Mobius Asset Management : MCR Trading Program (P)

Year-to-Date: 0.76%
Sep Performance: 1.90%

Min Investment: $ 150k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 11.84%
Sharpe (RFR=1%): 1.14
CAROR: 14.70%

Assets: $ 2.1M
Worst DD: -13.16
S&P Correlation: -0.32

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Growth of 1,000 - VAMI

Monthly Performance

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	Sep	Qtr	YTD	1yr	3yr	5yr	10yr	Since 4/2013
MCR Trading Program (P)	1.90	0.78	0.76	5.97	45.92	80.29	-	143.85
S&P 500	1.72	1.19	18.74	2.15	35.89	49.39	-	81.32
+/- S&P 500	0.18	-0.41	-17.97	3.83	10.03	30.90	-	62.54

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%

Summary

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.

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Index: Chart Type:

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:

Monthly Annual

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Risk
Standard Deviation:
Worst Loss:
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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:
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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
-13.16	4	2	1/1/2014	5/1/2014
-8.31	5	4	9/1/2014	2/1/2015
-4.83	3	2	9/1/2015	12/1/2015
-4.62	2	1	5/1/2013	7/1/2013
-3.55	3	1	8/1/2017	11/1/2017
-2.77	1	3	11/1/2016	12/1/2016
-2.33	1	1	3/1/2017	4/1/2017
-1.82	3	1	2/1/2016	5/1/2016
-1.80	5	5	11/1/2018	4/1/2019
-1.68	1	1	6/1/2016	7/1/2016
-1.54	1	2	7/1/2018	8/1/2018
-1.28	1	1	6/1/2015	7/1/2015
-0.96	1	1	8/1/2013	9/1/2013
-0.82	1	1	6/1/2017	7/1/2017
-0.82	1	1	5/1/2018	6/1/2018
-0.26	1	1	7/1/2014	8/1/2014

Consecutive Gains

Run-up	Length (Mos.)	Start	End
24.11	6	12/1/2017	5/1/2018
21.10	4	8/1/2016	11/1/2016
17.94	4	10/1/2013	1/1/2014
17.75	2	6/1/2014	7/1/2014
10.07	4	3/1/2015	6/1/2015
8.19	1	8/1/2013	8/1/2013
8.17	1	6/1/2016	6/1/2016
6.02	3	9/1/2018	11/1/2018
5.45	2	8/1/2015	9/1/2015
5.36	2	12/1/2014	1/1/2015
5.25	2	1/1/2016	2/1/2016
5.04	1	9/1/2014	9/1/2014
4.75	2	4/1/2013	5/1/2013
3.95	1	8/1/2017	8/1/2017
3.59	2	5/1/2017	6/1/2017
3.54	1	3/1/2017	3/1/2017
2.07	1	7/1/2018	7/1/2018
1.94	1	1/1/2017	1/1/2017
1.90	1	9/1/2019	9/1/2019
1.51	2	5/1/2019	6/1/2019
0.79	1	3/1/2019	3/1/2019
0.06	1	10/1/2017	10/1/2017

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-13.16	4	2/1/2014	5/1/2014
-7.87	2	10/1/2014	11/1/2014
-5.54	1	2/1/2015	2/1/2015
-4.83	3	10/1/2015	12/1/2015
-4.62	2	6/1/2013	7/1/2013
-2.77	1	12/1/2016	12/1/2016
-2.33	1	4/1/2017	4/1/2017
-2.28	1	9/1/2017	9/1/2017
-1.82	3	3/1/2016	5/1/2016
-1.68	1	7/1/2016	7/1/2016
-1.58	1	4/1/2019	4/1/2019
-1.54	1	8/1/2018	8/1/2018
-1.36	1	11/1/2017	11/1/2017
-1.28	1	7/1/2015	7/1/2015
-1.10	2	7/1/2019	8/1/2019
-1.01	3	12/1/2018	2/1/2019
-0.96	1	9/1/2013	9/1/2013
-0.82	1	6/1/2018	6/1/2018
-0.82	1	7/1/2017	7/1/2017
-0.39	1	2/1/2017	2/1/2017
-0.26	1	8/1/2014	8/1/2014

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	78.00	76.00	73.00	67.00	61.00	55.00	43.00	31.00
Percent Profitable	57.69	72.37	83.56	98.51	100.00	100.00	100.00	100.00
Average Period Return	1.21	3.63	7.57	15.38	24.71	34.02	57.37	79.99
Average Gain	3.40	6.13	9.55	15.62	24.71	34.02	57.37	79.99
Average Loss	-1.84	-2.92	-2.51	-0.43
Best Period	10.66	17.45	28.79	32.88	37.64	64.38	78.95	109.52
Worst Period	-7.88	-9.40	-9.97	-0.43	4.68	7.98	33.40	51.98
Standard Deviation	3.42	6.11	7.99	8.93	8.66	11.05	12.36	12.71
Gain Standard Deviation	2.56	5.07	7.10	8.78	8.66	11.05	12.36	12.71
Loss Standard Deviation	1.77	2.86	3.22
Sharpe Ratio (1%)	0.33	0.55	0.89	1.61	2.68	2.90	4.40	5.97
Average Gain / Average Loss	1.85	2.10	3.81	36.49
Profit / Loss Ratio	2.60	5.51	19.37	2408.43
Downside Deviation (10%)	1.82	2.63	2.42	0.81	0.39	0.31
Downside Deviation (5%)	1.66	2.22	1.75	0.17
Downside Deviation (0%)	1.62	2.12	1.61	0.05
Sortino Ratio (10%)	0.44	0.91	2.11	12.81	43.91	76.65
Sortino Ratio (5%)	0.68	1.53	4.05	82.43
Sortino Ratio (0%)	0.74	1.71	4.69	294.11

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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More Programs by Mobius Asset Management

Program Name	CAROR
MCR Trading Program (P)	14.70%
MCR Trading Program (C)	-

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Mobius Asset Management : MCR Trading Program (P)

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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