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Mobius Asset Management : MCR Trading Program (P)

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Year-to-Date
0.53%
Oct Performance
-1.60%
Min Investment
$ 150k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.57%
Sharpe (RFR=1%)
1.00
CAROR
10.58%
Assets
$ 2.3M
Worst DD
-11.14
S&P Correlation
-0.30
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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
4/2013
MCR Trading Program (P) -1.60 -0.83 -0.53 0.11 23.04 52.12 - 93.88
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 - 88.20
+/- S&P 500 -3.64 -2.75 -21.69 -11.90 -18.37 3.13 - 5.68

Strategy Description

Summary

The above performance table represents actual trading results. The account was charged a 2% Management Fee and 20% Incentive Fee. The commission rate was $7.50 round turn plus exchange fees. The trading results were based on a proprietary account. ... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 150k
Trading Level Incremental Increase
$ 150k
CTA Max Funding Factor
2.00
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

Summary

The above performance table represents actual trading results. The account was charged a 2% Management Fee and 20% Incentive Fee. The commission rate was $7.50 round turn plus exchange fees. The trading results were based on a proprietary account.

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.

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
-11.14 4 2 1/1/2014 5/1/2014
-6.37 5 4 9/1/2014 2/1/2015
-4.45 2 1 5/1/2013 7/1/2013
-3.69 3 2 9/1/2015 12/1/2015
-2.52 3 1 8/1/2017 11/1/2017
-1.80 1 3 11/1/2016 12/1/2016
-1.60 1 - 9/1/2019 10/1/2019
-1.59 1 1 3/1/2017 4/1/2017
-1.58 1 5 3/1/2019 4/1/2019
-1.49 3 1 2/1/2016 5/1/2016
-1.21 1 1 6/1/2016 7/1/2016
-1.09 1 2 7/1/2018 8/1/2018
-1.00 1 1 6/1/2015 7/1/2015
-0.90 1 1 8/1/2013 9/1/2013
-0.77 3 1 11/1/2018 2/1/2019
-0.62 1 1 6/1/2017 7/1/2017
-0.61 1 1 5/1/2018 6/1/2018
-0.23 1 1 7/1/2014 8/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
15.77 4 10/1/2013 1/1/2014
15.48 2 6/1/2014 7/1/2014
15.40 6 12/1/2017 5/1/2018
13.71 4 8/1/2016 11/1/2016
8.18 1 8/1/2013 8/1/2013
7.76 4 3/1/2015 6/1/2015
6.07 1 6/1/2016 6/1/2016
4.70 2 4/1/2013 5/1/2013
4.24 2 12/1/2014 1/1/2015
4.14 3 9/1/2018 11/1/2018
4.05 2 8/1/2015 9/1/2015
3.93 1 9/1/2014 9/1/2014
3.85 2 1/1/2016 2/1/2016
2.69 1 8/1/2017 8/1/2017
2.29 2 5/1/2017 6/1/2017
2.17 1 3/1/2017 3/1/2017
1.90 1 9/1/2019 9/1/2019
1.51 2 5/1/2019 6/1/2019
1.38 1 7/1/2018 7/1/2018
1.17 1 1/1/2017 1/1/2017
0.79 1 3/1/2019 3/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.14 4 2/1/2014 5/1/2014
-6.15 2 10/1/2014 11/1/2014
-4.45 2 6/1/2013 7/1/2013
-4.29 1 2/1/2015 2/1/2015
-3.69 3 10/1/2015 12/1/2015
-2.52 3 9/1/2017 11/1/2017
-1.80 1 12/1/2016 12/1/2016
-1.60 1 10/1/2019 10/1/2019
-1.59 1 4/1/2017 4/1/2017
-1.58 1 4/1/2019 4/1/2019
-1.49 3 3/1/2016 5/1/2016
-1.21 1 7/1/2016 7/1/2016
-1.10 2 7/1/2019 8/1/2019
-1.09 1 8/1/2018 8/1/2018
-1.00 1 7/1/2015 7/1/2015
-0.90 1 9/1/2013 9/1/2013
-0.77 3 12/1/2018 2/1/2019
-0.62 1 7/1/2017 7/1/2017
-0.61 1 6/1/2018 6/1/2018
-0.29 1 2/1/2017 2/1/2017
-0.23 1 8/1/2014 8/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods79.0077.0074.0068.0062.0056.0044.0032.00
Percent Profitable55.7072.7385.14100.00100.00100.00100.00100.00
Average Period Return0.882.665.5210.8017.0623.1537.5651.71
Average Gain2.684.556.8710.8017.0623.1537.5651.71
Average Loss-1.43-2.40-2.21
Best Period9.1616.0124.1227.3732.1239.3648.6770.86
Worst Period-6.38-7.77-8.480.113.477.1923.0435.50
Standard Deviation2.764.866.146.205.836.376.508.63
Gain Standard Deviation2.184.165.556.205.836.376.508.63
Loss Standard Deviation1.402.302.67
Sharpe Ratio (1%)0.290.500.821.582.673.325.315.52
Average Gain / Average Loss1.871.903.11
Profit / Loss Ratio2.425.0717.81
Downside Deviation (10%)1.512.242.151.080.680.47
Downside Deviation (5%)1.351.811.430.12
Downside Deviation (0%)1.311.721.30
Sortino Ratio (10%)0.310.641.425.3513.9827.42
Sortino Ratio (5%)0.591.333.5079.86
Sortino Ratio (0%)0.671.554.25

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.

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