Northfield Trading : Diversified Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since7/1989 Diversified -0.80 - - - - - -10.12 436.42 S&P 500 -1.51 - - - - - 75.21 974.16 +/- S&P 500 0.71 - - - - - -85.33 -537.74 Strategy Description SummaryNorthfield'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 SummaryNorthfield'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 StrategyNorthfield 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 ManagementLow 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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. x {{title}} x {{title}} Add Cancel