Macrotheme Capital Management LLC : Macrotheme Opportunity

Year-to-Date
62.55%
Sep Performance
0.35%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
27.71%
Sharpe (RFR=1%)
0.42
CAROR
9.70%
Assets
$ 280k
Worst DD
-31.31
S&P Correlation
0.48

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
1/2017
Macrotheme Opportunity 0.35 14.55 62.55 33.03 - - - 29.00
S&P 500 1.72 1.19 18.74 2.15 - - - 29.29
+/- S&P 500 -1.37 13.36 43.81 30.88 - - - -0.29

Strategy Description

Summary

This is a special opportunity trading program.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
0%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
3

Trading

Trading Frequency
500 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
25.00%
1-3 Months
50.00%
1-30 Days
25.00%
Intraday
0%

Decision-Making

Discretionary
70.00%
Systematic
30.00%

Strategy

Counter-trend
20.00%
Option-writing
20.00%
Pattern Recognition
10.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Stock Indices
40.00%
Currency Futures
30.00%
Precious Metals
30.00%
Composition Pie Chart

Summary

This is a special opportunity trading program.

Investment Strategy

The special opportunity is identified based on fundamental analysis, while the market timing is based on technical analysis. The program is not limited by any specific strategy, and can be implemented in any futures contract.

Risk Management

Each trade is executed based on probability of success, and the objective is to identify an opportunity with maximum profit potential. The trade is offset when the probability of success declines below the acceptable threshold, which considers the initial loss allowed.

   

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
-31.31 16 8 8/1/2017 12/1/2018
-2.42 1 2 1/1/2017 2/1/2017
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
38.79 2 1/1/2019 2/1/2019
23.92 4 6/1/2019 9/1/2019
17.83 6 3/1/2017 8/1/2017
2.71 1 2/1/2018 2/1/2018
2.24 1 4/1/2018 4/1/2018
2.23 1 11/1/2018 11/1/2018
1.56 1 9/1/2018 9/1/2018
0.97 1 7/1/2018 7/1/2018
0.49 1 1/1/2017 1/1/2017
0.21 1 4/1/2019 4/1/2019
0.01 1 12/1/2017 12/1/2017
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-16.20 1 12/1/2018 12/1/2018
-7.62 3 9/1/2017 11/1/2017
-5.87 1 8/1/2018 8/1/2018
-5.60 2 5/1/2018 6/1/2018
-4.70 1 1/1/2018 1/1/2018
-4.47 1 10/1/2018 10/1/2018
-4.46 1 5/1/2019 5/1/2019
-2.42 1 2/1/2017 2/1/2017
-1.29 1 3/1/2019 3/1/2019
-0.38 1 3/1/2018 3/1/2018
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods33.0031.0028.0022.0016.00
Percent Profitable60.6151.6150.0059.0937.50
Average Period Return1.052.643.510.70-1.00
Average Gain4.4010.3414.8910.0110.79
Average Loss-4.10-5.57-7.88-12.75-8.07
Best Period36.3437.0041.9034.6323.93
Worst Period-16.20-18.16-21.00-25.66-29.83
Standard Deviation8.0011.1413.6414.8613.09
Gain Standard Deviation8.249.969.0011.0510.52
Loss Standard Deviation3.974.445.127.238.70
Sharpe Ratio (1%)0.120.210.22-0.02-0.19
Average Gain / Average Loss1.071.861.890.791.34
Profit / Loss Ratio1.651.981.891.130.80
Downside Deviation (10%)3.715.608.1112.2214.22
Downside Deviation (5%)3.555.036.879.8210.00
Downside Deviation (0%)3.514.896.579.259.13
Sortino Ratio (10%)0.170.250.13-0.35-0.60
Sortino Ratio (5%)0.270.480.44-0.03-0.25
Sortino Ratio (0%)0.300.540.530.08-0.11

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.