NDX Capital Management : Methuselah Program

archived programs
Year-to-Date
N / A
Jun Performance
0.00%
Min Investment
$ 40k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.01%
Sharpe (RFR=1%)
0.23
CAROR
3.32%
Assets
$ 0k
Worst DD
-29.40
S&P Correlation
0.22

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
6/2007
Methuselah Program 0.00 - - - - - -0.60 14.28
S&P 500 -1.83 - - - - - 7.86 130.43
+/- S&P 500 1.83 - - - - - -8.46 -116.15

Strategy Description

Summary

The Methuselah program utilizes an automated trading system that is designed to profit from daily volatility in the four main e-mini index products (Nasdaq, S&P500, Russell and Dow) and the electronic U.S. 30 year bond product, with a short- to medium-term trading timeframe. Hedged... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 40k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $25.00
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 1000 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Methuselah program utilizes an automated trading system that is designed to profit from daily volatility in the four main e-mini index products (Nasdaq, S&P500, Russell and Dow) and the electronic U.S. 30 year bond product, with a short- to medium-term trading timeframe. Hedged option strategies may also be employed on longer-term signals generated by this program. A variety of proprietary indicators are utilized for precise entries and exits, with system stops built in.

   

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
-29.40 31 - 5/1/2008 12/1/2010
-6.13 2 3 8/1/2007 10/1/2007
-1.20 1 1 3/1/2008 4/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
30.52 3 6/1/2007 8/1/2007
23.92 5 11/1/2007 3/1/2008
7.91 1 5/1/2008 5/1/2008
5.58 1 8/1/2008 8/1/2008
1.89 3 4/1/2009 6/1/2009
1.70 1 12/1/2008 12/1/2008
0.49 1 9/1/2009 9/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.02 21 10/1/2009 6/1/2011
-10.88 3 9/1/2008 11/1/2008
-9.78 3 1/1/2009 3/1/2009
-6.13 2 9/1/2007 10/1/2007
-6.08 2 6/1/2008 7/1/2008
-1.20 1 4/1/2008 4/1/2008
-1.10 2 7/1/2009 8/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods49.0047.0044.0038.0032.0026.0014.00
Percent Profitable30.6127.6627.2721.0525.0026.9221.43
Average Period Return0.350.770.33-2.08-6.81-9.14-12.20
Average Gain4.5110.3816.0027.9115.1913.068.55
Average Loss-1.80-3.30-5.72-10.08-14.15-17.32-17.86
Best Period14.6930.5229.0061.8743.0533.3715.48
Worst Period-9.61-10.88-18.14-17.61-20.74-28.66-29.40
Standard Deviation4.048.2911.5418.1315.5316.2713.53
Gain Standard Deviation3.909.459.4218.4416.9912.747.16
Loss Standard Deviation2.603.664.734.793.537.187.95
Sharpe Ratio (1%)0.070.06-0.01-0.17-0.54-0.69-1.13
Average Gain / Average Loss2.503.152.802.771.070.750.48
Profit / Loss Ratio1.341.361.080.740.360.280.13
Downside Deviation (10%)2.564.637.9214.0419.1624.4730.85
Downside Deviation (5%)2.404.036.5210.7013.8817.5719.70
Downside Deviation (0%)2.363.906.199.8812.6115.9617.20
Sortino Ratio (10%)-0.02-0.10-0.27-0.50-0.75-0.79-0.91
Sortino Ratio (5%)0.110.13-0.03-0.29-0.60-0.63-0.77
Sortino Ratio (0%)0.150.200.05-0.21-0.54-0.57-0.71

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.