Mobius Asset Management : MCR Trading Program (C)

Year-to-Date
1.88%
Oct Performance
0.90%
Min Investment
$ 150k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
3.84%
Sharpe (RFR=1%)
-0.97
CAROR
-
Assets
$ 1.5M
Worst DD
-6.32
S&P Correlation
-0.40

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
2/2019
MCR Trading Program (C) 0.90 0.70 -1.88 -1.45 - - - -4.80
S&P 500 -2.77 -0.04 1.21 7.65 - - - 17.43
+/- S&P 500 3.67 0.73 -3.09 -9.10 - - - -22.23

Strategy Description

Investment Strategy

The Mobius Asset Management MCR Trading Program is a fully discretionary trading program, based on both systematic trading models and fundamental analysis. Its key to enforce discipline and consistency. The primary objective of the trading program is to detect early trend... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 150k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission
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 2500 RT/YR/$M
Avg. Margin-to-Equity 7%
Targeted Worst DD
Worst Peak-to-Trough
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 100.00%
Systematic 0%

Strategy

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

Composition

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

Investment Strategy

The Mobius Asset Management MCR Trading Program is a fully discretionary trading program, based on both systematic trading models and fundamental analysis. Its key to enforce discipline and consistency. The primary objective of the trading program is to detect early trend development and to be positioned in the direction of the market. Market entry and exit signals are activated by a specific set of proprietary trading rules based on daily market data. The program is designed to exit losses quickly while allowing profits to accrue. The trading program was developed with a minimum investment of $150,000 in order to allow investors the opportunity to invest in a professional and highly disciplined non-traditional trading approach. Additional funds can be added in $150,000 increments. The commodities traded include future contracts including, financials, metals, grains, energies, livestock and softs. The trading manager views risk management as important as returns. In order to prescribe to the main parameters of the trading program the trading manager will continuously monitor the portfolio on a daily basis. Specific modeling tools will be enforced in order to minimize risk. Each trade is crucial for the success of the trading program but the main thrust is making money overall.

Risk Management

John McLane views risk management as important as returns. In order to maintain appropriate levels of risk and account volatility, the trading manager monitors the portfolio continuously throughout the course of each trading day. There is an attempt to anticipate sources of risk for each commodity and trade. Specific modeling tools are adapted to minimize risk and there are stop losses on every trade. Various profit objectives are used, depending on the commodity and the market in general. The trade itself is not necessarily so important, but making money is basic and the predominant goal.

   

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
-6.32 15 - 3/1/2019 6/1/2020
-0.31 1 1 1/1/0001 2/1/2019
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
1.60 1 7/1/2020 7/1/2020
1.51 2 5/1/2019 6/1/2019
1.19 1 9/1/2019 9/1/2019
0.99 2 2/1/2020 3/1/2020
0.90 1 10/1/2020 10/1/2020
0.79 1 3/1/2019 3/1/2019
0.47 1 12/1/2019 12/1/2019
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-3.75 2 10/1/2019 11/1/2019
-3.31 3 4/1/2020 6/1/2020
-1.58 1 4/1/2019 4/1/2019
-1.35 2 8/1/2020 9/1/2020
-1.21 2 7/1/2019 8/1/2019
-0.68 1 1/1/2020 1/1/2020
-0.31 1 2/1/2019 2/1/2019
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods21.0019.0016.0010.00
Percent Profitable42.8626.3212.500.00
Average Period Return-0.23-0.86-1.96-4.29
Average Gain0.830.660.14
Average Loss-1.02-1.40-2.26-4.29
Best Period1.601.380.26-2.43
Worst Period-2.30-3.43-3.85-6.33
Standard Deviation1.111.391.471.31
Gain Standard Deviation0.540.440.18
Loss Standard Deviation0.651.191.311.31
Sharpe Ratio (1%)-0.28-0.80-1.67-4.04
Average Gain / Average Loss0.810.470.06
Profit / Loss Ratio0.610.170.01
Downside Deviation (10%)1.182.494.659.37
Downside Deviation (5%)0.961.732.845.44
Downside Deviation (0%)0.911.562.424.47
Sortino Ratio (10%)-0.54-0.84-0.95-0.99
Sortino Ratio (5%)-0.32-0.64-0.87-0.97
Sortino Ratio (0%)-0.25-0.55-0.81-0.96

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.