Liberty Funds Group, Inc : Liberty Wealth Protection Strategy (1X)

archived programs
Year-to-Date
N / A
Feb Performance
-0.03%
Min Investment
$ 1,500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
7.87%
Sharpe (RFR=1%)
0.10
CAROR
1.50%
Assets
$ 12.5M
Worst DD
-21.38
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
1/2009
Liberty Wealth Protection Strategy (1X) -0.03 8.25 - 12.41 -1.13 1.19 - 9.59
S&P 500 5.49 1.79 - 13.18 54.10 90.51 - 141.52
+/- S&P 500 -5.52 6.47 - -0.77 -55.23 -89.32 - -131.93

Strategy Description

Summary

Approximately (65%) of the Fund's exposure comes from commodity markets while one third (35%) of the Fund is looking at global interest rates and foreign currency markets. The Fund employs several dynamic investment models to capture returns from these markets. The Trend Following,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,500k
Trading Level Incremental Increase
$ 500k
CTA Max Funding Factor
3.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
3500 RT/YR/$M
Avg. Margin-to-Equity
18%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
12.80%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
3.00%
1-3 Months
17.00%
1-30 Days
70.00%
Intraday
10.00%

Decision-Making

Discretionary
5.00%
Systematic
95.00%

Strategy

Counter-trend
12.00%
Momentum
13.00%
Option-writing
20.00%
Pattern Recognition
20.00%
Trend-following
35.00%
Strategy Pie Chart

Composition

Currency Futures
15.00%
Interest Rates
15.00%
Softs
15.00%
Energy
12.00%
Grains
12.00%
Stock Indices
10.00%
Industrial Metals
8.00%
Precious Metals
8.00%
Livestock
5.00%
Composition Pie Chart

Summary

Approximately (65%) of the Fund's exposure comes from commodity markets while one third (35%) of the Fund is looking at global interest rates and foreign currency markets. The Fund employs several dynamic investment models to capture returns from these markets. The Trend Following, Short Term, and Option models do not correlate to each other. The Trend Following model has a slight bias toward a higher commodity prices, a weaker dollar, and higher interest rates. The overall strategy has demonstrated the ability to generate moderate returns when markets are relatively quiet and the ability to generate outsized returns during market dislocations and periods of inflationary activity. This will serve to protect the purchasing power of investor assets. For more detailed strategic, performance, and disclosure information, please visit our website at www.libertywpf.com.

Risk Management

Risk is managed by position, by sector, and by strategy. Normaized for current volatility. Ajusted for changing market correlation.

   

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
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
-21.38 40 - 12/1/2010 4/1/2014
-3.88 7 3 11/1/2009 6/1/2010
-3.12 2 3 1/1/0001 2/1/2009
-1.09 1 1 5/1/2009 6/1/2009
-0.62 2 1 9/1/2010 11/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
13.89 3 11/1/2014 1/1/2015
11.47 5 7/1/2009 11/1/2009
7.54 3 7/1/2010 9/1/2010
5.63 1 12/1/2010 12/1/2010
4.83 1 2/1/2012 2/1/2012
4.68 2 4/1/2012 5/1/2012
3.57 3 3/1/2009 5/1/2009
3.36 1 12/1/2013 12/1/2013
3.20 2 5/1/2014 6/1/2014
2.61 1 7/1/2012 7/1/2012
2.55 1 8/1/2014 8/1/2014
2.34 1 7/1/2011 7/1/2011
1.62 1 2/1/2014 2/1/2014
1.53 2 4/1/2011 5/1/2011
1.41 2 3/1/2010 4/1/2010
1.33 2 11/1/2012 12/1/2012
1.23 1 5/1/2013 5/1/2013
0.67 1 2/1/2011 2/1/2011
0.24 1 3/1/2013 3/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.33 6 8/1/2011 1/1/2012
-8.29 6 6/1/2013 11/1/2013
-5.52 1 1/1/2014 1/1/2014
-3.19 2 3/1/2014 4/1/2014
-3.18 2 5/1/2010 6/1/2010
-3.14 1 3/1/2012 3/1/2012
-3.12 2 1/1/2009 2/1/2009
-3.06 1 3/1/2011 3/1/2011
-3.01 3 8/1/2012 10/1/2012
-2.93 1 6/1/2012 6/1/2012
-2.82 1 4/1/2013 4/1/2013
-2.39 2 9/1/2014 10/1/2014
-2.11 3 12/1/2009 2/1/2010
-1.69 1 1/1/2011 1/1/2011
-1.48 1 6/1/2011 6/1/2011
-1.29 1 7/1/2014 7/1/2014
-1.26 2 1/1/2013 2/1/2013
-1.09 1 6/1/2009 6/1/2009
-0.62 2 10/1/2010 11/1/2010
-0.03 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 Periods74.0072.0069.0063.0057.0051.0039.0027.00
Percent Profitable45.9548.6149.2844.4440.3533.3338.4629.63
Average Period Return0.150.460.54-0.02-0.94-1.57-3.73-4.43
Average Gain2.133.565.177.738.7111.267.068.32
Average Loss-1.53-2.47-3.96-6.21-7.46-7.98-10.47-9.80
Best Period5.6313.8914.0114.2720.9622.6414.4112.13
Worst Period-5.52-6.38-10.33-12.77-14.30-14.82-18.98-15.70
Standard Deviation2.273.895.637.759.2810.7610.569.20
Gain Standard Deviation1.583.023.943.375.897.794.633.77
Loss Standard Deviation1.101.762.463.423.784.356.933.75
Sharpe Ratio (1%)0.030.060.01-0.13-0.26-0.33-0.64-0.92
Average Gain / Average Loss1.391.441.311.241.171.410.670.85
Profit / Loss Ratio1.181.371.270.990.790.700.420.36
Downside Deviation (10%)1.642.934.938.7612.1415.5422.1027.50
Downside Deviation (5%)1.432.313.615.947.508.8811.8712.03
Downside Deviation (0%)1.382.163.315.276.447.409.788.77
Sortino Ratio (10%)-0.16-0.26-0.39-0.57-0.70-0.76-0.88-0.94
Sortino Ratio (5%)0.050.090.01-0.17-0.33-0.40-0.57-0.71
Sortino Ratio (0%)0.110.220.160.00-0.15-0.21-0.38-0.51

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 8 3.82 10/2009

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