Nelson Trading Group, LLC : NTGLTT

archived programs
Year-to-Date
N / A
Feb Performance
4.65%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
44.03%
Sharpe (RFR=1%)
0.17
CAROR
-1.73%
Assets
$ 235k
Worst DD
-58.01
S&P Correlation
-0.06

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
9/2014
NTGLTT 4.65 - - - - -37.69 - -4.27
S&P 500 3.72 - - - - 73.07 - 75.67
+/- S&P 500 0.93 - - - - -110.77 - -79.94

Strategy Description

Summary

Long-term trend following system in FX and commodity futures and options. QEPs only.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 2.50
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 500 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 10.00%
4-12 Months 75.00%
1-3 Months 10.00%
1-30 Days 5.00%
Intraday 0%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Energy
25.00%
Currency FX
20.00%
Precious Metals
20.00%
Grains
10.00%
Softs
10.00%
Industrial Metals
5.00%
Interest Rates
5.00%
Livestock
5.00%
Composition Pie Chart

Summary

Long-term trend following system in FX and commodity futures and options. QEPs only.

Investment Strategy

Long-term trends.

Risk Management

Yes, built in the system based on volatility and underlying price.

   

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
-58.01 9 - 1/1/2016 10/1/2016
-22.41 1 7 3/1/2015 4/1/2015
-5.94 1 1 12/1/2014 1/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
39.79 2 2/1/2015 3/1/2015
37.71 3 11/1/2015 1/1/2016
24.39 4 9/1/2014 12/1/2014
22.38 1 7/1/2015 7/1/2015
11.70 1 5/1/2015 5/1/2015
11.63 2 1/1/2017 2/1/2017
10.33 1 11/1/2016 11/1/2016
2.44 1 9/1/2015 9/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-58.01 9 2/1/2016 10/1/2016
-22.41 1 4/1/2015 4/1/2015
-8.14 1 6/1/2015 6/1/2015
-7.63 1 12/1/2016 12/1/2016
-7.54 1 10/1/2015 10/1/2015
-5.94 1 1/1/2015 1/1/2015
-3.58 1 8/1/2015 8/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods30.0028.0025.0019.0013.00
Percent Profitable50.0064.2964.0036.8415.38
Average Period Return0.691.360.39-8.03-18.20
Average Gain10.1313.7219.9146.9164.05
Average Loss-8.74-20.91-34.33-40.08-33.16
Best Period23.3737.7158.5971.2981.29
Worst Period-35.59-51.34-57.69-54.35-48.45
Standard Deviation12.7122.0131.6745.0338.12
Gain Standard Deviation7.1210.1914.9413.6524.39
Loss Standard Deviation9.6520.0121.7313.229.25
Sharpe Ratio (1%)0.050.050.00-0.20-0.52
Average Gain / Average Loss1.160.660.581.171.93
Profit / Loss Ratio1.161.181.030.680.35
Downside Deviation (10%)9.2417.4325.2737.2138.35
Downside Deviation (5%)9.0816.9924.2534.1632.90
Downside Deviation (0%)9.0416.8823.9933.4031.56
Sortino Ratio (10%)0.030.01-0.08-0.35-0.67
Sortino Ratio (5%)0.070.070.00-0.26-0.60
Sortino Ratio (0%)0.080.080.02-0.24-0.58

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.