Liberty Funds Group, Inc : Liberty Wealth Protection Fund

archived programs
Year-to-Date
N / A
Feb Performance
-0.05%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
17.74%
Sharpe (RFR=1%)
0.03
CAROR
-0.02%
Assets
$ 12.5M
Worst DD
-43.19
S&P Correlation
0.28

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
10/2009
Liberty Wealth Protection Fund -0.05 16.21 - 24.65 -6.53 -1.92 - -0.09
S&P 500 5.49 1.79 - 13.18 54.10 90.51 - 92.50
+/- S&P 500 -5.54 14.42 - 11.47 -60.63 -92.43 - -92.59

Strategy Description

Summary

he Liberty Wealth Protection strategy has been trading pursuant to a commodity pool, Liberty Wealth Protection Fund, since October 1, 2009. As of August, 31, 2011, we are offering the strategy as a separate managed strategy designed to protect the purchasing power of the U.S. Dollar.... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$8.00
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
1

Trading

Trading Frequency
2000 RT/YR/$M
Avg. Margin-to-Equity
16%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
50.00%
4-12 Months
30.00%
1-3 Months
20.00%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Counter-trend
25.00%
Option-writing
25.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Summary

he Liberty Wealth Protection strategy has been trading pursuant to a commodity pool, Liberty Wealth Protection Fund, since October 1, 2009. As of August, 31, 2011, we are offering the strategy as a separate managed strategy designed to protect the purchasing power of the U.S. Dollar. The Wealth Protection strategy represents the best ideas and cumulative experience of the Liberty team. The strategy, like other managed futures vehicles, does not correlate to the performance of stock and bond markets. At the heart of the strategy are proprietary computerized multi-time scale mathematical models which trade on timeframes from a few hours to a year. These models trade a basket of futures and options markets and generate alpha from multiple, non-correlated sources – trends, short-term mean reversion and expansion, and option time decay.

Under the trend following model, adaptive technical filters identify potential investment opportunities in each market and determine portfolio risk daily. Position weights are adjusted to maintain the portfolio target volatility level. The investment strategy captures the positive returns available from upward trending prices of individual commodity markets. The trend oriented approach will also take short positions in commodities on a filtered basis. The strategy adapts over time to reflect the changing price dynamics of each market.

Short term changes in volatility are monitored for trading opportunities. These opportunities may necessitate long or short positions to be taken in an individual commodity market. The resulting trades have an expected duration of one to five days and exhibit low correlation to both the directional and term structure trades.

Finally, LFG will employ an actively managed strategy that captures returns for a diversified portfolio of commodity and financial futures and options on those futures based on a quantitative investment approach. The program focuses investment activity on 30 or so markets that pass a liquidity screen. The key sectors that the program currently may trade include energy, base metals, precious metals, raw materials, grains, currencies, interest rates, and stock indices. The approach is designed to take advantage of false market momentum associated with failed trend following signals and to capture premium income from the decay of time value in the price of options.

   

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
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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
Compound RoR:
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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
-43.19 40 - 12/1/2010 4/1/2014
-12.19 7 3 11/1/2009 6/1/2010
-2.07 1 1 10/1/2010 11/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
28.30 3 11/1/2014 1/1/2015
24.21 4 7/1/2010 10/1/2010
13.81 1 12/1/2010 12/1/2010
9.92 1 2/1/2012 2/1/2012
8.70 2 10/1/2009 11/1/2009
8.70 2 4/1/2012 5/1/2012
6.71 1 12/1/2013 12/1/2013
6.43 2 5/1/2014 6/1/2014
5.26 1 7/1/2012 7/1/2012
5.10 1 8/1/2014 8/1/2014
4.56 1 7/1/2011 7/1/2011
3.25 1 2/1/2014 2/1/2014
3.23 2 3/1/2010 4/1/2010
2.64 2 11/1/2012 12/1/2012
2.47 1 5/1/2013 5/1/2013
2.28 1 4/1/2011 4/1/2011
1.35 1 2/1/2011 2/1/2011
0.48 1 3/1/2013 3/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-22.34 6 8/1/2011 1/1/2012
-16.99 6 6/1/2013 11/1/2013
-11.25 1 1/1/2014 1/1/2014
-9.24 2 5/1/2010 6/1/2010
-6.36 1 3/1/2012 3/1/2012
-6.34 2 3/1/2014 4/1/2014
-6.29 3 12/1/2009 2/1/2010
-6.03 1 3/1/2011 3/1/2011
-5.86 3 8/1/2012 10/1/2012
-5.74 1 6/1/2012 6/1/2012
-5.67 1 4/1/2013 4/1/2013
-4.77 2 9/1/2014 10/1/2014
-3.71 1 1/1/2011 1/1/2011
-3.37 2 5/1/2011 6/1/2011
-2.57 1 7/1/2014 7/1/2014
-2.53 2 1/1/2013 2/1/2013
-2.07 1 11/1/2010 11/1/2010
-0.05 1 2/1/2015 2/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods65.0063.0060.0054.0048.0042.0030.0018.00
Percent Profitable43.0841.2741.6735.1927.0816.6713.330.00
Average Period Return0.120.05-0.79-3.03-8.45-13.27-17.87-23.32
Average Gain4.768.0010.8117.1912.597.772.85
Average Loss-3.38-5.54-9.07-14.00-16.27-17.48-21.05-23.32
Best Period15.8028.3038.4428.7722.8713.175.67-13.75
Worst Period-11.25-15.06-22.34-25.52-28.08-29.06-39.43-34.28
Standard Deviation5.128.8312.7116.8614.7812.4315.985.48
Gain Standard Deviation3.887.6910.899.306.823.912.08
Loss Standard Deviation2.443.915.236.697.318.6214.715.48
Sharpe Ratio (1%)0.01-0.02-0.10-0.24-0.67-1.23-1.31-5.00
Average Gain / Average Loss1.411.451.191.230.770.440.14
Profit / Loss Ratio1.061.020.850.670.290.090.02
Downside Deviation (10%)3.395.979.6616.2021.3126.5337.1245.18
Downside Deviation (5%)3.185.338.3013.1916.3819.4126.1427.89
Downside Deviation (0%)3.135.177.9712.4615.1917.7423.7623.92
Sortino Ratio (10%)-0.08-0.20-0.34-0.50-0.75-0.89-0.91-0.99
Sortino Ratio (5%)0.01-0.04-0.15-0.31-0.61-0.79-0.80-0.98
Sortino Ratio (0%)0.040.01-0.10-0.24-0.56-0.75-0.75-0.97

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 5 6.71 12/2013
Diversified Trader Index Month 9 6.71 12/2013
Systematic Trader Index Month 10 6.71 12/2013
Trend Following Strategy Index Month 6 9.92 2/2012
Systematic Trader Index Month 6 9.92 2/2012
IASG CTA Index Month 7 9.92 2/2012
Diversified Trader Index Month 7 9.92 2/2012
IASG CTA Index Month 9 15.80 9/2010
Trend Following Strategy Index Month 4 15.80 9/2010
Systematic Trader Index Month 4 15.80 9/2010
Diversified Trader Index Month 6 15.80 9/2010

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