Neural Capital Ltd : Sentinel Trading Program

archived programs
Year-to-Date
N / A
Jul Performance
0.58%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
21.30%
Sharpe (RFR=1%)
0.23
CAROR
3.70%
Assets
$ 1.8M
Worst DD
-40.00
S&P Correlation
-0.25

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
1/2006
Sentinel Trading Program 0.58 0.87 - -20.51 -21.14 -29.36 2.68 52.37
S&P 500 1.93 3.45 - 13.48 27.75 78.82 69.46 92.65
+/- S&P 500 -1.35 -2.59 - -33.99 -48.89 -108.18 -66.78 -40.28

Strategy Description

Summary

The Neural Capital Sentinel Program is managed utilising a systematic trend-following system. Neural's underlying philosophy is that there exists substantially more risk in financial markets than current economic theory predicts, and therefore aim to make investments that will generate... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 2,000k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
1.50
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$1.00
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
5400 RT/YR/$M
Avg. Margin-to-Equity
23%
Targeted Worst DD
-25.00%
Worst Peak-to-Trough
40.00%
Sector Focus
Financial & Metals Traders

Holding Periods

Over 12 Months
0%
4-12 Months
5.00%
1-3 Months
20.00%
1-30 Days
70.00%
Intraday
5.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Interest Rates
20.00%
Stock Indices
15.00%
Energy
12.00%
Grains
10.00%
Currency Futures
9.00%
Other
9.00%
Softs
8.00%
Precious Metals
7.00%
Industrial Metals
5.00%
Livestock
5.00%
Composition Pie Chart

Summary

The Neural Capital Sentinel Program is managed utilising a systematic trend-following system. Neural's underlying philosophy is that there exists substantially more risk in financial markets than current economic theory predicts, and therefore aim to make investments that will generate absolute returns and protect capital in all market conditions. The managers of the Fund invest in foreign exchange markets, exchange traded interest rate, equity index and commodities futures markets. The investments are designed to produce an enhanced return over the medium-term that exceeds those of fixed-income investments. The investment portfolio consists of a combination of trades that are initiated on daily price movements across the various asset classes. The Management Company’s strategy is to remain reactionary, disciplined and to generate excess returns in times of global market dislocations.

Investment Strategy

The Neural Capital Sentinel Program is a systematic trend-following strategy that is implemented across a potential universe of 50 liquid futures contracts.

We are defined as short term with average holding period of 2 weeks. We employ advanced execution strategies that enable us to successfully deploy our program without incurring punitive slippage. Along with extensive financial markets experience we approach our investment philosophy from a very rigorous academic foundation to ensure that our alpha generation process is non-random and robust. Our return profile demonstrates low correlation to mainstream CTA indices and we believe this is due to our distinctive techniques in portfolio construction and alternative methods we utilise to exit positions.

   

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
-40.00 26 - 2/1/2015 4/1/2017
-21.81 15 16 1/1/2008 4/1/2009
-20.87 6 23 5/1/2012 11/1/2012
-18.37 7 1 9/1/2011 4/1/2012
-11.46 3 3 6/1/2006 9/1/2006
-9.27 2 3 1/1/2007 3/1/2007
-8.30 3 1 9/1/2007 12/1/2007
-4.07 1 3 12/1/2010 1/1/2011
-4.00 1 1 11/1/2014 12/1/2014
-3.70 2 1 5/1/2011 7/1/2011
-3.31 2 2 8/1/2010 10/1/2010
-2.74 1 1 4/1/2006 5/1/2006
-1.92 1 1 1/1/2006 2/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
31.11 6 4/1/2007 9/1/2007
30.02 1 5/1/2012 5/1/2012
28.31 3 9/1/2014 11/1/2014
24.31 2 8/1/2011 9/1/2011
24.05 3 10/1/2008 12/1/2008
21.39 2 5/1/2010 6/1/2010
20.94 4 10/1/2006 1/1/2007
18.48 2 3/1/2006 4/1/2006
17.92 3 5/1/2009 7/1/2009
15.49 2 2/1/2013 3/1/2013
14.92 1 1/1/2016 1/1/2016
10.34 2 4/1/2011 5/1/2011
9.20 1 1/1/2008 1/1/2008
8.46 1 8/1/2010 8/1/2010
7.38 1 5/1/2013 5/1/2013
7.09 1 2/1/2014 2/1/2014
7.04 1 7/1/2015 7/1/2015
6.72 1 6/1/2006 6/1/2006
6.59 1 11/1/2015 11/1/2015
6.29 2 11/1/2010 12/1/2010
6.09 2 1/1/2015 2/1/2015
4.44 1 8/1/2008 8/1/2008
3.69 1 4/1/2016 4/1/2016
3.50 1 5/1/2014 5/1/2014
3.39 1 12/1/2011 12/1/2011
3.06 1 8/1/2006 8/1/2006
2.70 1 1/1/2006 1/1/2006
2.48 1 10/1/2009 10/1/2009
2.29 1 7/1/2013 7/1/2013
2.09 1 3/1/2008 3/1/2008
1.83 1 11/1/2007 11/1/2007
1.62 1 2/1/2011 2/1/2011
1.57 1 12/1/2012 12/1/2012
0.86 1 5/1/2017 5/1/2017
0.62 1 11/1/2013 11/1/2013
0.59 1 8/1/2012 8/1/2012
0.58 1 7/1/2017 7/1/2017
0.50 1 12/1/2016 12/1/2016
0.49 1 3/1/2017 3/1/2017
0.35 1 7/1/2014 7/1/2014
0.21 2 12/1/2009 1/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-26.92 7 5/1/2016 11/1/2016
-20.84 4 1/1/2009 4/1/2009
-18.31 4 4/1/2008 7/1/2008
-18.13 4 3/1/2015 6/1/2015
-17.74 3 9/1/2012 11/1/2012
-14.81 2 3/1/2014 4/1/2014
-12.56 2 10/1/2011 11/1/2011
-10.86 3 8/1/2015 10/1/2015
-9.71 4 1/1/2012 4/1/2012
-9.51 1 9/1/2006 9/1/2006
-9.27 2 2/1/2007 3/1/2007
-8.81 2 2/1/2016 3/1/2016
-7.52 3 2/1/2010 4/1/2010
-6.66 3 8/1/2013 10/1/2013
-5.73 1 12/1/2007 12/1/2007
-5.46 2 8/1/2009 9/1/2009
-5.06 1 7/1/2006 7/1/2006
-4.78 1 12/1/2015 12/1/2015
-4.77 1 2/1/2008 2/1/2008
-4.47 1 10/1/2007 10/1/2007
-4.37 1 7/1/2010 7/1/2010
-4.37 2 6/1/2012 7/1/2012
-4.07 1 1/1/2011 1/1/2011
-4.01 1 9/1/2008 9/1/2008
-4.00 1 12/1/2014 12/1/2014
-3.70 2 6/1/2011 7/1/2011
-3.56 2 1/1/2017 2/1/2017
-3.31 2 9/1/2010 10/1/2010
-2.93 2 12/1/2013 1/1/2014
-2.74 1 5/1/2006 5/1/2006
-2.17 1 4/1/2017 4/1/2017
-1.92 1 2/1/2006 2/1/2006
-1.52 1 3/1/2011 3/1/2011
-1.47 1 6/1/2013 6/1/2013
-0.98 1 11/1/2009 11/1/2009
-0.57 1 6/1/2017 6/1/2017
-0.56 1 1/1/2013 1/1/2013
-0.41 1 4/1/2013 4/1/2013
-0.31 1 6/1/2014 6/1/2014
-0.29 1 8/1/2014 8/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods139.00137.00134.00128.00122.00116.00104.0092.0080.00
Percent Profitable45.3247.4555.2262.5067.2168.9782.6982.6185.00
Average Period Return0.481.402.444.527.6610.3617.7526.7537.76
Average Gain5.5010.0412.3015.1318.0921.7425.1236.2247.85
Average Loss-3.68-6.40-9.71-13.17-13.72-14.94-17.48-18.26-19.41
Best Period30.0228.3132.1043.8762.4554.3068.9172.0193.77
Worst Period-12.73-17.91-26.24-31.94-35.16-38.97-29.86-32.09-32.45
Standard Deviation6.1510.2313.4816.2819.5421.8223.0226.4330.62
Gain Standard Deviation5.157.168.669.0913.1413.7917.5717.5420.14
Loss Standard Deviation2.984.936.698.1811.3513.468.809.188.21
Sharpe Ratio (1%)0.070.110.140.220.310.380.640.861.07
Average Gain / Average Loss1.501.571.271.151.321.461.441.982.47
Profit / Loss Ratio1.241.421.561.912.703.236.879.4213.97
Downside Deviation (10%)3.736.579.2912.2313.9016.0315.3417.4018.82
Downside Deviation (5%)3.545.988.159.9910.8311.999.2610.029.97
Downside Deviation (0%)3.495.847.879.4610.1511.138.108.478.11
Sortino Ratio (10%)0.020.030.00-0.040.000.010.130.300.54
Sortino Ratio (5%)0.110.190.240.350.570.701.592.263.28
Sortino Ratio (0%)0.140.240.310.480.750.932.193.164.66

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 4 10.60 10/2014
Trend Following Strategy Index Month 4 10.60 10/2014
Systematic Trader Index Month 4 10.60 10/2014
Trend Following Strategy Index Month 6 7.38 5/2013
Systematic Trader Index Month 7 7.38 5/2013
Systematic Trader Index Month 6 6.86 3/2013
IASG CTA Index Month 5 6.86 3/2013
Trend Following Strategy Index Month 5 6.86 3/2013
Trend Following Strategy Index Month 5 8.08 2/2013
Systematic Trader Index Month 3 8.08 2/2013
IASG CTA Index Month 7 8.08 2/2013
Systematic Trader Index Month 5 30.02 5/2012
Trend Following Strategy Index Month 5 30.02 5/2012
IASG CTA Index Month 5 30.02 5/2012
Trend Following Strategy Index Month 8 3.39 12/2011
Trend Following Strategy Index Month 10 9.07 9/2011
Trend Following Strategy Index Month 9 13.97 8/2011
Trend Following Strategy Index Month 6 2.99 5/2011
Systematic Trader Index Month 4 18.66 5/2010
Trend Following Strategy Index Month 4 18.66 5/2010
IASG CTA Index Month 4 18.66 5/2010
Trend Following Strategy Index Month 7 2.48 10/2009
Trend Following Strategy Index Month 7 5.34 7/2009
Trend Following Strategy Index Month 2 3.02 6/2009
Trend Following Strategy Index Month 8 2.92 8/2007
IASG CTA Index Month 6 10.46 7/2007
Systematic Trader Index Month 5 10.46 7/2007
Trend Following Strategy Index Month 5 10.46 7/2007
Trend Following Strategy Index Month 10 6.73 12/2006
Systematic Trader Index Month 2 6.72 6/2006
IASG CTA Index Month 3 6.72 6/2006
Trend Following Strategy Index Month 1 6.72 6/2006
Trend Following Strategy Index Month 9 9.70 3/2006
Systematic Trader Index Month 10 9.70 3/2006

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