Mondiale Asset Management : Mondiale Trading Program

Closed to new investments
Year-to-Date
0.64%
Jan Performance
0.64%
Min Investment
$ 25,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
6.25%
Sharpe (RFR=1%)
0.83
CAROR
6.15%
Assets
$ 547.7M
Worst DD
-10.20
S&P Correlation
0.23

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
9/1997
Mondiale Trading Program 0.64 2.96 0.64 1.72 8.76 32.27 28.80 218.72
S&P 500 1.79 7.18 1.79 17.45 27.84 73.64 58.42 140.53
+/- S&P 500 -1.15 -4.22 -1.15 -15.73 -19.09 -41.37 -29.62 78.19

Strategy Description

Summary

Mondiale employs a disciplined investment approach that is:

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.

Short Duration... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 25,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Redemption Frequency
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
6000 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
N/A
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
100.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
10.00%
Momentum
45.00%
Pattern Recognition
45.00%
Strategy Pie Chart

Composition

Summary

Mondiale employs a disciplined investment approach that is:

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.

Short Duration Trades. Mondiale's strategies are designed to profit from short-term market trends, with the average hold period being approximately 1 day. However, hold periods differ across strategies, and may be as short as several hours or as long as several weeks.

Dynamic Portfolio Allocation. Mondiale's portfolio allocation process dynamically determines appropriate parameter, strategy and market exposures for the current market environment on a week-by-week basis. Historical portfolio allocation decisions are made out-of-sample, ensuring real-time robustness. The process is designed to weed out underperforming strategy combinations and construct well-diversified portfolios.

Mondiale seeks diversification in three ways: (i) by trading a variety of markets on a global basis; (ii) by trading an assortment of distinct statistical pattern recognition, momentum-based, counter-trend and intraday strategies on each market and (iii) by trading each strategy with a range of sensitivities and parameters.

Investment Strategy

Mondiale's investment strategies are rooted in the rigorous statistical analysis of trading model performance against historical data. Mondiale employs proprietary quantitative strategies that have been (1) developed around research hypotheses, (2) validated by historical back-testing, and (3) meticulously programmed to facilitate systematic computer-driven implementation. This investment methodology removes the significant human risk associated with non-systematic, discretionary investment decisions that might otherwise be made by individual managers.

Risk Management

Importantly, capital preservation and systematic risk management are integral to the trading model. All trades are allowed a predetermined maximum loss and when a position crosses this loss threshold, it is immediately closed out. In contrast, profitable positions are allowed to grow and are maintained until a change in the price trend is identified. Entering and exiting markets on a short-term basis in this fashion alters the dynamics of a portfolio's risk.

   

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
-10.20 34 32 5/1/2007 3/1/2010
-5.76 10 4 12/1/1998 10/1/1999
-5.50 2 3 6/1/2001 8/1/2001
-5.43 6 5 8/1/2002 2/1/2003
-4.57 5 5 4/1/2014 9/1/2014
-4.34 2 2 3/1/2002 5/1/2002
-4.13 6 3 3/1/2004 9/1/2004
-3.62 4 2 2/1/2015 6/1/2015
-3.46 7 - 8/1/2015 3/1/2016
-3.28 4 3 12/1/2004 4/1/2005
-1.97 2 1 12/1/2001 2/1/2002
-1.91 1 3 7/1/2005 8/1/2005
-1.86 1 2 4/1/2013 5/1/2013
-1.73 1 2 1/1/2001 2/1/2001
-1.16 2 1 1/1/2013 3/1/2013
-1.00 1 1 8/1/2000 9/1/2000
-0.97 2 1 3/1/2006 5/1/2006
-0.56 1 1 1/1/2006 2/1/2006
-0.54 1 1 8/1/2013 9/1/2013
-0.45 1 1 11/1/2005 12/1/2005
-0.33 1 1 5/1/1998 6/1/1998
-0.22 1 1 5/1/2000 6/1/2000
-0.17 1 1 10/1/1997 11/1/1997
-0.14 1 1 8/1/2003 9/1/2003
-0.11 1 1 2/1/2007 3/1/2007
-0.01 1 1 7/1/2006 8/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
18.72 7 11/1/1999 5/1/2000
18.13 6 12/1/1997 5/1/1998
16.44 6 7/1/1998 12/1/1998
14.19 7 10/1/2013 4/1/2014
14.12 4 10/1/2000 1/1/2001
8.96 3 6/1/2002 8/1/2002
8.75 6 3/1/2003 8/1/2003
7.89 3 5/1/2012 7/1/2012
7.20 3 11/1/2012 1/1/2013
5.44 6 10/1/2003 3/1/2004
5.17 6 9/1/2006 2/1/2007
5.04 4 3/1/2001 6/1/2001
5.03 2 8/1/2011 9/1/2011
4.97 2 11/1/2001 12/1/2001
4.58 2 7/1/2015 8/1/2015
4.57 3 10/1/2004 12/1/2004
4.47 1 9/1/2001 9/1/2001
4.03 1 5/1/2009 5/1/2009
3.98 1 1/1/2006 1/1/2006
3.92 1 4/1/2013 4/1/2013
3.82 3 5/1/2005 7/1/2005
3.37 2 7/1/2000 8/1/2000
3.18 3 6/1/2013 8/1/2013
3.05 3 12/1/2014 2/1/2015
2.99 1 3/1/2002 3/1/2002
2.96 3 11/1/2016 1/1/2017
2.93 2 9/1/1997 10/1/1997
2.88 2 11/1/2010 12/1/2010
2.81 1 7/1/2010 7/1/2010
2.54 2 6/1/2006 7/1/2006
2.46 2 4/1/2010 5/1/2010
2.43 1 4/1/2011 4/1/2011
2.34 2 4/1/2007 5/1/2007
2.29 1 10/1/2014 10/1/2014
2.24 2 9/1/2007 10/1/2007
2.11 3 9/1/2005 11/1/2005
2.10 2 10/1/2002 11/1/2002
1.76 1 4/1/1999 4/1/1999
1.71 1 7/1/2016 7/1/2016
1.48 1 9/1/2012 9/1/2012
1.41 1 3/1/2006 3/1/2006
1.24 2 7/1/2009 8/1/2009
1.24 1 3/1/2009 3/1/2009
1.08 1 4/1/2016 4/1/2016
1.06 1 6/1/1999 6/1/1999
0.88 1 9/1/2016 9/1/2016
0.80 1 2/1/2005 2/1/2005
0.75 1 10/1/2015 10/1/2015
0.72 1 12/1/2007 12/1/2007
0.60 1 2/1/2011 2/1/2011
0.42 1 11/1/2009 11/1/2009
0.31 1 7/1/2014 7/1/2014
0.20 1 9/1/2010 9/1/2010
0.11 1 4/1/2015 4/1/2015
0.06 1 6/1/2004 6/1/2004
0.03 1 12/1/2015 12/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.20 7 10/1/2011 4/1/2012
-5.50 2 7/1/2001 8/1/2001
-5.36 14 1/1/2008 2/1/2009
-5.10 3 12/1/2002 2/1/2003
-4.91 4 12/1/2009 3/1/2010
-4.49 4 7/1/1999 10/1/1999
-4.34 2 4/1/2002 5/1/2002
-4.12 1 11/1/2007 11/1/2007
-3.93 3 1/1/1999 3/1/1999
-3.75 2 8/1/2014 9/1/2014
-2.74 2 5/1/2015 6/1/2015
-2.72 1 3/1/2011 3/1/2011
-2.55 1 1/1/2005 1/1/2005
-2.53 3 7/1/2004 9/1/2004
-2.40 1 9/1/2002 9/1/2002
-2.29 3 6/1/2007 8/1/2007
-2.11 1 9/1/2015 9/1/2015
-2.04 3 1/1/2016 3/1/2016
-2.02 1 1/1/2011 1/1/2011
-1.97 2 1/1/2002 2/1/2002
-1.91 1 8/1/2005 8/1/2005
-1.86 1 5/1/2013 5/1/2013
-1.85 1 10/1/2012 10/1/2012
-1.73 1 2/1/2001 2/1/2001
-1.70 2 4/1/2004 5/1/2004
-1.59 1 8/1/2016 8/1/2016
-1.55 1 6/1/2009 6/1/2009
-1.54 2 3/1/2005 4/1/2005
-1.43 1 10/1/2010 10/1/2010
-1.18 1 10/1/2016 10/1/2016
-1.17 2 5/1/2014 6/1/2014
-1.16 2 2/1/2013 3/1/2013
-1.07 2 9/1/2009 10/1/2009
-1.02 1 3/1/2015 3/1/2015
-1.00 1 9/1/2000 9/1/2000
-0.97 2 4/1/2006 5/1/2006
-0.86 3 5/1/2011 7/1/2011
-0.82 1 4/1/2009 4/1/2009
-0.82 2 5/1/2016 6/1/2016
-0.79 1 10/1/2001 10/1/2001
-0.56 1 2/1/2006 2/1/2006
-0.54 1 9/1/2013 9/1/2013
-0.45 1 12/1/2005 12/1/2005
-0.44 1 8/1/2012 8/1/2012
-0.39 1 8/1/2010 8/1/2010
-0.33 1 6/1/1998 6/1/1998
-0.24 1 11/1/2014 11/1/2014
-0.22 1 6/1/2000 6/1/2000
-0.20 1 6/1/2010 6/1/2010
-0.17 1 11/1/1997 11/1/1997
-0.14 1 9/1/2003 9/1/2003
-0.12 1 5/1/1999 5/1/1999
-0.11 1 11/1/2015 11/1/2015
-0.11 1 3/1/2007 3/1/2007
-0.01 1 8/1/2006 8/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods233.00231.00228.00222.00216.00210.00198.00186.00174.00
Percent Profitable55.3661.9068.4276.1380.0984.2990.9190.3295.40
Average Period Return0.511.543.086.028.9111.9218.5023.6027.90
Average Gain1.723.465.498.6211.7514.6420.7526.4229.42
Average Loss-1.11-1.77-2.38-2.33-2.50-2.64-4.02-2.71-3.71
Best Period6.6712.7818.1332.6140.1741.7769.6086.19105.09
Worst Period-4.57-7.84-7.84-7.94-8.23-7.08-8.35-6.33-7.08
Standard Deviation1.803.455.198.0210.0411.8616.8720.2822.63
Gain Standard Deviation1.382.864.407.379.1510.9116.0119.3022.05
Loss Standard Deviation0.941.481.762.322.542.033.092.131.78
Sharpe Ratio (1%)0.240.380.500.630.740.840.920.961.01
Average Gain / Average Loss1.551.952.303.704.705.555.179.737.93
Profit / Loss Ratio2.183.585.5312.0318.9029.7751.6890.84164.50
Downside Deviation (10%)1.121.982.854.105.296.358.3110.8413.29
Downside Deviation (5%)0.951.451.801.962.122.022.352.302.14
Downside Deviation (0%)0.911.341.581.581.581.311.511.060.87
Sortino Ratio (10%)0.100.160.210.250.250.260.330.190.02
Sortino Ratio (5%)0.450.891.432.553.494.906.588.4910.63
Sortino Ratio (0%)0.571.151.953.805.649.0812.2422.2332.00

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 7 2.22 6/2006
IASG CTA Index Sharpe 10 1.58 2002 - 2003
Diversified Trader Index Month 10 0.79 6/2003
Diversified Trader Index Month 5 0.27 3/2003
IASG CTA Index Sharpe 7 1.51 2001 - 2002
Diversified Trader Index Month 10 1.38 11/2002
Diversified Trader Index Month 5 0.71 10/2002
Systematic Trader Index Month 5 0.71 10/2002
IASG CTA Index Sharpe 4 1.97 2000 - 2001
IASG CTA Index Month 4 3.04 11/2001
Diversified Trader Index Month 1 3.04 11/2001
Systematic Trader Index Month 2 3.04 11/2001
Diversified Trader Index Month 5 2.20 4/2001
Systematic Trader Index Month 6 2.20 4/2001
IASG CTA Index Month 9 2.20 4/2001
IASG CTA Index Sharpe 5 2.32 1999 - 2000
Systematic Trader Index Month 10 4.34 10/2000
Systematic Trader Index Month 9 1.15 7/2000
Diversified Trader Index Month 7 1.15 7/2000
Diversified Trader Index Month 7 4.11 4/2000
IASG CTA Index Month 8 4.11 4/2000
Systematic Trader Index Month 8 4.11 4/2000
Systematic Trader Index Month 7 3.36 3/2000
Diversified Trader Index Month 4 3.36 3/2000
IASG CTA Index Month 8 3.36 3/2000
Diversified Trader Index Month 10 4.44 2/2000
Systematic Trader Index Month 9 4.44 2/2000
IASG CTA Index Sharpe 6 1.76 1998 - 1999
Systematic Trader Index Month 7 -0.39 10/1999
IASG CTA Index Month 9 -0.39 10/1999
Diversified Trader Index Month 3 -0.39 10/1999
IASG CTA Index Sharpe 2 3.62 1997 - 1998
IASG CTA Index Month 2 6.67 10/1998
Systematic Trader Index Month 2 6.67 10/1998
Diversified Trader Index Month 2 6.67 10/1998
Diversified Trader Index Month 3 1.18 4/1998
Systematic Trader Index Month 4 1.18 4/1998
IASG CTA Index Month 8 1.18 4/1998
Diversified Trader Index Month 3 5.02 2/1998
IASG CTA Index Month 4 5.02 2/1998
Systematic Trader Index Month 3 5.02 2/1998
IASG CTA Index Sharpe 2 3.25 1996 - 1997
IASG CTA Index Month 9 0.82 10/1997
Systematic Trader Index Month 8 0.82 10/1997
Diversified Trader Index Month 7 0.82 10/1997

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.