Medina Murray Commodity Investments : Managed Futures Program - Client

archived programs
Year-to-Date
N / A
Apr Performance
0.28%
Min Investment
$ 30k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
4.08%
Sharpe (RFR=1%)
3.66
CAROR
-
Assets
$ 1.1M
Worst DD
-0.54
S&P Correlation
-0.56

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
10/2015
Managed Futures Program - Client 0.28 - - - - 9.63 - 9.63
S&P 500 0.27 - - - - 51.43 - 66.62
+/- S&P 500 0.01 - - - - -41.79 - -56.99

Strategy Description

Summary

The MMCI Strategy is based off of a strength/weakness wheel and doesn’t concern itself with trying to identify which way markets will move in the future. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 30k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
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 Any Investor
Lock-up Period 0

Trading

Trading Frequency 50000 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Agricultural Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 50.00%
Intraday 50.00%

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Spreading/hedging
100.00%
Strategy Pie Chart

Composition

Grains
100.00%
Composition Pie Chart

Summary

The MMCI Strategy is based off of a strength/weakness wheel and doesn’t concern itself with trying to identify which way markets will move in the future.

Investment Strategy

The wheel is made up of markets that tend to move and react in similar fashion to supply, demand, and outside news. While these markets are different, they fall within the same commodity sector thereby allowing MMCI to provide hedged positions which can help offset exposure to risk

Risk Management

Short term holding aligned with spreading like markets.

   

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
-0.54 1 - 2/1/2016 3/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
9.92 5 10/1/2015 2/1/2016
0.28 1 4/1/2016 4/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-0.54 1 3/1/2016 3/1/2016
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Time Windows Analysis

 1 Month3 Month
Number of Periods7.005.00
Percent Profitable85.71100.00
Average Period Return1.334.65
Average Gain1.644.65
Average Loss-0.54
Best Period2.846.93
Worst Period-0.540.78
Standard Deviation1.182.56
Gain Standard Deviation0.922.56
Loss Standard Deviation
Sharpe Ratio (1%)1.061.72
Average Gain / Average Loss3.04
Profit / Loss Ratio18.22
Downside Deviation (10%)0.360.20
Downside Deviation (5%)0.24
Downside Deviation (0%)0.20
Sortino Ratio (10%)2.5516.95
Sortino Ratio (5%)5.29
Sortino Ratio (0%)6.51

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.