London Systematic Advisors : Futures Statistical Arbitrage

archived programs
Year-to-Date
N / A
Jun Performance
1.93%
Min Investment
$ 2,500k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
7.04%
Sharpe (RFR=1%)
-0.81
CAROR
-4.83%
Assets
$ 7.8M
Worst DD
-20.85
S&P Correlation
0.04

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
4/2011
Futures Statistical Arbitrage 1.93 3.67 - -0.42 -12.03 - - -14.86
S&P 500 1.91 4.69 - 22.04 48.40 - - 43.72
+/- S&P 500 0.02 -1.02 - -22.45 -60.43 - - -58.58

Strategy Description

Summary

The Futures Statistical-Arbitrage Strategy has an investment objective to achieve positive absolute returns, with low correlation to any major bond, equity, currency, or broad market hedge fund index and other CTAs over intermediate term holding periods. To achieve this, the Strategy... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 2,500k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
4.00
Management Fee
1.00%
Performance Fee
25.00%
Average Commission
$4.50
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1800 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
-12.00%
Worst Peak-to-Trough
10.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
15.00%
1-30 Days
85.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Arbitrage
25.00%
Counter-trend
25.00%
Momentum
25.00%
Technical
25.00%
Strategy Pie Chart

Composition

Currency Futures
25.00%
Interest Rates
25.00%
Stock Indices
25.00%
Precious Metals
6.00%
Energy
6.00%
Grains
6.00%
Livestock
4.00%
Softs
3.00%
Composition Pie Chart

Summary

The Futures Statistical-Arbitrage Strategy has an investment objective to achieve positive absolute returns, with low correlation to any major bond, equity, currency, or broad market hedge fund index and other CTAs over intermediate term holding periods. To achieve this, the Strategy employs a fully systematic, algorithmic trading approach that utilizes a number of human-understandable trading sub-strategies. As such, while the sub-strategies are computerized they are not “black-boxes” and many of the concepts come from applications that aren’t commonly applied to managed futures. The focus is to trade only highly liquid exchange traded futures and spot foreign exchange to allow for liquidity and transparency. At present 34 futures markets and five cash currencies are traded (currently for hedging only). Overall average holding periods are around 7 days, but vary from sub-strategy between 3-30 days.

Investment Strategy

There are a number of sub-strategies that are generally sector specific and range from mean-reversion to momentum on both an outright and relative basis. The sub-strategies are intended to have low correlation to each other to achieve a smoother return profile than the typical CTA. The sub-strategies are derived from approaches not typically used to trade managed futures. The volatility target is 10% annualized based on daily gross returns. The combination of relatively uncorrelated strategies and and systematic risk allocation should result in draw-downs which are much better behaved than typical managed futures programs.

Risk Management

Risk is re-sized daily at three levels based on both volatility and correlation as it emerges cross-market and cross-strategy: Market, sub-strategy and inter-strategy, so that the absolute exposure is within the specified limits. As well strategies which take outright market positions have intra-day stops, while those that take relative positions have daily stops on the relative exposure.

   

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:
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Risk
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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:
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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
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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
-20.85 35 - 4/1/2011 3/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
3.80 1 7/1/2011 7/1/2011
3.76 1 4/1/2011 4/1/2011
3.67 3 4/1/2014 6/1/2014
2.80 1 6/1/2013 6/1/2013
1.97 2 10/1/2012 11/1/2012
1.21 2 11/1/2011 12/1/2011
1.15 1 4/1/2012 4/1/2012
0.83 1 1/1/2014 1/1/2014
0.53 1 8/1/2013 8/1/2013
0.05 1 7/1/2012 7/1/2012
0.05 1 1/1/2013 1/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.84 2 8/1/2012 9/1/2012
-6.73 2 5/1/2011 6/1/2011
-5.92 3 8/1/2011 10/1/2011
-3.82 4 2/1/2013 5/1/2013
-3.36 4 9/1/2013 12/1/2013
-2.99 2 5/1/2012 6/1/2012
-1.85 1 12/1/2012 12/1/2012
-1.00 1 7/1/2013 7/1/2013
-0.95 2 2/1/2014 3/1/2014
-0.23 3 1/1/2012 3/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods39.0037.0034.0028.0022.0016.00
Percent Profitable38.4627.0314.713.570.000.00
Average Period Return-0.39-1.55-3.21-6.56-11.00-13.96
Average Gain1.321.301.720.43
Average Loss-1.46-2.61-4.06-6.81-11.00-13.96
Best Period3.803.673.540.43-1.49-9.09
Worst Period-6.14-7.79-10.09-13.70-16.35-19.71
Standard Deviation2.032.583.473.913.802.75
Gain Standard Deviation1.231.181.15
Loss Standard Deviation1.682.112.993.743.802.75
Sharpe Ratio (1%)-0.23-0.70-1.07-1.93-3.29-5.81
Average Gain / Average Loss0.900.500.420.06
Profit / Loss Ratio0.560.180.070.00
Downside Deviation (10%)1.953.746.6212.1818.9624.35
Downside Deviation (5%)1.773.015.018.4813.0516.19
Downside Deviation (0%)1.722.844.637.6011.6114.21
Sortino Ratio (10%)-0.41-0.74-0.86-0.95-0.98-0.99
Sortino Ratio (5%)-0.27-0.60-0.74-0.89-0.96-0.99
Sortino Ratio (0%)-0.23-0.55-0.69-0.86-0.95-0.98

Top Performer Badges

Index Award Type Rank Performance Period

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