Northwater Capital Management : Northwater Four Quadrants Portfolio - Proprietary

archived programs
Year-to-Date
N / A
Aug Performance
2.44%
Min Investment
$ 3,000k
Mgmt. Fee
1.20%
Perf. Fee
10.00%
Annualized Vol
5.38%
Sharpe (RFR=1%)
2.26
CAROR
-
Assets
$ 3.3M
Worst DD
-1.48
S&P Correlation
0.02

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
8/2010
Northwater Four Quadrants Portfolio - Proprietary 2.44 - - - - - 13.69 15.09
S&P 500 -5.68 - - - - - 7.52 230.13
+/- S&P 500 8.12 - - - - - 6.16 -215.04

Strategy Description

Account & Fees

Type Managed Account
Minimum Investment $ 3,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.20%
Performance Fee 10.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency 7-14 Days
Redemption Frequency 7-14 Days
Investor Requirements Any Investor
Lock-up Period 3

Trading

Trading Frequency RT/YR/$M
Avg. Margin-to-Equity
Targeted Worst DD
Worst Peak-to-Trough -4.50%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 10.00%
4-12 Months 30.00%
1-3 Months 40.00%
1-30 Days 20.00%
Intraday

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Fundamental
25.00%
Momentum
25.00%
Technical
25.00%
Trend-following
25.00%
Strategy Pie Chart

Composition

Interest Rates
38.00%
Stock Indices
25.00%
Precious Metals
13.00%
Industrial Metals
12.00%
Energy
9.00%
Grains
1.00%
Livestock
1.00%
Softs
1.00%
Composition Pie Chart
   

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
-1.48 1 1 5/1/2011 6/1/2011
-0.99 1 3 10/1/2010 11/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
6.30 2 7/1/2011 8/1/2011
5.21 4 2/1/2011 5/1/2011
5.19 3 8/1/2010 10/1/2010
0.43 1 12/1/2010 12/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-1.48 1 6/1/2011 6/1/2011
-0.99 1 11/1/2010 11/1/2010
-0.14 1 1/1/2011 1/1/2011
Show More

Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods13.0011.008.00
Percent Profitable76.9290.91100.00
Average Period Return1.102.725.18
Average Gain1.693.075.18
Average Loss-0.87-0.70
Best Period3.775.198.75
Worst Period-1.48-0.703.01
Standard Deviation1.551.802.00
Gain Standard Deviation1.201.472.00
Loss Standard Deviation0.68
Sharpe Ratio (1%)0.651.372.34
Average Gain / Average Loss1.944.36
Profit / Loss Ratio6.4743.59
Downside Deviation (10%)0.670.58
Downside Deviation (5%)0.530.29
Downside Deviation (0%)0.500.21
Sortino Ratio (10%)1.032.57
Sortino Ratio (5%)1.928.62
Sortino Ratio (0%)2.2212.84

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.