MacroTrend Strategies : Global Horizon

archived programs
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

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
6/2013
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

Summary

The 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%
Strategy Pie Chart

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%
Composition Pie Chart

Summary

The 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.

   

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
-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
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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
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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
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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. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.