Mondiale Asset Management : Mondiale Leveraged Trading Program

archived programs
Year-to-Date
N / A
Nov Performance
2.00%
Min Investment
$ 0k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
12.37%
Sharpe (RFR=1%)
1.03
CAROR
13.82%
Assets
$ 62.0M
Worst DD
-14.68
S&P Correlation
0.30

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
9/1997
Mondiale Leveraged Trading Program 2.00 - - - - - - 231.18
S&P 500 1.65 - - - - - - 241.63
+/- S&P 500 0.35 - - - - - - -10.45

Strategy Description

Summary

-The investment objective of the Leveraged Trading Program is to seek superior long-run returns while maintaining low correlation to alternative and traditional investments. Mondiale employs a diversified, quantitative, momentum-based approach that is 100% systematic. The portfolio... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 0k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 0%
Average Commission $0
Available to US Investors

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-The investment objective of the Leveraged Trading Program is to seek superior long-run returns while maintaining low correlation to alternative and traditional investments. Mondiale employs a diversified, quantitative, momentum-based approach that is 100% systematic. The portfolio consists of global equity indices and fixed income, with long, short or neutral positions adopted on a short-term basis. The hallmarks of Mondiale's disciplined investment approach are: Systematic. Quantitative trading strategies remove discretion and emotion from the investment process. Computer-driven trading rules monitor global markets on a 24-hour, tick-by-tick basis. Momentum-based. Mondiale does not predict the direction of financial markets. Rather, our trading rules react to the marketâ??s momentum, initiating long positions as the market trends higher and allocating to cash or short positions as the market sells off. Short Duration Trades. Mondialeâ??s strategies are designed to profit from short-term market trends, with the average hold period being approximately 3 days. However, hold periods differ across strategies, and may be as short as several hours or as long as several weeks. Focus on Equity Indices. Mondiale trades multiple strategies across global equity indices, with a smaller allocation to fixed income.

   

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
-14.68 10 5 12/1/1998 10/1/1999
-10.80 2 4 6/1/2001 8/1/2001
-10.60 7 4 8/1/2002 3/1/2003
-10.41 2 2 3/1/2002 5/1/2002
-8.40 14 18 2/1/2004 4/1/2005
-4.57 2 1 12/1/2001 2/1/2002
-4.26 1 2 1/1/2001 2/1/2001
-2.40 1 1 8/1/2000 9/1/2000
-2.06 1 3 4/1/1998 5/1/1998
-1.32 1 1 8/1/2003 9/1/2003
-0.09 1 1 5/1/2000 6/1/2000
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
36.72 8 9/1/1997 4/1/1998
35.87 6 7/1/1998 12/1/1998
27.77 7 11/1/1999 5/1/2000
22.21 4 10/1/2000 1/1/2001
20.09 5 4/1/2003 8/1/2003
13.93 3 6/1/2002 8/1/2002
12.21 5 10/1/2003 2/1/2004
8.73 2 11/1/2001 12/1/2001
7.06 4 3/1/2001 6/1/2001
6.82 1 9/1/2001 9/1/2001
5.87 2 7/1/2000 8/1/2000
5.82 3 10/1/2004 12/1/2004
5.54 1 3/1/2002 3/1/2002
4.63 3 5/1/2005 7/1/2005
4.57 1 1/1/2006 1/1/2006
4.15 2 10/1/2002 11/1/2002
3.70 2 5/1/2006 6/1/2006
3.69 3 9/1/2006 11/1/2006
3.15 1 4/1/1999 4/1/1999
2.09 1 11/1/2005 11/1/2005
1.70 1 3/1/2006 3/1/2006
0.56 1 2/1/2005 2/1/2005
0.28 1 9/1/2005 9/1/2005
0.01 1 6/1/2004 6/1/2004
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-11.30 3 1/1/1999 3/1/1999
-10.80 2 7/1/2001 8/1/2001
-10.41 2 4/1/2002 5/1/2002
-9.66 4 12/1/2002 3/1/2003
-6.74 6 5/1/1999 10/1/1999
-4.99 1 9/1/2002 9/1/2002
-4.96 3 7/1/2004 9/1/2004
-4.57 2 1/1/2002 2/1/2002
-4.26 1 2/1/2001 2/1/2001
-3.99 1 1/1/2005 1/1/2005
-3.45 1 8/1/2005 8/1/2005
-3.25 2 3/1/2005 4/1/2005
-2.50 3 3/1/2004 5/1/2004
-2.40 1 9/1/2000 9/1/2000
-2.06 2 5/1/1998 6/1/1998
-1.77 1 4/1/2006 4/1/2006
-1.73 1 2/1/2006 2/1/2006
-1.32 1 9/1/2003 9/1/2003
-1.12 1 12/1/2005 12/1/2005
-0.78 2 7/1/2006 8/1/2006
-0.43 1 10/1/2001 10/1/2001
-0.16 1 10/1/2005 10/1/2005
-0.09 1 6/1/2000 6/1/2000
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods111.00109.00106.00100.0094.0088.0076.0064.0052.00
Percent Profitable61.2662.3969.8178.0087.2389.77100.00100.00100.00
Average Period Return1.153.406.8013.3618.8125.3842.9556.8974.07
Average Gain3.267.4211.6018.5322.0528.5042.9556.8974.07
Average Loss-2.25-3.28-4.31-4.98-3.37-2.03
Best Period14.0924.0735.8759.2466.7363.01109.78134.31171.97
Worst Period-6.53-11.30-10.58-10.79-7.46-4.827.3714.2922.14
Standard Deviation3.577.0710.6016.5117.9319.0627.6534.3335.89
Gain Standard Deviation2.655.699.0115.0116.8717.5727.6534.3335.89
Loss Standard Deviation1.872.732.592.762.481.49
Sharpe Ratio (1%)0.300.450.590.750.971.231.441.541.92
Average Gain / Average Loss1.452.262.693.726.5514.06
Profit / Loss Ratio2.353.756.2313.1944.75123.44
Downside Deviation (10%)1.993.234.014.954.524.851.711.341.04
Downside Deviation (5%)1.832.722.993.081.951.38
Downside Deviation (0%)1.792.602.752.661.470.79
Sortino Ratio (10%)0.370.671.081.692.483.1215.9026.2844.81
Sortino Ratio (5%)0.581.162.114.018.8916.90
Sortino Ratio (0%)0.641.302.475.0312.7832.19

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.