Mobius Asset Management : Diversified Program

archived programs
Year-to-Date
N / A
Feb Performance
-1.20%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.00%
Sharpe (RFR=1%)
-0.12
CAROR
-0.51%
Assets
$ 1.5M
Worst DD
-33.06
S&P Correlation
-0.07

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
3/2004
Diversified Program -1.20 -5.02 - -16.27 -24.19 -31.97 -10.44 -6.44
S&P 500 3.72 7.50 - 22.33 27.11 73.07 67.99 109.84
+/- S&P 500 -4.92 -12.52 - -38.60 -51.31 -105.04 -78.43 -116.28

Strategy Description

Summary

The Mobius Diversified Trading Program is a diversified trading program both by products and trading methods. The Diversified Trading Program is technical and systematic. The Diversified Trading Program relies on multiple systems combining long term trend following and counter trend... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
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
No
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
3000 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
80.00%
1-30 Days
10.00%
Intraday
10.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
40.00%
Trend-following
60.00%
Strategy Pie Chart

Composition

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

Summary

The Mobius Diversified Trading Program is a diversified trading program both by products and trading methods. The Diversified Trading Program is technical and systematic. The Diversified Trading Program relies on multiple systems combining long term trend following and counter trend methodologies together with short term systems that blends short term trading methodologies of Commodity and Financial sectors. The Program employs a proprietary risk management overlay that monitors position size (number of contracts and commodities) based on market volatility. Each position's risk management parameters are updated daily and intra-day to monitor volatility within the total portfolio. Markets traded: Gold, Silver, Platinum, Copper, Treasury Bonds, Treasury Notes, Eurodollars, Euro Currency, J-Yen, S-Franc, B-Pound, Stock Index - Mini's, Crude Oil, Unleaded Gas, Natural Gas, Soybeans, Soybean Oil, Corn, Wheat, Sugar, Coffee, Cocoa, and Cotton

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
-33.06 73 - 1/1/2011 2/1/2017
-12.63 7 8 3/1/2004 10/1/2004
-11.47 3 8 6/1/2005 9/1/2005
-9.12 11 3 7/1/2006 6/1/2007
-4.57 3 6 8/1/2008 11/1/2008
-4.31 2 2 2/1/2008 4/1/2008
-2.66 3 3 12/1/2009 3/1/2010
-1.98 1 6 6/1/2010 7/1/2010
-1.60 1 1 6/1/2008 7/1/2008
-1.43 1 1 5/1/2006 6/1/2006
-0.78 1 1 5/1/2009 6/1/2009
-0.32 1 2 8/1/2009 9/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
30.26 8 7/1/2007 2/1/2008
15.84 3 3/1/2006 5/1/2006
12.55 3 1/1/2005 3/1/2005
10.21 1 12/1/2005 12/1/2005
9.39 1 6/1/2005 6/1/2005
5.77 3 4/1/2010 6/1/2010
5.66 1 11/1/2004 11/1/2004
5.27 2 5/1/2008 6/1/2008
3.91 1 2/1/2007 2/1/2007
3.63 2 12/1/2008 1/1/2009
3.38 1 10/1/2005 10/1/2005
3.09 2 7/1/2009 8/1/2009
2.66 3 10/1/2009 12/1/2009
2.16 1 5/1/2009 5/1/2009
2.03 1 11/1/2014 11/1/2014
1.94 2 12/1/2010 1/1/2011
1.90 1 12/1/2006 12/1/2006
1.79 1 8/1/2008 8/1/2008
1.78 1 7/1/2006 7/1/2006
1.55 2 7/1/2011 8/1/2011
1.49 1 5/1/2004 5/1/2004
1.20 3 5/1/2014 7/1/2014
1.04 1 5/1/2013 5/1/2013
0.82 1 8/1/2010 8/1/2010
0.78 1 10/1/2010 10/1/2010
0.67 1 3/1/2004 3/1/2004
0.49 2 5/1/2012 6/1/2012
0.43 1 2/1/2013 2/1/2013
0.41 1 3/1/2015 3/1/2015
0.30 1 3/1/2009 3/1/2009
0.25 1 8/1/2012 8/1/2012
0.25 1 11/1/2015 11/1/2015
0.24 1 9/1/2014 9/1/2014
0.21 2 10/1/2012 11/1/2012
0.14 1 2/1/2010 2/1/2010
0.14 1 6/1/2016 6/1/2016
0.07 1 3/1/2012 3/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.57 11 6/1/2013 4/1/2014
-11.47 3 7/1/2005 9/1/2005
-11.31 8 7/1/2016 2/1/2017
-11.02 5 6/1/2004 10/1/2004
-9.15 2 1/1/2006 2/1/2006
-8.54 6 12/1/2015 5/1/2016
-8.11 4 8/1/2006 11/1/2006
-6.50 4 3/1/2007 6/1/2007
-5.19 1 12/1/2004 12/1/2004
-4.84 7 4/1/2015 10/1/2015
-4.57 3 9/1/2008 11/1/2008
-4.33 2 4/1/2005 5/1/2005
-4.31 2 3/1/2008 4/1/2008
-3.25 1 4/1/2004 4/1/2004
-2.75 1 11/1/2005 11/1/2005
-2.71 3 12/1/2014 2/1/2015
-2.38 5 2/1/2011 6/1/2011
-2.29 1 1/1/2010 1/1/2010
-1.98 1 7/1/2010 7/1/2010
-1.60 1 7/1/2008 7/1/2008
-1.43 1 6/1/2006 6/1/2006
-1.00 1 4/1/2009 4/1/2009
-0.83 1 10/1/2014 10/1/2014
-0.79 2 12/1/2012 1/1/2013
-0.78 1 6/1/2009 6/1/2009
-0.74 6 9/1/2011 2/1/2012
-0.55 2 3/1/2013 4/1/2013
-0.52 1 3/1/2010 3/1/2010
-0.50 1 9/1/2010 9/1/2010
-0.38 1 7/1/2012 7/1/2012
-0.32 1 9/1/2009 9/1/2009
-0.30 1 9/1/2012 9/1/2012
-0.23 1 4/1/2012 4/1/2012
-0.20 1 11/1/2010 11/1/2010
-0.10 1 8/1/2014 8/1/2014
-0.10 1 2/1/2009 2/1/2009
-0.10 1 1/1/2007 1/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods156.00154.00151.00145.00139.00133.00121.00109.0097.00
Percent Profitable39.1042.2144.3746.9053.2458.6562.8160.5560.82
Average Period Return-0.010.020.181.011.903.266.239.6512.35
Average Gain2.123.654.988.1510.2312.7518.5725.9330.13
Average Loss-1.42-2.64-3.64-5.29-7.58-10.20-14.60-15.35-15.26
Best Period10.2120.4828.3531.2129.2337.5943.0044.5352.83
Worst Period-7.07-11.47-9.70-16.47-19.80-22.30-24.67-31.80-31.97
Standard Deviation2.604.596.509.2011.3213.9019.2823.2425.79
Gain Standard Deviation2.604.576.617.788.189.5712.6713.0715.06
Loss Standard Deviation1.402.132.874.605.315.195.778.249.11
Sharpe Ratio (1%)-0.04-0.05-0.050.000.040.090.170.240.28
Average Gain / Average Loss1.491.381.371.541.351.251.271.691.97
Profit / Loss Ratio0.991.011.091.361.541.772.152.593.07
Downside Deviation (10%)1.773.375.098.3211.2113.9319.5724.4228.63
Downside Deviation (5%)1.582.723.755.677.198.5311.3113.2313.95
Downside Deviation (0%)1.532.573.455.096.317.359.5610.9211.08
Sortino Ratio (10%)-0.24-0.36-0.45-0.48-0.51-0.50-0.49-0.49-0.53
Sortino Ratio (5%)-0.06-0.09-0.080.000.060.150.280.420.52
Sortino Ratio (0%)-0.010.010.050.200.300.440.650.881.11

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 2 8.99 8/2007
Diversified Trader Index Month 4 8.99 8/2007
Systematic Trader Index Month 6 8.99 8/2007
IASG CTA Index Month 8 8.99 8/2007
Systematic Trader Index Month 10 3.91 2/2007
Trend Following Strategy Index Month 3 3.91 2/2007
Trend Following Strategy Index Month 2 1.78 7/2006
Diversified Trader Index Month 9 1.78 7/2006
Systematic Trader Index Month 10 1.78 7/2006
IASG CTA Index Month 6 6.68 5/2006
Trend Following Strategy Index Month 4 6.68 5/2006
Systematic Trader Index Month 5 6.68 5/2006
Diversified Trader Index Month 5 6.68 5/2006
Diversified Trader Index Month 5 10.21 12/2005
Trend Following Strategy Index Month 3 10.21 12/2005
Systematic Trader Index Month 3 10.21 12/2005
IASG CTA Index Month 6 10.21 12/2005
Systematic Trader Index Month 7 3.38 10/2005
IASG CTA Index Month 8 3.38 10/2005
Trend Following Strategy Index Month 5 3.38 10/2005
Diversified Trader Index Month 5 3.38 10/2005
Diversified Trader Index Month 5 9.39 6/2005
Trend Following Strategy Index Month 5 9.39 6/2005
Systematic Trader Index Month 5 9.39 6/2005
IASG CTA Index Month 8 9.39 6/2005
Diversified Trader Index Month 8 8.49 2/2005
IASG CTA Index Month 9 8.49 2/2005
Systematic Trader Index Month 5 8.49 2/2005
Trend Following Strategy Index Month 5 8.49 2/2005
Trend Following Strategy Index Month 3 0.07 1/2005
Diversified Trader Index Month 9 0.07 1/2005

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