Mobius Asset Management : Energy Weighted Program

archived programs
Year-to-Date
N / A
May Performance
-0.42%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
5.96%
Sharpe (RFR=1%)
0.19
CAROR
1.94%
Assets
$ 500k
Worst DD
-30.09
S&P Correlation
-0.08

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
1/2005
Energy Weighted Program -0.42 -0.78 - -7.82 -14.60 -24.20 -21.49 29.48
S&P 500 2.16 -0.32 - 11.04 27.07 64.22 91.20 127.76
+/- S&P 500 -2.58 -0.46 - -18.85 -41.68 -88.42 -112.69 -98.28

Strategy Description

Summary

The Mobius Asset Management Energy Weighted Trading Program is trend following and is based on several systematic technical methodologies. Trading decisions are driven by a proprietary multi-system approach that seeks to capture changes in short term and long-term price momentum. One... 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
1800 RT/YR/$M
Avg. Margin-to-Equity
8%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
0%
Sector Focus
Energy Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Energy
80.00%
Precious Metals
10.00%
Interest Rates
10.00%
Composition Pie Chart

Summary

The Mobius Asset Management Energy Weighted Trading Program is trend following and is based on several systematic technical methodologies. Trading decisions are driven by a proprietary multi-system approach that seeks to capture changes in short term and long-term price momentum. One of the significances of the program is its capacity to respond quickly to directional changes. The Program was developed with a minimum investment of $250,000 in order to give both individual and institutional investors the opportunity to invest in a professional and highly disciplined non-traditional trading approach. Additional funds can be added in $250,000 increments. The commodities currently traded in the Energy Weighted Program includes, Crude Oil, Heating Oil, Unleaded Gasoline, Natural Gas, Gold, Treasury Bonds and Treasury Notes. The advisor reserves the right to add and delete commodities when needed and without prior notice. A strict money management discipline is in place. The Mobius risk management overlay 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 stoploss price because they are determined by the Advisor's evaluation of historical market volatility and liquidity.

Investment Strategy

The Mobius Asset Management Energy Weighted Program is trend following and is based on a systematic trading methodology. Trading decisions are driven by a proprietary multi-system approach that seeks to capture changes in short-term and long-term price momentum. One of the significances of the program is its capacity to respond quickly to directional changes. A strict money management discipline is in place. Each commodity traded as specific entry and exit points along with stop levels for existing positions. These are updated daily.

   

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
-30.09 87 - 2/1/2011 5/1/2018
-7.70 6 3 9/1/2005 3/1/2006
-5.04 2 5 7/1/2006 9/1/2006
-4.52 5 3 6/1/2008 11/1/2008
-3.24 2 1 4/1/2007 6/1/2007
-2.84 3 2 12/1/2009 3/1/2010
-2.32 2 3 2/1/2009 4/1/2009
-2.21 1 2 7/1/2009 8/1/2009
-2.01 1 2 1/1/0001 1/1/2005
-1.56 1 5 6/1/2010 7/1/2010
-1.15 1 1 4/1/2005 5/1/2005
-0.48 1 1 4/1/2008 5/1/2008
-0.07 1 1 2/1/2007 3/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
31.62 10 7/1/2007 4/1/2008
14.61 4 4/1/2006 7/1/2006
13.82 4 6/1/2005 9/1/2005
8.05 4 9/1/2009 12/1/2009
7.67 3 2/1/2005 4/1/2005
6.28 3 12/1/2008 2/1/2009
5.50 5 10/1/2006 2/1/2007
5.27 3 4/1/2010 6/1/2010
3.45 2 12/1/2005 1/1/2006
2.65 1 4/1/2007 4/1/2007
2.27 3 12/1/2015 2/1/2016
2.22 1 9/1/2008 9/1/2008
1.95 5 10/1/2010 2/1/2011
1.87 1 5/1/2009 5/1/2009
1.84 1 7/1/2009 7/1/2009
1.66 1 8/1/2015 8/1/2015
1.55 2 4/1/2013 5/1/2013
1.42 1 3/1/2017 3/1/2017
1.21 1 8/1/2010 8/1/2010
1.14 2 8/1/2011 9/1/2011
1.10 1 10/1/2015 10/1/2015
0.87 4 8/1/2012 11/1/2012
0.83 1 6/1/2008 6/1/2008
0.61 1 6/1/2016 6/1/2016
0.50 1 12/1/2016 12/1/2016
0.26 1 2/1/2010 2/1/2010
0.24 1 10/1/2013 10/1/2013
0.23 2 3/1/2015 4/1/2015
0.23 1 5/1/2011 5/1/2011
0.22 1 8/1/2013 8/1/2013
0.15 1 2/1/2012 2/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.88 14 4/1/2017 5/1/2018
-9.39 16 11/1/2013 2/1/2015
-6.62 2 10/1/2005 11/1/2005
-5.60 5 7/1/2016 11/1/2016
-5.04 2 8/1/2006 9/1/2006
-4.45 2 2/1/2006 3/1/2006
-4.42 2 10/1/2008 11/1/2008
-3.58 4 10/1/2011 1/1/2012
-3.28 3 3/1/2016 5/1/2016
-3.24 2 5/1/2007 6/1/2007
-2.47 2 6/1/2013 7/1/2013
-2.32 2 3/1/2009 4/1/2009
-2.28 2 7/1/2008 8/1/2008
-2.27 2 6/1/2011 7/1/2011
-2.21 1 8/1/2009 8/1/2009
-2.01 1 1/1/2005 1/1/2005
-1.97 5 3/1/2012 7/1/2012
-1.68 1 1/1/2010 1/1/2010
-1.58 4 12/1/2012 3/1/2013
-1.56 1 7/1/2010 7/1/2010
-1.44 1 3/1/2010 3/1/2010
-1.26 2 1/1/2017 2/1/2017
-1.17 1 9/1/2013 9/1/2013
-1.15 1 5/1/2005 5/1/2005
-0.99 3 5/1/2015 7/1/2015
-0.89 1 9/1/2015 9/1/2015
-0.83 2 3/1/2011 4/1/2011
-0.48 1 5/1/2008 5/1/2008
-0.36 1 9/1/2010 9/1/2010
-0.25 1 11/1/2015 11/1/2015
-0.15 1 6/1/2009 6/1/2009
-0.07 1 3/1/2007 3/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods161.00159.00156.00150.00144.00138.00126.00114.00102.00
Percent Profitable44.7244.0348.7249.3345.1443.4846.8350.0049.02
Average Period Return0.180.571.132.193.675.138.419.8411.43
Average Gain1.613.505.479.4715.6621.6330.1533.9639.51
Average Loss-0.98-1.73-2.99-4.90-6.20-7.56-10.75-14.28-15.57
Best Period5.9312.4920.5732.0836.3844.9756.9468.6479.53
Worst Period-5.10-5.51-7.70-10.18-12.96-16.31-14.92-20.59-25.44
Standard Deviation1.723.485.609.2412.9016.4423.9929.1833.07
Gain Standard Deviation1.433.224.937.829.5811.0117.9322.6625.26
Loss Standard Deviation0.841.231.772.583.323.603.464.575.99
Sharpe Ratio (1%)0.050.090.110.130.170.190.220.200.19
Average Gain / Average Loss1.632.021.831.932.522.862.812.382.54
Profit / Loss Ratio1.321.591.741.882.082.202.472.382.44
Downside Deviation (10%)1.212.414.157.3910.5713.6919.8126.3832.18
Downside Deviation (5%)1.011.742.804.586.217.6810.3513.3615.37
Downside Deviation (0%)0.961.582.483.945.206.298.2310.5911.90
Sortino Ratio (10%)-0.19-0.27-0.32-0.38-0.37-0.37-0.37-0.44-0.50
Sortino Ratio (5%)0.090.190.230.260.350.410.520.430.41
Sortino Ratio (0%)0.180.360.460.560.700.821.020.930.96

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 3 4.03 7/2006
IASG CTA Index Month 9 4.03 7/2006
Systematic Trader Index Month 5 4.48 6/2006
IASG CTA Index Month 7 4.48 6/2006
Systematic Trader Index Month 9 2.22 4/2005

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