Martin Fund Management LLC : Martin Fund One

archived programsClosed to new investments
Year-to-Date
N / A
Nov Performance
0.00%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
57.30%
Sharpe (RFR=1%)
1.10
CAROR
63.32%
Assets
$ 6.8M
Worst DD
-33.50
S&P Correlation
0.06

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
1/2013
Martin Fund One 0.00 - - - - -4.27 - 318.21
S&P 500 0.05 - - - - 76.19 - 131.27
+/- S&P 500 -0.05 - - - - -80.47 - 186.94

Strategy Description

Summary

The program MARTIN FUND ONE seeks to generate outsized annual returns of 15%-20%, in excess of the S&P Goldman Sachs Commodity Index (S&P GSCI), employing short- to medium-term trading programs with low macro correlation and disciplined risk management... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 10000 RT/YR/$M
Avg. Margin-to-Equity 40%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 19.80%
Sector Focus Arbitrage & Spread 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 100.00%
Systematic 0%

Strategy

Option-spreads
30.00%
Spreading/hedging
70.00%
Strategy Pie Chart

Composition

Softs
100.00%
Composition Pie Chart

Summary

The program MARTIN FUND ONE seeks to generate outsized annual returns of 15%-20%, in excess of the S&P Goldman Sachs Commodity Index (S&P GSCI), employing short- to medium-term trading programs with low macro correlation and disciplined risk management

Investment Strategy

The Advisor’s proprietary trading program MARTIN FUND ONE encompasses three discretionary trading strategies:
STRATEGY 1: Use of options spreads to express the Advisor’s opinion on major market trends
- Buy or sell to benefit from major market trends based on predetermined and limited risk parameters
- Confirm trends using preset fundamental statistics related to certified stocks and crop forecasts
STRATEGY 2: Arbitrage of futures spreads and spread butterflies
- Buy one futures spread and sell another related futures spread, grounded in predetermined risk parameters, to benefit from both seasonal and time-to-expiration based price ranges
- Exit the position before expiration of the front month futures contract
STRATEGY 3: event trading of S&P GSCI futures roll
- Massive flows of capital move through the market, trading out of the expiring front month futures contract and into the next contract.
- Entry and exit from this trade incorporates key data
 CFTC-reported Non-commercial Fund position
Open Interest
Current-spread-price to full-carry-price ratios
Days to First Notice Day / Expiration
Stop losses
- Fixed dollar value stops to limit losses
- Trailing stops to benefit from larger profitable moves

Risk Management

The Advisor seeks to maintain at least a 2:1 profit-to-loss ratio
The Advisor employs stop-loss orders to limit risk consistent with this predetermined level
Minimum account $500,000 subject to waiver or reduction in the Advisor's sole discretion.

   

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
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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
Compound RoR:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-33.50 9 - 12/1/2014 9/1/2015
-22.21 2 1 12/1/2013 2/1/2014
-19.80 3 1 2/1/2013 5/1/2013
-11.37 2 1 8/1/2013 10/1/2013
-4.94 1 2 8/1/2014 9/1/2014
-0.40 1 1 1/1/0001 1/1/2013
-0.20 1 1 6/1/2013 7/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
295.67 6 3/1/2014 8/1/2014
51.04 2 11/1/2013 12/1/2013
35.50 1 6/1/2013 6/1/2013
19.40 1 8/1/2013 8/1/2013
14.30 3 10/1/2014 12/1/2014
7.80 1 2/1/2013 2/1/2013
3.90 1 3/1/2015 3/1/2015
3.00 1 5/1/2015 5/1/2015
1.03 1 10/1/2015 10/1/2015
0.08 1 7/1/2015 7/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-22.21 2 1/1/2014 2/1/2014
-19.80 3 3/1/2013 5/1/2013
-17.80 2 8/1/2015 9/1/2015
-17.61 2 1/1/2015 2/1/2015
-11.37 2 9/1/2013 10/1/2013
-7.39 1 6/1/2015 6/1/2015
-4.94 1 9/1/2014 9/1/2014
-1.00 1 4/1/2015 4/1/2015
-0.40 1 1/1/2013 1/1/2013
-0.20 1 7/1/2013 7/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods35.0033.0030.0024.0018.00
Percent Profitable51.4363.6466.6783.33100.00
Average Period Return5.3118.3049.16143.66294.55
Average Gain16.2835.6780.81177.67294.55
Average Loss-6.69-12.10-14.12-26.37
Best Period46.93112.60295.67355.63616.74
Worst Period-13.44-19.80-23.03-32.2436.75
Standard Deviation16.5436.8174.26124.52149.52
Gain Standard Deviation16.2735.6272.32107.07149.52
Loss Standard Deviation4.527.077.113.99
Sharpe Ratio (1%)0.320.490.661.151.96
Average Gain / Average Loss2.432.955.726.74
Profit / Loss Ratio2.745.1611.4433.69
Downside Deviation (10%)5.649.0110.3412.88
Downside Deviation (5%)5.458.499.3011.26
Downside Deviation (0%)5.418.369.0410.86
Sortino Ratio (10%)0.871.894.5210.76
Sortino Ratio (5%)0.962.135.2312.67
Sortino Ratio (0%)0.982.195.4413.23

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.