London Systematic Advisors : Futures Statistical Arbitrage Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Jun Qtr 2020 1yr 3yr 5yr 10yr Since4/2011 Futures Statistical Arbitrage 1.93 - - - - - - -14.86 S&P 500 1.91 - - - - - - 172.59 +/- S&P 500 0.02 - - - - - - -187.45 Strategy Description SummaryThe 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% 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% SummaryThe 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 StrategyThere 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 ManagementRisk 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. 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 -20.85 35 - 4/1/2011 3/1/2014 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel