment approach is short-term, 100% systematic, multi-strategy and multi-asset approach utilizing advanced computer modelling. Investment StrategyThe 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 ManagementEach concept is then 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 -24.74 10 - 1/1/2018 11/1/2018 -17.74 31 4 2/1/2015 9/1/2017 -16.42 11 9 5/1/2013 4/1/2014 -13.66 11 40 2/1/2009 1/1/2010 -10.01 3 5 4/1/2000 7/1/2000 -9.87 2 3 2/1/1999 4/1/1999 -9.54 5 3 8/1/1999 1/1/2000 -8.03 4 2 11/1/2006 3/1/2007 -7.84 4 5 12/1/2001 4/1/2002 -5.94 2 3 11/1/2004 1/1/2005 -4.68 4 3 10/1/2005 2/1/2006 -4.31 2 2 8/1/1998 10/1/1998 -3.78 2 5 9/1/2003 11/1/2003 -3.53 1 1 12/1/2000 1/1/2001 -2.62 1 3 4/1/2001 5/1/2001 -2.58 2 2 7/1/2008 9/1/2008 -2.28 1 1 6/1/2005 7/1/2005 -1.81 1 4 5/1/2004 6/1/2004 -1.61 1 1 12/1/1998 1/1/1999 -1.54 1 1 3/1/2008 4/1/2008 -1.15 1 2 11/1/2002 12/1/2002 -1.09 1 1 9/1/2002 10/1/2002 -0.78 2 1 9/1/2001 11/1/2001 -0.57 2 1 2/1/2003 4/1/2003 -0.54 1 1 9/1/2006 10/1/2006 -0.49 1 1 7/1/2003 8/1/2003 -0.44 1 1 6/1/1998 7/1/1998 -0.23 1 1 5/1/2007 6/1/2007 Show More Consecutive Gains Run-up Length (Mos.) Start End 28.18 4 3/1/1998 6/1/1998 23.91 9 7/1/2007 3/1/2008 20.45 3 6/1/2019 8/1/2019 19.15 3 2/1/2001 4/1/2001 18.68 4 5/1/1999 8/1/1999 18.32 1 2/1/1999 2/1/1999 15.44 3 12/1/2015 2/1/2016 13.99 5 8/1/2000 12/1/2000 13.89 3 3/1/2013 5/1/2013 13.82 1 1/1/2018 1/1/2018 13.77 2 4/1/2012 5/1/2012 13.65 2 8/1/2014 9/1/2014 12.68 2 11/1/1998 12/1/1998 12.64 5 2/1/2005 6/1/2005 10.88 3 4/1/2010 6/1/2010 10.80 7 3/1/2006 9/1/2006 10.60 3 2/1/2000 4/1/2000 9.92 5 5/1/2002 9/1/2002 9.55 5 10/1/2008 2/1/2009 9.53 2 10/1/2017 11/1/2017 8.78 2 4/1/2007 5/1/2007 7.48 5 11/1/2019 3/1/2020 7.08 3 8/1/2005 10/1/2005 6.93 2 1/1/2015 2/1/2015 6.50 2 11/1/2016 12/1/2016 6.48 2 3/1/2019 4/1/2019 6.17 2 8/1/2001 9/1/2001 6.09 1 12/1/2018 12/1/2018 5.84 3 3/1/2004 5/1/2004 5.31 1 11/1/2006 11/1/2006 5.30 1 11/1/2014 11/1/2014 5.21 1 8/1/1998 8/1/1998 5.00 3 5/1/2008 7/1/2008 4.93 1 5/1/2017 5/1/2017 4.89 3 10/1/2013 12/1/2013 4.82 3 5/1/2003 7/1/2003 4.70 1 1/1/2013 1/1/2013 4.60 1 12/1/2020 12/1/2020 4.22 1 12/1/1999 12/1/1999 3.89 1 5/1/2009 5/1/2009 3.58 1 8/1/2010 8/1/2010 3.52 1 9/1/2003 9/1/2003 3.47 1 9/1/2015 9/1/2015 3.34 2 12/1/2003 1/1/2004 3.33 2 2/1/2017 3/1/2017 3.29 1 8/1/2018 8/1/2018 3.26 1 2/1/2010 2/1/2010 3.15 2 8/1/2009 9/1/2009 3.12 2 5/1/2014 6/1/2014 2.94 1 2/1/2011 2/1/2011 2.88 5 7/1/2004 11/1/2004 2.79 1 10/1/2010 10/1/2010 2.79 2 6/1/2016 7/1/2016 2.60 1 7/1/2017 7/1/2017 2.56 2 8/1/2011 9/1/2011 2.21 1 10/1/2020 10/1/2020 2.05 1 11/1/2009 11/1/2009 1.92 1 4/1/2011 4/1/2011 1.85 1 6/1/2001 6/1/2001 1.79 1 1/1/2007 1/1/2007 1.68 2 1/1/2003 2/1/2003 1.57 1 11/1/2002 11/1/2002 1.53 1 12/1/2001 12/1/2001 1.43 1 6/1/2011 6/1/2011 0.99 1 5/1/2018 5/1/2018 0.98 1 2/1/2012 2/1/2012 0.87 1 12/1/2010 12/1/2010 0.85 1 12/1/2011 12/1/2011 0.69 1 7/1/2020 7/1/2020 0.65 1 7/1/2013 7/1/2013 0.59 1 7/1/2012 7/1/2012 0.32 1 3/1/2002 3/1/2002 0.26 1 12/1/2005 12/1/2005 Show More Consecutive Losses Run-up Length (Mos.) Start End -15.73 4 1/1/2014 4/1/2014 -15.53 6 3/1/2015 8/1/2015 -14.06 3 2/1/2018 4/1/2018 -12.53 3 9/1/2018 11/1/2018 -11.68 3 4/1/2020 6/1/2020 -11.55 2 8/1/2017 9/1/2017 -10.01 3 5/1/2000 7/1/2000 -10.01 1 11/1/2020 11/1/2020 -9.87 2 3/1/1999 4/1/1999 -9.63 2 12/1/2009 1/1/2010 -9.15 3 8/1/2016 10/1/2016 -8.85 2 10/1/2011 11/1/2011 -8.39 5 8/1/2012 12/1/2012 -7.08 3 3/1/2016 5/1/2016 -7.02 1 1/1/2000 1/1/2000 -6.73 2 2/1/2007 3/1/2007 -6.64 3 9/1/1999 11/1/1999 -6.06 2 9/1/2019 10/1/2019 -5.94 2 12/1/2004 1/1/2005 -5.46 2 3/1/2009 4/1/2009 -5.34 2 1/1/2019 2/1/2019 -4.78 2 1/1/2002 2/1/2002 -4.74 1 1/1/2017 1/1/2017 -4.31 2 9/1/1998 10/1/1998 -4.14 1 10/1/2009 10/1/2009 -4.11 2 8/1/2020 9/1/2020 -4.02 2 6/1/2018 7/1/2018 -3.98 1 6/1/2012 6/1/2012 -3.78 2 10/1/2003 11/1/2003 -3.59 2 6/1/2009 7/1/2009 -3.53 1 1/1/2001 1/1/2001 -3.52 1 4/1/2002 4/1/2002 -3.32 1 11/1/2005 11/1/2005 -3.28 1 3/1/2012 3/1/2012 -3.21 1 6/1/2013 6/1/2013 -3.21 1 1/1/2011 1/1/2011 -3.13 1 12/1/2006 12/1/2006 -3.09 1 5/1/2011 5/1/2011 -3.02 1 10/1/2014 10/1/2014 -2.98 2 10/1/2015 11/1/2015 -2.94 2 8/1/2013 9/1/2013 -2.93 1 3/1/2011 3/1/2011 -2.89 1 6/1/2017 6/1/2017 -2.70 1 7/1/2010 7/1/2010 -2.70 1 2/1/2004 2/1/2004 -2.62 1 5/1/2001 5/1/2001 -2.58 2 8/1/2008 9/1/2008 -2.32 1 2/1/2013 2/1/2013 -2.28 1 7/1/2005 7/1/2005 -1.81 1 6/1/2004 6/1/2004 -1.67 2 1/1/2006 2/1/2006 -1.61 1 7/1/2001 7/1/2001 -1.61 1 1/1/1999 1/1/1999 -1.60 1 11/1/2010 11/1/2010 -1.54 1 4/1/2008 4/1/2008 -1.35 1 9/1/2010 9/1/2010 -1.30 1 7/1/2014 7/1/2014 -1.19 1 1/1/2012 1/1/2012 -1.17 1 3/1/2010 3/1/2010 -1.15 1 12/1/2002 12/1/2002 -1.14 1 12/1/2017 12/1/2017 -1.09 1 10/1/2002 10/1/2002 -1.04 1 7/1/2011 7/1/2011 -0.93 1 12/1/2014 12/1/2014 -0.88 1 5/1/2019 5/1/2019 -0.78 2 10/1/2001 11/1/2001 -0.57 2 3/1/2003 4/1/2003 -0.54 1 10/1/2006 10/1/2006 -0.49 1 8/1/2003 8/1/2003 -0.44 1 7/1/1998 7/1/1998 -0.23 1 6/1/2007 6/1/2007 -0.09 1 4/1/2017 4/1/2017 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods274.00272.00269.00263.00257.00251.00239.00227.00215.00 Percent Profitable56.5760.2963.9468.4473.5471.3175.3177.9780.00 Average Period Return0.541.532.986.008.6210.9516.8922.3228.67 Average Gain3.035.348.0111.5713.8217.6024.7230.6237.39 Average Loss-2.69-4.25-5.96-6.07-5.84-5.60-6.99-7.09-6.20 Best Period18.3228.4134.2768.5480.2967.5296.79111.36127.06 Worst Period-10.59-15.26-16.70-24.14-18.26-13.45-21.73-23.38-19.04 Standard Deviation3.906.308.7011.9513.3315.1121.6425.3929.82 Gain Standard Deviation2.974.696.189.9511.5212.6319.1622.4426.91 Loss Standard Deviation2.203.344.135.004.273.804.275.745.11 Sharpe Ratio (1%)0.120.200.280.420.530.590.640.720.79 Average Gain / Average Loss1.121.261.341.912.373.153.544.326.03 Profit / Loss Ratio1.461.912.384.146.577.8210.7915.3024.13 Downside Deviation (10%)2.504.045.666.917.559.1712.7616.1419.17 Downside Deviation (5%)2.333.524.604.854.374.565.445.935.65 Downside Deviation (0%)2.293.404.354.403.713.614.064.263.58 Sortino Ratio (10%)0.050.080.090.150.140.080.090.050.05 Sortino Ratio (5%)0.200.360.541.031.631.962.553.084.17 Sortino Ratio (0%)0.240.450.681.362.323.034.165.248.02 Top Performer Badges Index Award Type Rank Performance Period Systematic Trader Index Month 10 5.23 5/2013 Systematic Trader Index Month 3 4.10 4/2005 Diversified Trader Index Month 3 4.10 4/2005 IASG CTA Index Month 4 4.10 4/2005 IASG CTA Index Month 3 5.26 4/2004 Systematic Trader Index Month 1 5.26 4/2004 Diversified Trader Index Month 1 5.26 4/2004 Diversified Trader Index Month 9 -0.32 3/2003 Diversified Trader Index Month 9 1.57 11/2002 IASG CTA Index Sharpe 10 1.22 2001 Diversified Trader Index Month 6 -0.58 11/2001 Diversified Trader Index Month 6 1.74 4/2001 IASG CTA Index Month 10 1.74 4/2001 Systematic Trader Index Month 7 1.74 4/2001 IASG CTA Index Month 3 6.03 2/2001 Systematic Trader Index Month 2 6.03 2/2001 Diversified Trader Index Month 2 6.03 2/2001 Systematic Trader Index Month 5 3.18 9/2000 Diversified Trader Index Month 4 3.18 9/2000 IASG CTA Index Month 9 3.18 9/2000 IASG CTA Index Month 9 4.10 4/2000 Systematic Trader Index Month 9 4.10 4/2000 Diversified Trader Index Month 8 4.10 4/2000 Systematic Trader Index Month 6 3.44 3/2000 Diversified Trader Index Month 3 3.44 3/2000 IASG CTA Index Month 6 3.44 3/2000 IASG CTA Index Sharpe 8 1.54 1999 Diversified Trader Index Month 7 -2.09 10/1999 Systematic Trader Index Month 10 -2.09 10/1999 IASG CTA Index Month 2 9.20 7/1999 Diversified Trader Index Month 2 9.20 7/1999 Systematic Trader Index Month 2 9.20 7/1999 Systematic Trader Index Month 4 4.24 5/1999 Diversified Trader Index Month 4 4.24 5/1999 IASG CTA Index Month 5 4.24 5/1999 Systematic Trader Index Month 1 18.32 2/1999 Diversified Trader Index Month 1 18.32 2/1999 IASG CTA Index Month 1 18.32 2/1999 Systematic Trader Index Month 3 10.29 12/1998 Diversified Trader Index Month 5 10.29 12/1998 IASG CTA Index Month 6 10.29 12/1998 IASG CTA Index Sharpe 4 2.61 1998 Diversified Trader Index Month 4 3.96 6/1998 IASG CTA Index Month 7 3.96 6/1998 Systematic Trader Index Month 3 3.96 6/1998 IASG CTA Index Month 1 12.94 4/1998 Systematic Trader Index Month 1 12.94 4/1998 Diversified Trader Index Month 1 12.94 4/1998 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel