Mobius Asset Management : Custom Trading Program

archived programsClosed to new investments
Year-to-Date
N / A
Feb Performance
-0.40%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.71%
Sharpe (RFR=1%)
0.23
CAROR
3.46%
Assets
$ 250k
Worst DD
-47.54
S&P Correlation
-0.16

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
1/2002
Custom Trading Program -0.40 -0.25 - -10.46 -29.20 -45.00 -23.10 61.88
S&P 500 -0.41 -7.12 - -8.19 27.57 45.56 50.85 70.94
+/- S&P 500 0.01 6.87 - -2.27 -56.77 -90.57 -73.96 -9.05

Strategy Description

Summary

The Mobius Custom Trading Program is technical in nature and designed to detect early trend development. Markets are traded using a trend following and counter trend approach. Each market traded will generate its own entry and exit signals. From time to time, increases or decreases... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
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
4800 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
90.00%
1-30 Days
10.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
20.00%
Trend-following
80.00%
Strategy Pie Chart

Composition

Grains
25.00%
Interest Rates
20.00%
Currency Futures
15.00%
Precious Metals
15.00%
Stock Indices
15.00%
Softs
10.00%
Composition Pie Chart

Summary

The Mobius Custom Trading Program is technical in nature and designed to detect early trend development. Markets are traded using a trend following and counter trend approach. Each market traded will generate its own entry and exit signals. From time to time, increases or decreases the total number of markets and contracts traded based on increases or decreases in account equity or market conditions. Each position's risk management parameters are updated daily to monitor volatility within the total portfolio. This program has the ability to add to existing positions and is shorter term in nature. Commodities traded are Gold, Silver Treasury Notes, Euro Currency, Stock Index Minis Crude Oil, Soybeans, Cotton and Sugar.

Risk Management

The Program is committed to adhere to strict money management techniques as an integral part of the trading program. The proprietary risk management utilizes pre-determined stop loss points, which attempt to limit losses and protect gains. Each commodity traded has specific entry and exit points along with stop levels for existing positions. These are updated daily. It should be noted that stop-loss points are not guaranteed to limit loss to the stop-loss point because, in part they are determined by the Advisor’s evaluation of historical market volatility and liquidity.

The Program determines position size as a function of both individual commodity volatility and total portfolio volatility. As volatility increases, position size will tend to decrease and when volatility decreases, position size will increase. The margin to equity ratio will be approximately 20-30%.

   

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
-47.54 62 - 12/1/2010 2/1/2016
-19.66 13 6 5/1/2006 6/1/2007
-9.73 4 2 6/1/2008 10/1/2008
-8.78 4 2 6/1/2002 10/1/2002
-7.27 7 11 12/1/2008 7/1/2009
-7.26 9 6 3/1/2004 12/1/2004
-6.77 3 7 5/1/2003 8/1/2003
-6.08 2 4 6/1/2005 8/1/2005
-5.70 1 2 1/1/0001 1/1/2002
-4.25 2 2 1/1/2006 3/1/2006
-3.00 3 1 2/1/2008 5/1/2008
-2.99 1 1 6/1/2010 7/1/2010
-2.39 2 1 2/1/2003 4/1/2003
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Consecutive Gains

Run-up Length (Mos.) Start End
58.63 5 2/1/2002 6/1/2002
44.78 8 7/1/2007 2/1/2008
39.69 4 11/1/2002 2/1/2003
16.60 2 11/1/2008 12/1/2008
13.28 5 9/1/2005 1/1/2006
12.10 3 1/1/2004 3/1/2004
11.56 5 8/1/2010 12/1/2010
7.04 2 5/1/2005 6/1/2005
6.89 3 4/1/2010 6/1/2010
6.11 1 6/1/2008 6/1/2008
6.01 4 8/1/2009 11/1/2009
5.84 2 4/1/2006 5/1/2006
5.07 1 8/1/2011 8/1/2011
4.52 1 2/1/2007 2/1/2007
4.42 3 1/1/2005 3/1/2005
4.35 2 8/1/2012 9/1/2012
4.24 1 11/1/2012 11/1/2012
3.33 3 9/1/2003 11/1/2003
3.09 2 4/1/2009 5/1/2009
2.70 1 5/1/2003 5/1/2003
2.30 1 9/1/2002 9/1/2002
2.20 1 11/1/2004 11/1/2004
2.00 1 9/1/2004 9/1/2004
1.71 1 9/1/2014 9/1/2014
1.66 1 2/1/2010 2/1/2010
1.64 1 1/1/2015 1/1/2015
1.42 1 11/1/2006 11/1/2006
1.41 1 7/1/2006 7/1/2006
1.07 1 4/1/2008 4/1/2008
0.55 1 12/1/2015 12/1/2015
0.45 1 6/1/2014 6/1/2014
0.37 1 2/1/2013 2/1/2013
0.31 1 8/1/2013 8/1/2013
0.22 1 1/1/2014 1/1/2014
0.17 1 4/1/2013 4/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-19.20 11 9/1/2011 7/1/2012
-16.32 7 1/1/2011 7/1/2011
-12.98 3 10/1/2014 12/1/2014
-12.21 10 2/1/2015 11/1/2015
-9.73 4 7/1/2008 10/1/2008
-9.22 4 3/1/2007 6/1/2007
-8.40 3 8/1/2006 10/1/2006
-7.29 2 12/1/2006 1/1/2007
-6.77 3 6/1/2003 8/1/2003
-6.08 2 7/1/2005 8/1/2005
-6.08 5 4/1/2004 8/1/2004
-5.88 4 2/1/2014 5/1/2014
-5.80 3 1/1/2009 3/1/2009
-5.70 1 1/1/2002 1/1/2002
-5.65 2 7/1/2002 8/1/2002
-5.50 1 10/1/2002 10/1/2002
-4.52 2 6/1/2009 7/1/2009
-4.33 2 12/1/2012 1/1/2013
-4.25 2 2/1/2006 3/1/2006
-3.36 1 12/1/2004 12/1/2004
-3.06 1 6/1/2006 6/1/2006
-2.99 1 7/1/2010 7/1/2010
-2.91 1 3/1/2010 3/1/2010
-2.76 3 5/1/2013 7/1/2013
-2.66 4 9/1/2013 12/1/2013
-2.46 1 3/1/2008 3/1/2008
-2.39 2 3/1/2003 4/1/2003
-2.20 1 12/1/2003 12/1/2003
-1.99 1 10/1/2004 10/1/2004
-1.77 1 4/1/2005 4/1/2005
-1.61 1 5/1/2008 5/1/2008
-1.52 2 12/1/2009 1/1/2010
-0.80 2 1/1/2016 2/1/2016
-0.26 1 3/1/2013 3/1/2013
-0.13 1 10/1/2012 10/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods170.00168.00165.00159.00153.00147.00135.00123.00111.00
Percent Profitable42.9444.0545.4553.4652.2957.1456.3055.2864.86
Average Period Return0.371.272.083.794.395.408.2412.1015.30
Average Gain3.527.5311.5015.8219.3120.7529.2838.7937.24
Average Loss-2.05-3.67-5.77-10.04-11.96-15.08-18.85-20.89-25.21
Best Period28.2047.0051.49101.1296.3797.74102.39131.80104.22
Worst Period-5.90-12.98-16.30-20.70-27.07-25.60-31.84-41.05-47.11
Standard Deviation4.258.7612.5419.8021.9623.8828.9035.2333.79
Gain Standard Deviation4.669.7812.9319.8020.1020.1120.4623.0016.88
Loss Standard Deviation1.462.603.685.907.507.527.8411.9113.26
Sharpe Ratio (1%)0.070.120.130.140.130.140.180.230.30
Average Gain / Average Loss1.722.051.991.581.611.381.551.861.48
Profit / Loss Ratio1.321.621.661.811.771.842.002.302.73
Downside Deviation (10%)2.144.156.6711.0914.5717.4923.6629.7032.44
Downside Deviation (5%)1.933.515.368.5310.6312.2115.3518.4619.57
Downside Deviation (0%)1.883.365.057.939.7311.0113.4816.0416.84
Sortino Ratio (10%)-0.020.01-0.06-0.11-0.22-0.28-0.32-0.32-0.38
Sortino Ratio (5%)0.150.290.300.330.270.280.340.440.52
Sortino Ratio (0%)0.200.380.410.480.450.490.610.750.91

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 4 4.24 11/2012
Trend Following Strategy Index Month 7 3.57 8/2012
Trend Following Strategy Index Month 10 1.21 11/2010
Trend Following Strategy Index Month 9 2.12 10/2009
Trend Following Strategy Index Month 8 9.15 12/2008
Diversified Trader Index Month 10 9.15 12/2008
Trend Following Strategy Index Month 10 7.02 12/2007
Systematic Trader Index Month 7 4.52 2/2007
Trend Following Strategy Index Month 2 4.52 2/2007
Trend Following Strategy Index Month 3 1.41 7/2006
Diversified Trader Index Month 10 1.41 7/2006
Diversified Trader Index Month 10 5.00 5/2006
Systematic Trader Index Month 10 5.00 5/2006
Trend Following Strategy Index Month 8 5.00 5/2006
Trend Following Strategy Index Month 6 3.15 10/2005
Diversified Trader Index Month 6 3.15 10/2005
IASG CTA Index Month 10 3.15 10/2005
Systematic Trader Index Month 9 3.15 10/2005
Trend Following Strategy Index Month 10 6.23 6/2005
IASG CTA Index Month 8 1.57 1/2005
Systematic Trader Index Month 5 1.57 1/2005
Trend Following Strategy Index Month 1 1.57 1/2005
Diversified Trader Index Month 3 1.57 1/2005
Trend Following Strategy Index Month 9 -1.81 4/2004
Systematic Trader Index Month 8 6.31 3/2004
Diversified Trader Index Month 9 6.31 3/2004
Trend Following Strategy Index Month 7 6.31 3/2004
Trend Following Strategy Index Month 5 1.60 11/2003
Systematic Trader Index Month 9 1.60 11/2003
Trend Following Strategy Index Month 9 -0.40 6/2003
Systematic Trader Index Month 4 28.20 12/2002
Diversified Trader Index Month 4 28.20 12/2002
IASG CTA Index Sharpe 5 1.65 2001 - 2002
Trend Following Strategy Index Month 4 28.20 12/2002
IASG CTA Index Month 4 28.20 12/2002
IASG CTA Index Year Rolling 4 78.25 2001 - 2002
Trend Following Strategy Index Month 7 1.90 11/2002
Diversified Trader Index Month 8 1.90 11/2002
Systematic Trader Index Month 10 1.90 11/2002
IASG CTA Index Month 6 12.70 5/2002
Diversified Trader Index Month 5 12.70 5/2002
Trend Following Strategy Index Month 3 12.70 5/2002
Systematic Trader Index Month 3 12.70 5/2002
Trend Following Strategy Index Month 2 4.10 4/2002
IASG CTA Index Month 6 4.10 4/2002
Systematic Trader Index Month 4 4.10 4/2002
Diversified Trader Index Month 4 4.10 4/2002
IASG CTA Index Month 1 25.30 3/2002
Trend Following Strategy Index Month 1 25.30 3/2002
Systematic Trader Index Month 1 25.30 3/2002
Diversified Trader Index Month 1 25.30 3/2002
Trend Following Strategy Index Month 3 1.80 2/2002
Diversified Trader Index Month 3 1.80 2/2002
Systematic Trader Index Month 4 1.80 2/2002
IASG CTA Index Month 8 1.80 2/2002

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