Marella Capital Corporation : Chief Guardian Bond Program

archived programs
Year-to-Date
N / A
Mar Performance
-4.21%
Min Investment
$ 25k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
19.33%
Sharpe (RFR=1%)
-0.31
CAROR
-6.56%
Assets
$ 538k
Worst DD
-27.53
S&P Correlation
-0.25

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
10/2007
Chief Guardian Bond Program -4.21 - - - - - - -15.61
S&P 500 5.88 - - - - - - 123.58
+/- S&P 500 -10.09 - - - - - - -139.19

Strategy Description

Summary

-The strategy is a long-term 30 year Treasury bond futures discretionary trading program based on a proprietary algorithm combining technical and fundamental indicators such as weighted numbers and moving averages. Mr. Marella combined and refined these indicators to build his signal... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 25k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 0%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 6720 RT/YR/$M
Avg. Margin-to-Equity 50%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 70.00%
Systematic 30.00%

Summary

-The strategy is a long-term 30 year Treasury bond futures discretionary trading program based on a proprietary algorithm combining technical and fundamental indicators such as weighted numbers and moving averages. Mr. Marella combined and refined these indicators to build his signal in the 1980s. Modifications to the signal are implemented only when a fundamental change occurs affecting the makeup of Treasury market trading.

Investment Strategy

Adding Bond Option strategies allows the system to maintain futures positions through volatile periods. It is the goal of the program to position itself for events in the market and the economy. Various protective strategies are implemented but may be ineffective if market or technological conditions prevent the execution of such orders.

Risk Management

The Chief Guardian Bond Program uses a combination of futures and option strategies to maintain a strict risk management approach. Risk/ reward ratios are carefully calculated before entering into a trade, allowing the positions to work throughout volatile markets without being over leveraged. The idea of longevity and sustainability to achieve desired targets is always a factor in trading this program.

   

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
-27.53 13 - 2/1/2009 3/1/2010
-12.98 3 4 1/1/0001 12/1/2007
-7.73 2 5 7/1/2008 9/1/2008
-4.65 1 2 4/1/2008 5/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
17.46 2 1/1/2009 2/1/2009
12.37 2 3/1/2008 4/1/2008
10.74 1 12/1/2009 12/1/2009
9.90 2 6/1/2008 7/1/2008
4.77 1 1/1/2008 1/1/2008
3.72 1 10/1/2008 10/1/2008
3.06 1 7/1/2009 7/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.22 4 8/1/2009 11/1/2009
-13.96 3 1/1/2010 3/1/2010
-12.98 3 10/1/2007 12/1/2007
-9.75 4 3/1/2009 6/1/2009
-7.73 2 8/1/2008 9/1/2008
-4.65 1 5/1/2008 5/1/2008
-2.90 2 11/1/2008 12/1/2008
-0.63 1 2/1/2008 2/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods30.0028.0025.0019.0013.00
Percent Profitable33.3342.8656.0063.1653.85
Average Period Return-0.42-0.410.392.925.05
Average Gain6.117.699.4211.5717.83
Average Loss-3.68-6.49-11.09-11.91-9.86
Best Period11.8617.1217.9328.5323.17
Worst Period-10.18-17.25-17.84-27.30-14.26
Standard Deviation5.588.8011.8414.7614.94
Gain Standard Deviation3.835.385.588.713.58
Loss Standard Deviation2.645.136.0410.424.95
Sharpe Ratio (1%)-0.09-0.07-0.010.130.24
Average Gain / Average Loss1.661.190.850.971.81
Profit / Loss Ratio0.830.891.081.672.11
Downside Deviation (10%)3.946.949.7811.8412.25
Downside Deviation (5%)3.726.338.599.788.31
Downside Deviation (0%)3.666.188.299.307.37
Sortino Ratio (10%)-0.21-0.24-0.21-0.18-0.21
Sortino Ratio (5%)-0.13-0.10-0.010.200.43
Sortino Ratio (0%)-0.11-0.070.050.310.68

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.