MacroTrend Strategies : Global Horizon Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Sep Performance -2.37% Min Investment $ 250k Mgmt. Fee 1.00% Perf. Fee 25.00% Annualized Vol 10.05% Sharpe (RFR=1%) -0.23 CAROR -1.81% Assets $ 2.3M Worst DD -16.72 S&P Correlation -0.23 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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since6/2013 Global Horizon -2.37 - - - - -11.55 - -5.91 S&P 500 -0.12 - - - - 91.62 - 107.24 +/- S&P 500 -2.25 - - - - -103.18 - -113.15 Strategy Description SummaryThe Global Horizon program trades a diversified portfolio of North American futures products. The strategy seeks to capture alpha from trends based on our research of explanatory variables using our proprietary “Evidence-Based” Methodology. Our unique process is systematic and incorporates... Read More Account & Fees Type Managed Account Minimum Investment $ 250k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 1.00% Performance Fee 25.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 820 RT/YR/$M Avg. Margin-to-Equity 9% Targeted Worst DD Worst Peak-to-Trough 5.79% Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 0% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Trend-following 100.00% Composition Currency Futures 22.00% Stock Indices 20.00% Interest Rates 19.00% Softs 10.00% Precious Metals 7.00% Energy 7.00% Grains 7.00% Livestock 5.00% Industrial Metals 3.00% SummaryThe Global Horizon program trades a diversified portfolio of North American futures products. The strategy seeks to capture alpha from trends based on our research of explanatory variables using our proprietary “Evidence-Based” Methodology. Our unique process is systematic and incorporates both fundamental and technical data. The strategy emphasizes an intermediate to long-term time horizon. Round-turns per millions average 820 and the margin-to-equity typically ranges between 8-10%. The strategy targets volatility to be under a 1.5% daily standard deviation on a fully funded basis. 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 -16.72 20 - 1/1/2015 9/1/2016 -7.87 11 3 6/1/2013 5/1/2014 -3.06 2 2 8/1/2014 10/1/2014 Show More Consecutive Gains Run-up Length (Mos.) Start End 12.16 3 6/1/2014 8/1/2014 11.79 3 11/1/2014 1/1/2015 6.63 2 1/1/2016 2/1/2016 2.80 3 7/1/2015 9/1/2015 2.51 1 4/1/2016 4/1/2016 2.34 1 2/1/2014 2/1/2014 1.22 2 9/1/2013 10/1/2013 0.89 1 6/1/2013 6/1/2013 0.83 1 8/1/2016 8/1/2016 0.12 1 4/1/2014 4/1/2014 Show More Consecutive Losses Run-up Length (Mos.) Start End -8.41 5 2/1/2015 6/1/2015 -8.34 1 3/1/2016 3/1/2016 -5.69 3 5/1/2016 7/1/2016 -4.92 3 10/1/2015 12/1/2015 -4.42 3 11/1/2013 1/1/2014 -3.48 2 7/1/2013 8/1/2013 -3.06 2 9/1/2014 10/1/2014 -2.67 1 5/1/2014 5/1/2014 -2.37 1 9/1/2016 9/1/2016 -1.07 1 3/1/2014 3/1/2014 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year Number of Periods40.0038.0035.0029.0023.0017.00 Percent Profitable45.0034.2134.2958.6273.9182.35 Average Period Return-0.11-0.26-0.071.653.884.34 Average Gain2.254.807.828.168.706.74 Average Loss-2.04-2.89-4.19-7.58-9.76-6.90 Best Period7.6912.1612.8119.9214.9211.86 Worst Period-8.34-7.36-10.65-11.55-15.40-8.57 Standard Deviation2.904.646.309.319.505.90 Gain Standard Deviation2.144.172.896.234.512.60 Loss Standard Deviation1.811.852.342.385.502.09 Sharpe Ratio (1%)-0.07-0.11-0.090.070.250.39 Average Gain / Average Loss1.101.661.871.080.890.98 Profit / Loss Ratio0.900.860.971.522.524.56 Downside Deviation (10%)2.243.655.718.339.538.22 Downside Deviation (5%)2.052.944.235.716.313.81 Downside Deviation (0%)2.002.773.875.095.612.98 Sortino Ratio (10%)-0.23-0.41-0.45-0.40-0.39-0.72 Sortino Ratio (5%)-0.09-0.17-0.140.110.380.61 Sortino Ratio (0%)-0.06-0.09-0.020.320.691.45 Top Performer Badges Index Award Type Rank Performance Period Past performance is not necessarily indicative of future results. 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