Liberty Funds Group, Inc : Liberty Wealth Protection Fund Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since10/2009 Liberty Wealth Protection Fund -0.05 - - - - - -21.47 -0.09 S&P 500 5.49 - - - - - 74.82 254.75 +/- S&P 500 -5.54 - - - - - -96.29 -254.84 Strategy Description Summaryhe 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% Composition Summaryhe 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. 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel