ML Systems LLC : Sledon Classic (Client)

Year-to-Date
12.60%
Aug Performance
5.86%
Min Investment
$ 300k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.38%
Sharpe (RFR=1%)
0.24
CAROR
2.33%
Assets
$ 1.0M
Worst DD
-8.96
S&P Correlation
0.52

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
8/2014
Sledon Classic (Client) 5.86 5.92 12.60 4.87 9.50 10.83 - 12.45
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 - 44.59
+/- S&P 500 7.67 -0.41 -4.13 4.02 -23.93 -33.76 - -32.14

Strategy Description

Summary

The Seldon program seeks long term capital growth by investing in highly liquid US equity indices and treasury bond complex futures and options. The program mainly employs a multi strategy, medium frequency, fundamentally driven systematic trading strategy to explore market misconceptions... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 300k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$4.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
7-14 Days
Redemption Frequency
7-14 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
3000 RT/YR/$M
Avg. Margin-to-Equity
13%
Targeted Worst DD
12.00%
Worst Peak-to-Trough
-4.48%
Sector Focus
Financial & Metals Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
95.00%
Intraday
5.00%

Decision-Making

Discretionary
5.00%
Systematic
95.00%

Strategy

Fundamental
80.00%
Option-spreads
5.00%
Technical
15.00%
Strategy Pie Chart

Composition

Interest Rates
50.00%
Stock Indices
50.00%
Composition Pie Chart

Summary

The Seldon program seeks long term capital growth by investing in highly liquid US equity indices and treasury bond complex futures and options. The program mainly employs a multi strategy, medium frequency, fundamentally driven systematic trading strategy to explore market misconceptions about various economic, financial fundamentals at different time frames. Seldon program has two variants: Seldon Classic and Seldon Futures Only. The difference between them is that Seldon Futures Only does not trade options.

Investment Strategy

Multi strategy, medium frequency, fundamentally driven systematic trading strategy.

Risk Management

Build in risk management in systematic trading and discretionary tail risk management overlay

   

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
-8.96 41 8 7/1/2015 12/1/2018
-0.53 1 1 5/1/2015 6/1/2015
-0.46 1 1 12/1/2014 1/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
5.86 1 8/1/2019 8/1/2019
5.63 3 1/1/2019 3/1/2019
4.66 5 8/1/2014 12/1/2014
4.12 5 9/1/2017 1/1/2018
3.99 4 2/1/2015 5/1/2015
3.28 3 4/1/2018 6/1/2018
1.80 2 6/1/2016 7/1/2016
1.79 1 7/1/2015 7/1/2015
1.70 1 7/1/2017 7/1/2017
1.41 2 10/1/2018 11/1/2018
1.27 3 12/1/2016 2/1/2017
0.98 2 10/1/2015 11/1/2015
0.95 2 5/1/2019 6/1/2019
0.83 1 4/1/2017 4/1/2017
0.50 1 3/1/2016 3/1/2016
0.28 1 1/1/2016 1/1/2016
0.13 1 9/1/2016 9/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.08 1 12/1/2018 12/1/2018
-7.17 2 8/1/2015 9/1/2015
-2.51 2 2/1/2018 3/1/2018
-2.00 2 10/1/2016 11/1/2016
-1.40 2 5/1/2017 6/1/2017
-1.11 2 4/1/2016 5/1/2016
-0.90 1 2/1/2016 2/1/2016
-0.65 1 8/1/2016 8/1/2016
-0.53 1 6/1/2015 6/1/2015
-0.46 1 1/1/2015 1/1/2015
-0.42 3 7/1/2018 9/1/2018
-0.30 1 3/1/2017 3/1/2017
-0.24 1 8/1/2017 8/1/2017
-0.23 1 7/1/2019 7/1/2019
-0.03 1 12/1/2015 12/1/2015
-0.02 1 4/1/2019 4/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods61.0059.0056.0050.0044.0038.0026.0014.00
Percent Profitable62.3069.4962.5050.0061.3668.4273.0850.00
Average Period Return0.210.390.540.480.871.361.901.77
Average Gain1.021.562.402.972.953.553.215.55
Average Loss-1.14-2.29-2.56-2.02-2.43-3.40-1.66-2.00
Best Period5.865.926.829.696.469.589.509.55
Worst Period-8.08-6.78-7.17-6.28-7.42-6.23-2.85-4.58
Standard Deviation1.842.423.083.273.463.842.914.46
Gain Standard Deviation1.151.311.882.312.032.042.152.76
Loss Standard Deviation1.992.221.961.872.562.051.091.47
Sharpe Ratio (1%)0.070.060.01-0.16-0.18-0.17-0.39-0.51
Average Gain / Average Loss0.900.680.941.471.211.041.942.77
Profit / Loss Ratio1.491.551.561.471.932.265.262.77
Downside Deviation (10%)1.532.313.425.527.549.6714.1520.24
Downside Deviation (5%)1.411.842.212.512.913.252.664.50
Downside Deviation (0%)1.391.741.961.932.162.211.011.71
Sortino Ratio (10%)-0.13-0.36-0.56-0.82-0.89-0.92-0.98-0.98
Sortino Ratio (5%)0.090.070.02-0.21-0.22-0.20-0.42-0.51
Sortino Ratio (0%)0.150.220.280.250.400.621.891.03

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 8 4.77 1/2019
Systematic Trader Index Month 9 4.77 1/2019

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