Mercury Financial Asset Management : Mercury ASA Program (Proprietary)

archived programs
Year-to-Date
N / A
Feb Performance
-1.30%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.45%
Sharpe (RFR=1%)
0.83
CAROR
12.73%
Assets
$ 908k
Worst DD
-12.03
S&P Correlation
0.29

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
3/2007
Mercury ASA Program (Proprietary) -1.30 - - - - - - 27.08
S&P 500 -10.99 - - - - - - 134.24
+/- S&P 500 9.69 - - - - - - -107.17

Strategy Description

Summary

-The Mercury ASA Program is a short to medium term commodity based trading system.  A basket of 36 different commodities comprised of energies, financials, currencies, metals, agriculturals and softs make up Mercury's portfolio.  The program uses technical and fundamental trading analysis... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 200k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $10.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 3000 RT/YR/$M
Avg. Margin-to-Equity 15%
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

-The Mercury ASA Program is a short to medium term commodity based trading system.  A basket of 36 different commodities comprised of energies, financials, currencies, metals, agriculturals and softs make up Mercury's portfolio.  The program uses technical and fundamental trading analysis for entry into both long and short positions.  In addition, the use of professional discretion is employed for all exits.  By utilizing an innovative rolling group strategy, Mercury is able to maximize profits and limit losses differentiating it from other trading programs.

   

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
-12.03 10 - 4/1/2008 2/1/2009
-7.03 1 3 10/1/2007 11/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
37.60 8 3/1/2007 10/1/2007
12.92 5 12/1/2007 4/1/2008
2.09 1 6/1/2008 6/1/2008
0.38 1 9/1/2008 9/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.03 1 11/1/2007 11/1/2007
-6.44 2 7/1/2008 8/1/2008
-4.92 1 5/1/2008 5/1/2008
-3.49 5 10/1/2008 2/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods24.0022.0019.0013.007.00
Percent Profitable62.5040.9157.8969.2385.71
Average Period Return1.092.493.917.8710.10
Average Gain3.2010.6910.6013.8212.26
Average Loss-3.14-3.19-5.27-5.52-2.86
Best Period11.6923.2530.8140.9531.17
Worst Period-7.03-8.63-9.34-9.84-2.86
Standard Deviation4.177.9910.7615.0211.76
Gain Standard Deviation3.405.539.2414.3311.27
Loss Standard Deviation2.722.463.002.95
Sharpe Ratio (1%)0.240.280.320.460.73
Average Gain / Average Loss1.023.352.012.504.29
Profit / Loss Ratio2.192.322.765.6325.77
Downside Deviation (10%)2.353.855.346.284.55
Downside Deviation (5%)2.213.214.163.891.65
Downside Deviation (0%)2.173.053.883.381.08
Sortino Ratio (10%)0.290.330.270.460.55
Sortino Ratio (5%)0.450.700.821.765.22
Sortino Ratio (0%)0.500.811.012.339.36

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.