Marathon Capital Growth Partners : System Diversified

archived programs
Year-to-Date
N / A
May Performance
-0.52%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.43%
Sharpe (RFR=1%)
0.43
CAROR
6.37%
Assets
$ 13.1M
Worst DD
-20.44
S&P Correlation
0.01

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
3/1995
System Diversified -0.52 - - - - - -7.33 208.58
S&P 500 2.08 - - - - - 69.21 591.88
+/- S&P 500 -2.60 - - - - - -76.54 -383.30

Strategy Description

Summary

Marathon Capital Growth Partners, LLC, founded in March 1995, is dedicated to providing the best possible advice for directional strategies utilizing both discretionary and systematic approaches. Currently Marathon manages nine different portfolios, which vary by both trading style... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 750 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD
Worst Peak-to-Trough 0%
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

Composition

Summary

Marathon Capital Growth Partners, LLC, founded in March 1995, is dedicated to providing the best possible advice for directional strategies utilizing both discretionary and systematic approaches. Currently Marathon manages nine different portfolios, which vary by both trading style (long-term systematic, short term discretionary or a combination), and diversification. Marathon participates in over 50 exchange-traded markets globally, including currencies, interest rates, agriculture, energy, metals, and equity indices. The Systematic approach employs an intermediate systematic trend-following approach consisting of two key components, a signal generator and a portfolio risk filter. Two systems comprise the signal generator, each of which is trend following. The portfolio risk filters attempts to increase portfolio exposure when the environment for profit is good and reduce exposure when the probability for future profit declines. Portfolio volatility is a key factor in determining when to increase and decrease exposure. Marathon currently offers clients a choice between four distinct Systematic Portfolios. The Discretionary trading approach is a technical, but non-systematic trading methodology. The Discretionary Portfolio attempts to profit from short-term price movements. A significant percentage of the positions may have a life of as low as one or two days, and may have positions in very few markets at any time. Mr. Ecke looks for certain technical patterns on intraday and daily price charts and executes those trades which he feels have a high reward-to-risk ratio. Many of the trades made by Mr. Ecke pursuant to the Discretionary Portfolios are counter to perceived trends in a market. A common element to Mr. Ecke's trading is to attempt to identify short-term price momentum. The margin utilized is characteristically low. Marathon currently offers clients a choice between three distinct Discretionary Portfolios. The Marathon Plus Portfolio is an enhanced multi-strategy approach, utilizing two distinctly different opportunistic strategies. The System Diversified strategy utilizes a number of independent trading systems to analyze market movements. In addition, a systematic approach to risk management utilizes multiple systems to identify market conditions, which have proven advantageous for both increasing and decreasing exposure. The Discretionary Short Term (ST) Portfolio utilizes a nominal amount of leverage to take advantage of short-term price movements, which typically would not be captured by a systematic approach. The two approaches have a .102 correlation to one another. The portfolio encompasses approximately 40 markets globally, including Currency, Interest Rates, Equity Indices, and Commodities. Past performance is not guaranteed of futu

Investment Strategy

The System Diversified Portfolio participates in approximately 35 futures contract markets in the following market sectors: Foreign Exchange, Interest Rates, Metals, Energies, and Soft & Grains. Marathon's systematic approach employs an allocation model designed to identify certain conditions that have historically proven ideal for both increasing and decreasing portfolio exposure. This system utilizes a number of independent trading systems that differ primarily in sensitivity to price action and identifies market conditions that have historically proven ideal for trending markets and adjusts exposure commensurate with risk. The time horizon normally ranges between one and six weeks.

   

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
-20.44 6 9 6/1/1999 12/1/1999
-18.21 9 4 5/1/2001 2/1/2002
-17.70 7 3 12/1/1997 7/1/1998
-17.08 5 5 4/1/1996 9/1/1996
-15.73 22 - 4/1/2011 2/1/2013
-14.25 11 10 4/1/2006 3/1/2007
-10.23 5 12 11/1/2004 4/1/2005
-8.43 11 3 8/1/2003 7/1/2004
-7.89 4 8 4/1/2010 8/1/2010
-4.65 1 1 6/1/2008 7/1/2008
-4.50 1 5 2/1/2003 3/1/2003
-4.33 2 2 1/1/2009 3/1/2009
-3.93 1 1 10/1/1998 11/1/1998
-3.46 1 2 1/1/1996 2/1/1996
-3.40 5 4 6/1/2009 11/1/2009
-3.40 3 6 3/1/1997 6/1/1997
-2.37 2 1 12/1/2000 2/1/2001
-2.28 3 1 4/1/1995 7/1/1995
-2.28 2 1 9/1/2002 11/1/2002
-2.12 3 1 9/1/1995 12/1/1995
-1.63 1 1 3/1/1999 4/1/1999
-1.20 1 1 3/1/2001 4/1/2001
-1.18 2 1 12/1/1998 2/1/1999
-0.65 1 2 2/1/2008 3/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
29.02 3 8/1/1998 10/1/1998
28.45 7 3/1/2002 9/1/2002
24.76 2 3/1/1995 4/1/1995
23.69 6 9/1/2007 2/1/2008
21.48 6 7/1/2000 12/1/2000
19.37 2 10/1/1996 11/1/1996
18.75 6 8/1/2008 1/1/2009
17.89 2 1/1/2000 2/1/2000
17.22 2 3/1/1996 4/1/1996
16.55 4 8/1/2004 11/1/2004
14.83 3 1/1/1997 3/1/1997
14.69 1 1/1/1996 1/1/1996
10.06 2 3/1/2006 4/1/2006
9.60 4 5/1/2005 8/1/2005
9.01 3 12/1/2002 2/1/2003
8.19 3 4/1/2009 6/1/2009
7.87 1 8/1/2003 8/1/2003
5.93 1 11/1/2006 11/1/2006
5.73 1 12/1/1998 12/1/1998
5.69 2 8/1/1995 9/1/1995
5.30 1 11/1/1999 11/1/1999
5.03 2 11/1/2010 12/1/2010
4.87 2 5/1/1999 6/1/1999
4.85 1 4/1/2007 4/1/2007
4.80 3 2/1/2010 4/1/2010
4.53 2 4/1/2003 5/1/2003
4.39 2 11/1/2003 12/1/2003
4.14 1 6/1/2007 6/1/2007
3.95 1 9/1/2010 9/1/2010
3.88 1 11/1/2005 11/1/2005
3.78 1 12/1/1997 12/1/1997
3.44 1 5/1/2000 5/1/2000
3.03 1 12/1/2009 12/1/2009
3.01 1 7/1/1997 7/1/1997
2.95 1 2/1/2004 2/1/2004
2.74 1 8/1/1996 8/1/1996
2.61 1 3/1/2001 3/1/2001
2.45 2 3/1/2011 4/1/2011
2.24 1 3/1/1999 3/1/1999
2.16 3 4/1/2008 6/1/2008
1.83 1 3/1/1998 3/1/1998
1.75 1 10/1/2001 10/1/2001
1.58 1 5/1/2001 5/1/2001
1.50 1 1/1/2007 1/1/2007
1.23 2 3/1/2013 4/1/2013
1.04 1 3/1/2005 3/1/2005
0.99 1 1/1/2002 1/1/2002
0.96 1 10/1/1997 10/1/1997
0.86 2 7/1/2012 8/1/2012
0.69 1 9/1/2009 9/1/2009
0.56 1 10/1/2012 10/1/2012
0.54 1 11/1/1995 11/1/1995
0.50 1 2/1/2012 2/1/2012
0.45 1 7/1/2011 7/1/2011
0.25 1 6/1/2010 6/1/2010
0.12 1 12/1/2012 12/1/2012
0.05 1 8/1/2006 8/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-19.55 4 7/1/1999 10/1/1999
-16.49 3 5/1/1996 7/1/1996
-11.94 2 1/1/1998 2/1/1998
-11.10 1 12/1/1996 12/1/1996
-10.68 4 6/1/2001 9/1/2001
-9.04 6 8/1/2011 1/1/2012
-8.23 4 4/1/1998 7/1/1998
-8.14 2 9/1/2003 10/1/2003
-7.47 3 12/1/2004 2/1/2005
-7.22 2 2/1/2007 3/1/2007
-7.08 2 11/1/2001 12/1/2001
-6.68 5 3/1/2004 7/1/2004
-6.11 1 12/1/2006 12/1/2006
-6.08 1 12/1/1999 12/1/1999
-5.64 2 7/1/2007 8/1/2007
-5.17 1 5/1/2010 5/1/2010
-4.87 2 3/1/2000 4/1/2000
-4.82 2 5/1/2011 6/1/2011
-4.65 1 7/1/2008 7/1/2008
-4.58 3 5/1/2006 7/1/2006
-4.50 1 3/1/2003 3/1/2003
-4.46 3 12/1/2005 2/1/2006
-4.33 2 2/1/2009 3/1/2009
-4.10 2 9/1/2006 10/1/2006
-4.10 1 2/1/2002 2/1/2002
-3.98 1 4/1/2005 4/1/2005
-3.93 1 11/1/1998 11/1/1998
-3.46 1 2/1/1996 2/1/1996
-3.40 3 4/1/1997 6/1/1997
-3.36 1 9/1/1996 9/1/1996
-3.16 2 7/1/2009 8/1/2009
-3.11 2 7/1/2010 8/1/2010
-3.01 2 9/1/2005 10/1/2005
-2.53 2 8/1/1997 9/1/1997
-2.37 2 1/1/2001 2/1/2001
-2.28 3 5/1/1995 7/1/1995
-2.28 2 10/1/2002 11/1/2002
-2.16 2 6/1/2003 7/1/2003
-2.07 4 3/1/2012 6/1/2012
-1.94 1 10/1/1995 10/1/1995
-1.88 2 1/1/2013 2/1/2013
-1.69 1 5/1/2007 5/1/2007
-1.63 2 1/1/2011 2/1/2011
-1.63 1 4/1/1999 4/1/1999
-1.57 1 1/1/2010 1/1/2010
-1.20 1 4/1/2001 4/1/2001
-1.18 2 1/1/1999 2/1/1999
-1.08 1 6/1/2000 6/1/2000
-0.93 2 10/1/2009 11/1/2009
-0.83 1 9/1/2012 9/1/2012
-0.75 1 10/1/2010 10/1/2010
-0.72 1 12/1/1995 12/1/1995
-0.65 1 3/1/2008 3/1/2008
-0.62 1 1/1/2004 1/1/2004
-0.52 1 5/1/2013 5/1/2013
-0.37 1 11/1/2012 11/1/2012
-0.27 1 11/1/1997 11/1/1997
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods219.00217.00214.00208.00202.00196.00184.00172.00160.00
Percent Profitable49.7757.6057.0165.3873.7680.1085.8794.77100.00
Average Period Return0.601.623.166.178.7211.8918.5826.6134.62
Average Gain3.515.869.3212.9313.9816.7022.7528.4334.62
Average Loss-2.29-4.15-5.00-6.61-6.08-7.44-6.73-6.29
Best Period18.3629.0230.0539.6444.1563.7452.7678.6376.72
Worst Period-13.42-16.81-20.44-17.07-13.91-14.70-14.67-11.603.51
Standard Deviation4.176.879.5212.4812.6114.0215.9515.3314.02
Gain Standard Deviation3.465.457.409.6610.1911.1513.0313.5814.02
Loss Standard Deviation2.443.644.614.874.034.444.452.65
Sharpe Ratio (1%)0.120.200.280.410.570.700.981.472.11
Average Gain / Average Loss1.541.411.861.962.302.243.384.52
Profit / Loss Ratio1.521.922.473.706.469.0320.5581.83
Downside Deviation (10%)2.574.235.767.517.568.539.748.626.02
Downside Deviation (5%)2.403.714.695.314.404.654.032.460.17
Downside Deviation (0%)2.363.584.454.823.733.853.011.55
Sortino Ratio (10%)0.080.090.120.160.150.190.290.591.16
Sortino Ratio (5%)0.220.370.570.971.642.123.869.15176.26
Sortino Ratio (0%)0.250.450.711.282.343.096.1617.19

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.