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Northfield Trading : Diversified

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Year-to-Date
N / A
Jul Performance
-0.80%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.49%
Sharpe (RFR=1%)
0.47
CAROR
6.93%
Assets
$ 101.0M
Worst DD
-27.04
S&P Correlation
-0.09
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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
7/1989
Diversified -0.80 -1.13 - -13.34 -6.48 -10.69 43.75 436.42
S&P 500 -1.51 2.48 - 14.53 49.38 95.48 75.21 466.32
+/- S&P 500 0.71 -3.61 - -27.87 -55.86 -106.17 -31.46 -29.90

Strategy Description

Summary

Northfield's goal is to develop trading methods that are not dependent on trends and have the potential to be profitable in any market environment. Northfield trades a diversified portfolio of up to 50 worldwide markets, with the current portfolio primarily focused in stock indexes,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 2,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
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
1500 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
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
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Composition

Summary

Northfield's goal is to develop trading methods that are not dependent on trends and have the potential to be profitable in any market environment. Northfield trades a diversified portfolio of up to 50 worldwide markets, with the current portfolio primarily focused in stock indexes, interest rates, currencies and energy markets. In February 1993 Northfield implemented short-term systems, creating a portfolio that combines both long-and short-term time frames, and in early 1998 Northfield implemented improved research tools to validate its trading methods.

Investment Strategy

Northfield will make trading decisions pursuant to the Diversified Program, which was conceived, tested and refined by Douglas Bry and Philip Spertus. The approach is fully computerized and nondiscretionary. Money management principles are a critical element in the Diversified Program and have been carefully constructed and are rigorously applied to minimize risk exposure and to protect asset appreciation. Since the trading methods to be utilized by N Northfield utilizes proprietary technical systems to trade futures markets worldwide. While the original long-term trend following systems developed by the firm have evolved and are still utilized, there is currently significant emphasis on short-term trading systems, which were introduced in 1993 and since then have comprised 60% of the portfolio.

The Short-term Trading Advantage

  • Results are more consistent over shorter time-frames.
  • Drawdowns are shorter and shallower. Exiting with market momentum reduces slippage.
  • Orders change intraday and don't line up with other traders.
  • Profits are spread over many trades with no dependence on big winners. Trades are entered when the markets are moving and the profit potential is high.

    Ongoing Research and Development - Northfield has been developing proprietary software for testing and implementing trading systems for over 15 years. Northfield has always had state-of-the-art technology to test systems, but some years ago became concerned with the divergence between research results and actual performance. The response was to work to develop improved research tools and techniques which would more realistically evaluate the likely actual performance of trading systems.

    Risk Management

    Low Drawdowns are Key - Northfield recognizes the importance of keeping drawdowns low: when there is a 50 percent loss, a 100 percent gain is needed just to get back to even. This is an exponential curve that steepens considerably when losses are greater than 20 percent. In order to protect capital, a primary concern is to keep drawdowns under 20 percent, otherwise too much profit is wasted in the effort to get back to even.

    The second, and less obvious conclusion, is that staying close to the last high water mark and consistently making small profits provides a greatly enhanced compounding effect. Northfield, therefore, risks a small fixed percentage of the prior day's NAV on each trade and benefits from daily compounding.

    •    

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

    Monthly Annual
    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
    -27.04 13 9 12/1/1991 1/1/1993
    -21.76 42 33 3/1/2001 9/1/2004
    -19.12 18 - 1/1/2013 7/1/2014
    -18.92 3 4 8/1/1989 11/1/1989
    -16.66 6 3 11/1/1990 5/1/1991
    -12.19 18 27 10/1/2008 4/1/2010
    -12.09 17 2 2/1/1997 7/1/1998
    -11.93 6 4 1/1/2000 7/1/2000
    -9.77 5 2 5/1/1995 10/1/1995
    -8.98 2 4 6/1/1994 8/1/1994
    -7.48 3 2 12/1/1993 3/1/1994
    -6.23 2 2 12/1/1998 2/1/1999
    -5.30 1 1 10/1/1991 11/1/1991
    -4.91 4 2 7/1/2012 11/1/2012
    -3.96 2 1 12/1/2000 2/1/2001
    -2.70 1 3 11/1/2007 12/1/2007
    -2.40 1 1 4/1/1990 5/1/1990
    -2.10 1 1 4/1/1999 5/1/1999
    -2.10 1 1 1/1/1996 2/1/1996
    -2.10 1 1 11/1/1996 12/1/1996
    -2.00 1 1 9/1/1998 10/1/1998
    -1.40 1 3 5/1/1996 6/1/1996
    -0.86 1 1 3/1/2008 4/1/2008
    -0.70 1 1 7/1/2007 8/1/2007
    -0.30 1 1 1/1/1995 2/1/1995
    -0.20 1 1 11/1/1999 12/1/1999
    -0.10 1 1 8/1/2008 9/1/2008
    Show More

    Consecutive Gains

    Run-up Length (Mos.) Start End
    56.56 6 6/1/1990 11/1/1990
    55.07 7 6/1/1993 12/1/1993
    33.25 5 12/1/1989 4/1/1990
    27.49 5 6/1/1991 10/1/1991
    23.97 5 8/1/2000 12/1/2000
    20.66 3 4/1/1994 6/1/1994
    20.25 4 4/1/2007 7/1/2007
    19.48 3 11/1/1995 1/1/1996
    17.00 1 12/1/1991 12/1/1991
    16.24 2 6/1/1992 7/1/1992
    16.20 6 6/1/1999 11/1/1999
    15.87 2 8/1/1998 9/1/1998
    12.72 5 9/1/1994 1/1/1995
    12.39 2 3/1/2002 4/1/2002
    12.08 5 4/1/2005 8/1/2005
    11.31 3 3/1/1996 5/1/1996
    10.32 3 9/1/2007 11/1/2007
    9.77 2 12/1/2012 1/1/2013
    8.96 1 5/1/2012 5/1/2012
    8.72 4 5/1/2008 8/1/2008
    7.97 1 5/1/2010 5/1/2010
    7.95 3 12/1/2011 2/1/2012
    7.90 3 9/1/1996 11/1/1996
    7.47 2 3/1/2006 4/1/2006
    7.22 2 10/1/2004 11/1/2004
    6.70 1 8/1/2011 8/1/2011
    6.65 2 3/1/1999 4/1/1999
    6.00 1 6/1/2002 6/1/2002
    5.62 2 11/1/1998 12/1/1998
    5.60 1 11/1/1992 11/1/1992
    5.50 1 4/1/2011 4/1/2011
    5.42 2 5/1/2003 6/1/2003
    4.80 1 3/1/2001 3/1/2001
    4.67 3 3/1/1995 5/1/1995
    4.40 1 8/1/2001 8/1/2001
    4.35 2 1/1/1997 2/1/1997
    4.20 1 1/1/2000 1/1/2000
    4.15 2 7/1/2010 8/1/2010
    4.13 3 1/1/2008 3/1/2008
    4.12 3 7/1/2009 9/1/2009
    4.10 1 11/1/2005 11/1/2005
    3.80 1 4/1/2004 4/1/2004
    3.71 2 1/1/1991 2/1/1991
    3.56 1 10/1/2008 10/1/2008
    3.23 3 8/1/2002 10/1/2002
    3.00 1 5/1/1997 5/1/1997
    2.92 2 8/1/2006 9/1/2006
    2.66 1 4/1/2013 4/1/2013
    2.60 1 8/1/2004 8/1/2004
    2.51 2 7/1/1989 8/1/1989
    2.42 3 2/1/1993 4/1/1993
    2.40 1 10/1/2001 10/1/2001
    2.40 1 7/1/1997 7/1/1997
    2.30 1 12/1/1997 12/1/1997
    2.30 1 1/1/2002 1/1/2002
    2.23 1 7/1/2012 7/1/2012
    2.00 1 12/1/2002 12/1/2002
    2.00 1 1/1/2006 1/1/2006
    1.84 1 6/1/2013 6/1/2013
    1.76 1 5/1/2014 5/1/2014
    1.70 1 11/1/2006 11/1/2006
    1.50 1 8/1/2003 8/1/2003
    1.40 2 7/1/1995 8/1/1995
    1.38 1 1/1/2007 1/1/2007
    1.36 1 12/1/2013 12/1/2013
    0.96 1 12/1/2010 12/1/2010
    0.64 1 2/1/2010 2/1/2010
    0.60 1 7/1/1996 7/1/1996
    0.50 1 1/1/2009 1/1/2009
    0.50 1 9/1/1997 9/1/1997
    0.30 1 3/1/2000 3/1/2000
    0.30 1 2/1/2005 2/1/2005
    0.27 1 8/1/2013 8/1/2013
    0.20 1 6/1/1998 6/1/1998
    0.15 1 2/1/2011 2/1/2011
    Show More

    Consecutive Losses

    Run-up Length (Mos.) Start End
    -21.15 3 8/1/1992 10/1/1992
    -18.92 3 9/1/1989 11/1/1989
    -16.03 3 3/1/1991 5/1/1991
    -14.69 2 11/1/2001 12/1/2001
    -14.28 5 1/1/1992 5/1/1992
    -12.06 2 12/1/1992 1/1/1993
    -11.92 4 1/1/2014 4/1/2014
    -10.72 7 9/1/2003 3/1/2004
    -10.40 4 4/1/2000 7/1/2000
    -9.39 5 1/1/1998 5/1/1998
    -8.98 2 7/1/1994 8/1/1994
    -8.50 1 2/1/2002 2/1/2002
    -7.70 2 9/1/1995 10/1/1995
    -7.51 3 5/1/2006 7/1/2006
    -7.48 3 1/1/1994 3/1/1994
    -6.83 4 4/1/2001 7/1/2001
    -6.71 2 3/1/2012 4/1/2012
    -6.53 3 9/1/2011 11/1/2011
    -6.23 2 1/1/1999 2/1/1999
    -6.01 3 5/1/2004 7/1/2004
    -5.90 2 3/1/2010 4/1/2010
    -5.86 4 10/1/2009 1/1/2010
    -5.58 2 2/1/2013 3/1/2013
    -5.30 1 11/1/1991 11/1/1991
    -5.08 3 9/1/2010 11/1/2010
    -4.95 4 1/1/2003 4/1/2003
    -4.91 4 8/1/2012 11/1/2012
    -4.60 1 5/1/2002 5/1/2002
    -4.53 5 2/1/2009 6/1/2009
    -4.51 3 5/1/2011 7/1/2011
    -4.30 1 12/1/1990 12/1/1990
    -4.25 2 2/1/2007 3/1/2007
    -3.96 2 1/1/2001 2/1/2001
    -3.90 1 7/1/2003 7/1/2003
    -3.60 1 6/1/1995 6/1/1995
    -3.58 2 9/1/2005 10/1/2005
    -3.27 1 7/1/2013 7/1/2013
    -3.19 2 3/1/1997 4/1/1997
    -3.00 1 9/1/2004 9/1/2004
    -2.95 1 3/1/2011 3/1/2011
    -2.84 2 6/1/2014 7/1/2014
    -2.78 2 12/1/2004 1/1/2005
    -2.70 1 12/1/2007 12/1/2007
    -2.60 1 6/1/1997 6/1/1997
    -2.59 2 10/1/1997 11/1/1997
    -2.50 1 12/1/2005 12/1/2005
    -2.40 1 5/1/1990 5/1/1990
    -2.26 1 5/1/2013 5/1/2013
    -2.20 1 5/1/1993 5/1/1993
    -2.10 1 5/1/1999 5/1/1999
    -2.10 1 12/1/1996 12/1/1996
    -2.10 1 2/1/1996 2/1/1996
    -2.09 3 9/1/2013 11/1/2013
    -2.00 1 2/1/2000 2/1/2000
    -2.00 1 10/1/1998 10/1/1998
    -1.84 1 1/1/2011 1/1/2011
    -1.80 1 2/1/2006 2/1/2006
    -1.60 1 7/1/2002 7/1/2002
    -1.50 1 7/1/1998 7/1/1998
    -1.40 1 6/1/1996 6/1/1996
    -1.40 2 11/1/2008 12/1/2008
    -1.30 1 8/1/1997 8/1/1997
    -1.00 1 11/1/2002 11/1/2002
    -0.98 1 6/1/2012 6/1/2012
    -0.90 1 10/1/2006 10/1/2006
    -0.86 1 4/1/2008 4/1/2008
    -0.70 1 8/1/2007 8/1/2007
    -0.50 1 12/1/2006 12/1/2006
    -0.40 1 9/1/2001 9/1/2001
    -0.30 1 2/1/1995 2/1/1995
    -0.20 1 3/1/2005 3/1/2005
    -0.20 1 12/1/1999 12/1/1999
    -0.10 1 9/1/2008 9/1/2008
    -0.09 1 8/1/1996 8/1/1996
    -0.07 1 6/1/2010 6/1/2010
    Show More

    Time Windows Analysis

     1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
    Number of Periods301.00299.00296.00290.00284.00278.00266.00254.00242.00
    Percent Profitable51.1657.5362.8467.5971.8373.0283.4685.0487.19
    Average Period Return0.641.994.248.9012.9216.9824.7835.2945.67
    Average Gain3.606.659.9816.3920.7825.3831.0742.5953.28
    Average Loss-2.48-4.31-5.45-6.74-7.12-5.74-6.99-6.24-6.13
    Best Period20.0043.0956.56103.6180.08122.36117.73160.94200.85
    Worst Period-11.60-21.15-26.77-24.63-21.73-15.58-19.42-18.36-11.39
    Standard Deviation4.187.9611.7117.6620.5423.8026.4835.6441.87
    Gain Standard Deviation3.366.9110.8216.5318.9422.5524.3633.6339.45
    Loss Standard Deviation2.293.964.635.574.733.925.875.273.12
    Sharpe Ratio (1%)0.130.220.320.450.560.630.820.880.97
    Average Gain / Average Loss1.451.541.832.432.924.424.456.838.69
    Profit / Loss Ratio1.542.093.095.077.4511.9622.4438.8059.14
    Downside Deviation (10%)2.564.445.627.508.398.9910.9013.0414.36
    Downside Deviation (5%)2.393.934.595.425.214.514.744.514.23
    Downside Deviation (0%)2.343.814.354.974.533.603.693.142.45
    Sortino Ratio (10%)0.090.170.320.520.640.750.831.051.26
    Sortino Ratio (5%)0.240.440.821.462.193.324.596.929.59
    Sortino Ratio (0%)0.280.520.971.792.864.716.7111.2318.61

    Top Performer Badges

    Index Award Type Rank Performance Period
    Systematic Trader Index Month 6 9.10 5/2007
    Diversified Trader Index Month 6 9.10 5/2007
    IASG CTA Index Month 7 9.10 5/2007
    IASG CTA Index Month 6 3.80 4/2004
    Diversified Trader Index Month 2 3.80 4/2004
    Systematic Trader Index Month 3 3.80 4/2004
    Diversified Trader Index Month 6 0.20 10/2002
    Systematic Trader Index Month 8 0.20 10/2002
    Diversified Trader Index Month 7 11.50 3/2002
    IASG CTA Index Month 7 11.50 3/2002
    Systematic Trader Index Month 6 11.50 3/2002
    Diversified Trader Index Month 5 2.30 1/2002
    Systematic Trader Index Month 7 2.30 1/2002
    IASG CTA Index Month 10 2.30 1/2002
    Diversified Trader Index Month 5 1.80 9/2000
    Systematic Trader Index Month 7 1.80 9/2000
    Diversified Trader Index Month 9 4.20 1/2000
    Systematic Trader Index Month 10 4.20 1/2000
    IASG CTA Index Month 3 4.90 10/1999
    Systematic Trader Index Month 2 4.90 10/1999
    Diversified Trader Index Month 1 4.90 10/1999
    Systematic Trader Index Month 10 3.80 7/1999
    Diversified Trader Index Month 10 3.80 7/1999
    Diversified Trader Index Month 7 5.30 11/1998
    IASG CTA Index Month 9 5.30 11/1998
    Systematic Trader Index Month 6 5.30 11/1998
    Systematic Trader Index Month 7 -1.30 8/1997
    Diversified Trader Index Month 5 -1.30 8/1997
    IASG CTA Index Month 10 -1.30 8/1997
    Diversified Trader Index Month 9 3.00 5/1997
    Systematic Trader Index Month 8 3.00 5/1997
    IASG CTA Index Month 8 0.60 7/1996
    Diversified Trader Index Month 7 0.60 7/1996
    Systematic Trader Index Month 7 0.60 7/1996
    Systematic Trader Index Month 6 0.10 5/1996
    Diversified Trader Index Month 5 0.10 5/1996
    IASG CTA Index Month 8 0.10 5/1996
    Systematic Trader Index Month 9 5.50 3/1996
    Systematic Trader Index Month 8 -2.10 2/1996
    Diversified Trader Index Month 6 -2.10 2/1996
    Systematic Trader Index Month 8 0.00 9/1995
    Diversified Trader Index Month 9 0.00 9/1995
    Systematic Trader Index Month 3 0.80 7/1995
    Diversified Trader Index Month 3 0.80 7/1995
    IASG CTA Index Month 5 0.80 7/1995
    Diversified Trader Index Month 3 0.50 1/1995
    Systematic Trader Index Month 3 0.50 1/1995
    IASG CTA Index Month 6 0.50 1/1995
    Diversified Trader Index Month 5 2.90 12/1994
    Systematic Trader Index Month 5 2.90 12/1994
    IASG CTA Index Month 7 2.90 12/1994
    IASG CTA Index Month 7 9.90 6/1994
    Systematic Trader Index Month 6 9.90 6/1994
    Diversified Trader Index Month 7 9.90 6/1994
    IASG CTA Index Month 5 6.90 4/1994
    Diversified Trader Index Month 5 6.90 4/1994
    Systematic Trader Index Month 3 6.90 4/1994
    Diversified Trader Index Month 5 -1.00 1/1994
    IASG CTA Index Month 6 -1.00 1/1994
    Systematic Trader Index Month 6 -1.00 1/1994
    Systematic Trader Index Month 7 5.20 11/1993
    Diversified Trader Index Month 8 5.20 11/1993
    IASG CTA Index Month 9 5.20 11/1993
    Diversified Trader Index Month 1 11.40 10/1993
    Systematic Trader Index Month 1 11.40 10/1993
    IASG CTA Index Month 1 11.40 10/1993
    IASG CTA Index Month 1 9.30 9/1993
    Systematic Trader Index Month 1 9.30 9/1993
    Diversified Trader Index Month 1 9.30 9/1993
    IASG CTA Index Month 7 7.40 8/1993
    Systematic Trader Index Month 5 7.40 8/1993
    Diversified Trader Index Month 7 7.40 8/1993
    IASG CTA Index Month 5 7.10 6/1993
    Diversified Trader Index Month 5 7.10 6/1993
    Systematic Trader Index Month 4 7.10 6/1993
    IASG CTA Index Month 10 1.20 3/1993
    Systematic Trader Index Month 10 1.20 3/1993
    Diversified Trader Index Month 10 1.20 3/1993
    Systematic Trader Index Month 10 -2.50 12/1992
    Systematic Trader Index Month 4 5.60 11/1992
    Diversified Trader Index Month 4 5.60 11/1992
    IASG CTA Index Month 4 5.60 11/1992
    Systematic Trader Index Month 10 -2.80 4/1992
    Systematic Trader Index Month 4 -3.20 1/1992
    Diversified Trader Index Month 3 -3.20 1/1992
    IASG CTA Index Month 5 -3.20 1/1992
    Diversified Trader Index Month 5 2.60 10/1991
    IASG CTA Index Month 6 2.60 10/1991
    Systematic Trader Index Month 5 2.60 10/1991
    IASG CTA Index Month 5 4.20 8/1991
    Diversified Trader Index Month 4 4.20 8/1991
    Systematic Trader Index Month 3 4.20 8/1991
    Systematic Trader Index Month 3 1.30 7/1991
    Diversified Trader Index Month 2 1.30 7/1991
    IASG CTA Index Month 3 1.30 7/1991
    Diversified Trader Index Month 1 14.40 6/1991
    Systematic Trader Index Month 1 14.40 6/1991
    IASG CTA Index Month 1 14.40 6/1991
    Systematic Trader Index Month 6 -3.60 4/1991
    IASG CTA Index Month 9 -3.60 4/1991

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

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