Mobius Asset Management : MCR Trading Program (P) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 1.46% Dec Performance 2.80% Min Investment $ 150k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 9.08% Sharpe (RFR=1%) 0.82 CAROR 8.34% Assets $ 1.2M Worst DD -11.14 S&P Correlation -0.27 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 Dec Qtr 2020 1yr 3yr 5yr 10yr Since4/2013 MCR Trading Program (P) 2.80 3.10 -1.46 -1.54 10.18 40.72 - 65.42 S&P 500 3.71 11.69 16.26 16.26 40.48 81.90 - 132.72 +/- S&P 500 -0.91 -8.59 -17.72 -17.80 -30.30 -41.17 - -67.30 Strategy Description SummaryThe 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% 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% SummaryThe 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 StrategyThe 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 ManagementJohn 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. 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 -11.14 4 2 1/1/2014 5/1/2014 -7.77 18 - 3/1/2019 9/1/2020 -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 -1.59 1 1 3/1/2017 4/1/2017 -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 Show More 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 2.80 1 12/1/2020 12/1/2020 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 1.51 2 5/1/2019 6/1/2019 1.38 1 7/1/2018 7/1/2018 1.19 1 9/1/2019 9/1/2019 1.17 1 1/1/2017 1/1/2017 0.99 2 2/1/2020 3/1/2020 0.90 1 10/1/2020 10/1/2020 0.88 1 7/1/2020 7/1/2020 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 -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 -3.90 3 4/1/2020 6/1/2020 -3.75 2 10/1/2019 11/1/2019 -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 -1.79 2 8/1/2020 9/1/2020 -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 -1.21 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 -0.68 1 1/1/2020 1/1/2020 -0.62 1 7/1/2017 7/1/2017 -0.61 1 6/1/2018 6/1/2018 -0.60 1 11/1/2020 11/1/2020 -0.29 1 2/1/2017 2/1/2017 -0.23 1 8/1/2014 8/1/2014 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods93.0091.0088.0082.0076.0070.0058.0046.0034.00 Percent Profitable53.7663.7471.5981.7185.5388.57100.00100.00100.00 Average Period Return0.701.643.356.309.9213.7322.5431.4439.97 Average Gain2.473.465.358.2612.0915.8222.5431.4439.97 Average Loss-1.35-1.56-1.69-2.46-2.94-2.45 Best Period9.1615.4722.3125.7429.6429.6837.2251.7166.98 Worst Period-6.38-6.42-7.15-4.62-4.67-4.495.368.0821.21 Standard Deviation2.623.885.196.127.478.269.2211.1313.39 Gain Standard Deviation2.143.604.764.935.646.189.2211.1313.39 Loss Standard Deviation1.291.641.541.211.481.13 Sharpe Ratio (1%)0.240.360.550.871.131.422.122.462.60 Average Gain / Average Loss1.832.213.163.364.116.47 Profit / Loss Ratio2.133.897.9614.9924.3150.11 Downside Deviation (10%)1.481.972.463.414.394.663.663.611.85 Downside Deviation (5%)1.301.461.421.561.781.56 Downside Deviation (0%)1.261.351.211.171.240.90 Sortino Ratio (10%)0.200.210.360.380.530.751.852.746.66 Sortino Ratio (5%)0.480.952.013.394.727.54 Sortino Ratio (0%)0.561.212.775.408.0015.24 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. x {{title}} x {{title}} Add Cancel