ML Systems LLC : Sledon Classic (Proprietary)

archived programs
Year-to-Date
N / A
Aug Performance
-7.07%
Min Investment
$ 300k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.96%
Sharpe (RFR=1%)
0.58
CAROR
4.89%
Assets
$ 5.4M
Worst DD
-7.07
S&P Correlation
0.59

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
6/2012
Sledon Classic (Proprietary) -7.07 - - - - - - 16.80
S&P 500 -6.26 - - - - - - 137.61
+/- S&P 500 -0.81 - - - - - - -120.81

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
-7.07 1 - 7/1/2015 8/1/2015
-4.48 4 3 4/1/2013 8/1/2013
-2.62 1 2 12/1/2012 1/1/2013
-1.70 1 1 6/1/2014 7/1/2014
-1.57 1 2 8/1/2012 9/1/2012
-0.98 1 2 8/1/2014 9/1/2014
-0.96 1 1 5/1/2015 6/1/2015
-0.72 1 1 12/1/2013 1/1/2014
-0.71 1 1 12/1/2014 1/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
9.17 5 2/1/2014 6/1/2014
6.43 4 9/1/2013 12/1/2013
4.55 3 2/1/2013 4/1/2013
4.25 4 2/1/2015 5/1/2015
3.41 3 6/1/2012 8/1/2012
3.16 3 10/1/2012 12/1/2012
2.63 1 8/1/2014 8/1/2014
2.57 1 7/1/2013 7/1/2013
2.30 3 10/1/2014 12/1/2014
1.85 1 7/1/2015 7/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.07 1 8/1/2015 8/1/2015
-3.73 2 5/1/2013 6/1/2013
-3.26 1 8/1/2013 8/1/2013
-2.62 1 1/1/2013 1/1/2013
-1.70 1 7/1/2014 7/1/2014
-1.57 1 9/1/2012 9/1/2012
-0.98 1 9/1/2014 9/1/2014
-0.96 1 6/1/2015 6/1/2015
-0.72 1 1/1/2014 1/1/2014
-0.71 1 1/1/2015 1/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods39.0037.0034.0028.0022.0016.00
Percent Profitable71.7978.3885.2992.86100.00100.00
Average Period Return0.421.583.447.2012.2316.31
Average Gain1.422.434.317.8712.2316.31
Average Loss-2.12-1.51-1.63-1.48
Best Period3.375.928.3816.3719.0819.91
Worst Period-7.07-6.26-3.95-1.715.5713.28
Standard Deviation2.012.373.034.323.771.98
Gain Standard Deviation0.851.632.263.693.771.98
Loss Standard Deviation1.862.071.550.32
Sharpe Ratio (1%)0.170.560.971.442.847.21
Average Gain / Average Loss0.671.612.645.32
Profit / Loss Ratio1.705.8415.3069.10
Downside Deviation (10%)1.641.591.781.890.61
Downside Deviation (5%)1.501.220.980.67
Downside Deviation (0%)1.471.140.820.40
Sortino Ratio (10%)0.010.220.541.167.65
Sortino Ratio (5%)0.221.093.009.31
Sortino Ratio (0%)0.291.384.1817.99

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.