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/ Lone Wolf Investments / Carbon Emissions Futures Program

Lone Wolf Investments : Carbon Emissions Futures Program

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archived programs
Year-to-Date
N / A
Aug Performance
0.71%
Min Investment
$ 175k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
7.51%
Sharpe (RFR=1%)
0.36
CAROR
3.48%
Assets
$ 200k
Worst DD
-11.56
S&P Correlation
-0.21
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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 Aug Qtr 2020 1yr 3yr 5yr 10yr Since
1/2007
Carbon Emissions Futures Program 0.71 - - - - - - 13.36
S&P 500 -4.74 - - - - - - 158.46
+/- S&P 500 5.45 - - - - - - -145.10

Strategy Description

Summary

Emission Instruments Program - On January 2, 2007 Lone Wolf initiated trading of the company's Emissions Instruments Program. The exact nature of Lone Wolf's emission trading program is proprietary and confidential. The following description is of necessity general and is not intended... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 175k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $16.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency
Redemption Frequency
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 960 RT/YR/$M
Avg. Margin-to-Equity 7%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Global Climate Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 0%
Intraday 100.00%

Decision-Making

Discretionary 15.00%
Systematic 85.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Energy
100.00%
Composition Pie Chart

Summary

Emission Instruments Program - On January 2, 2007 Lone Wolf initiated trading of the company's Emissions Instruments Program. The exact nature of Lone Wolf's emission trading program is proprietary and confidential. The following description is of necessity general and is not intended to be exhaustive. Lone Wolf's emission trading program is technically driven and has been developed specifically for emission markets by incorporating concepts that Lone Wolf Investments believe are essential to successfully trading these markets. The program is designed to provide commodity-specific exposure to global emission markets and provide superior risk-adjusted returns that are non-correlated to other asset classes. Currently the program trades the European Carbon Financial Instrument (CFI) Futures contract which trades at the European Climate Exchange (ECX). The program trades both the current year's emission vintage and the next year's emission vintage so at this time the program trades the December 2010 and December 2011 contracts. Lone Wolf Investments has also built a database of systems to trade other emission products such as Sulfur Financial Instrument (SFI) futures and Nitrogen Financial Instrument (NFI) futures which trade at the Chicago Climate Futures Exchange and Lone Wolf may include these instruments in our program at our discretion.

Investment Strategy

The program is 100% technical and no fundamental analysis is used. Although the program is 80% mechanical in execution, under certain market conditions.

Risk Management

Lone Wolf's individual traders may provide discretion regarding the execution of the trading model in order to reduce the risk in the program. The program is designed to employ varied levels of leverage depending on market conditions and existing program equity. Our program has strict risk management rules for each position in the program as well as a program wide risk-management layer. The program currently has a foreign exchange component and clients are advised that because the assets in a client's account will be determined in U.S. Dollars, they will be subject to the risk of fluctuation in the exchange rate between the local currency and the U.S. Dollar

   

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

Monthly Annual
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Sharpe Ratio: (RF=1%)
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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
-11.56 17 - 10/1/2008 3/1/2010
-4.06 3 5 5/1/2007 8/1/2007
-1.72 1 1 8/1/2008 9/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
18.69 8 1/1/2008 8/1/2008
6.54 5 1/1/2007 5/1/2007
4.04 5 4/1/2010 8/1/2010
3.94 3 9/1/2007 11/1/2007
2.72 1 10/1/2008 10/1/2008
2.06 1 9/1/2009 9/1/2009
2.02 1 7/1/2007 7/1/2007
1.92 2 1/1/2009 2/1/2009
0.69 1 11/1/2009 11/1/2009
0.42 1 4/1/2009 4/1/2009
0.33 1 7/1/2009 7/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.25 4 12/1/2009 3/1/2010
-3.99 2 11/1/2008 12/1/2008
-3.39 1 3/1/2009 3/1/2009
-3.28 1 8/1/2007 8/1/2007
-3.23 1 12/1/2007 12/1/2007
-2.77 1 6/1/2007 6/1/2007
-2.64 2 5/1/2009 6/1/2009
-1.72 1 9/1/2008 9/1/2008
-0.97 1 10/1/2009 10/1/2009
-0.04 1 8/1/2009 8/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods44.0042.0039.0033.0027.0021.00
Percent Profitable65.9159.5256.4151.5266.6761.90
Average Period Return0.310.841.413.445.036.02
Average Gain1.453.045.0610.6311.2012.29
Average Loss-1.90-2.41-3.31-4.21-7.30-4.17
Best Period8.729.9514.6219.3920.8218.28
Worst Period-3.39-5.83-6.52-9.22-10.44-7.34
Standard Deviation2.173.375.278.5110.638.81
Gain Standard Deviation1.642.213.985.107.003.77
Loss Standard Deviation1.061.751.802.392.562.41
Sharpe Ratio (1%)0.100.170.170.290.330.46
Average Gain / Average Loss0.761.261.532.531.542.95
Profit / Loss Ratio1.481.861.982.693.074.79
Downside Deviation (10%)1.472.564.066.659.089.05
Downside Deviation (5%)1.302.012.773.975.274.06
Downside Deviation (0%)1.261.882.473.344.442.92
Sortino Ratio (10%)-0.07-0.15-0.26-0.24-0.28-0.47
Sortino Ratio (5%)0.170.290.330.610.670.99
Sortino Ratio (0%)0.240.450.571.031.132.06

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.

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