Mercator Capital Management : Mercator 1

archived programs
Year-to-Date
N / A
Jan Performance
-0.83%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.09%
Sharpe (RFR=1%)
2.26
CAROR
-
Assets
$ 649k
Worst DD
-0.83
S&P Correlation
0.44

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
10/2007
Mercator 1 -0.83 - - - - - - 11.13
S&P 500 -6.12 - - - - - - 123.58
+/- S&P 500 5.29 - - - - - - -112.45

Strategy Description

Summary

-&Mercator Capital Management?s investment strategy can be broadly defined as both trend following and trend reversal. Our trend following approach recognizes major trends with emphasis on channels, moving averages, and Elliot Wave pattern identification. Our counter trend, or trend... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $9.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 400 RT/YR/$M
Avg. Margin-to-Equity 9%
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 0%
Systematic 0%

Strategy

Summary

-&Mercator Capital Management?s investment strategy can be broadly defined as both trend following and trend reversal. Our trend following approach recognizes major trends with emphasis on channels, moving averages, and Elliot Wave pattern identification. Our counter trend, or trend reversal approach, is focused on recognition of support/resistance breaks in trend channels, retracements in bull markets, and extensions in bear markets. It also relies on technical readings of oscillators, such as Bollinger Bands, to identify extremes in ranges. Both approaches also rely upon technical pattern recognition.nbsp;   Both approaches are comprised of numerous components.nbsp; &Initially we identify market opportunities by analyzing fundamental behavior of markets given prevailing economic news and current events on a secular basis. For example, &China?s growth outlook and the theory of its connection to globalcommodity inflation: this compels us to focus our research on specific markets such as oil, gold, and grains. With a fundamental idea of what we believe is important, we then proceed to study and test the technical behavior of those markets accordingly.nbsp; &Technical tests are broken down into three distinct categories, within which are two sub-tests, for a total of six tests, and six points. Trade ideas must score at least four points from these tests before becoming actual trades:1.nbsp;    Elliot Wave analysis: At least two important parameters must be evident, but there are potentially six at any time. &2.nbsp;    Momentum Indicators: RSI, stochastics, parabolas, Bollinger bands, and moving averages. At least two of these indicators have to be in confirmation. &3.nbsp;    Chart Patterns: Wedges, pennants, head and shoulders, candlestick formations. At least two clearly identifiable patterns must be evident.  The points system allows us to enhance trading decisions and capital allocations:nbsp; &a score of six allows us to maximize positions, a score of five reduces the position to eighty-percent of maximum, and a score of four reduces the position to sixty-percent of maximum.& Risk Management &MCM?s trade testing filter normally identifies between six to ten ?great? trades every year, in certain years perhaps as many as twenty. And at any one time we are not likely to have on more than six or seven such positions. Thus the frequency of trading is significantly below that of other managers, and thus overall risk of trading loss is necessarily lower as well. Additionally, our trade testing system includes scoring the probability of trend or pattern reversal, and thus scores the probability of loss per trade. Thus, a trade with a lower score necessarily will have a lower amount of investor capital at risk than a trade with a higher score ? a natural, built-in, risk-limiting device. Also, stops are placed at points which, if reached, would constitute contradictions of our understanding of the trend and the trade. Combining these two risk management guidelines meaningfully limits individual trade drawdown parameters.nbsp; Manager Biography &Paul Wiggins has had over seventeen years experience as a broker and trader in the global futures and options industry. He has been a top producer and analyst at Cantor Fitzgerald, Refco, and EDF Man. Over the past seven years he has been developing, refining, and implementing his proprietary trading methodologies. &

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

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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
-0.83 1 - 12/1/2007 1/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
12.06 3 10/1/2007 12/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-0.83 1 1/1/2008 1/1/2008
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Time Windows Analysis

 1 Month
Number of Periods4.00
Percent Profitable75.00
Average Period Return2.73
Average Gain3.92
Average Loss-0.83
Best Period8.58
Worst Period-0.83
Standard Deviation4.07
Gain Standard Deviation4.05
Loss Standard Deviation
Sharpe Ratio (1%)0.65
Average Gain / Average Loss4.72
Profit / Loss Ratio14.17
Downside Deviation (10%)0.62
Downside Deviation (5%)0.46
Downside Deviation (0%)0.42
Sortino Ratio (10%)3.76
Sortino Ratio (5%)5.80
Sortino Ratio (0%)6.58

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.