Mobius Asset Management : Diversified Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since3/2004 Diversified Program -1.20 - - - - -13.55 -32.78 -6.44 S&P 500 3.72 - - - - 73.07 67.99 260.45 +/- S&P 500 -4.92 - - - - -86.62 -100.76 -266.89 Strategy Description SummaryThe 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% 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% SummaryThe 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 CottonRisk ManagementThe 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%. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel