NovoDyn Advisors LLC : NDC Mean Reversion FT - A (Extended Markets)

archived programs
Year-to-Date
N / A
Dec Performance
0.00%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
1.70%
Sharpe (RFR=1%)
-1.77
CAROR
-2.00%
Assets
$ 800k
Worst DD
-8.18
S&P Correlation
-0.01

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
12/2013
NDC Mean Reversion FT - A (Extended Markets) 0.00 0.00 - -0.57 -2.20 - - -7.91
S&P 500 3.43 5.21 - 18.21 28.55 - - 43.19
+/- S&P 500 -3.43 -5.21 - -18.78 -30.75 - - -51.09

Strategy Description

Summary

Description of the Trading System.
NDC Mean Reversion FT applies Fourier Transform signal processing to multiple US futures contracts. The strategy’s technology identifies short term price waves. NDC utilizes transforms to resolve the amplitude and frequency of these waves, removing... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 200k
Trading Level Incremental Increase
$ 200k
CTA Max Funding Factor
4.00
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
2416 RT/YR/$M
Avg. Margin-to-Equity
8%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
50.00%
Intraday
50.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
20.00%
Other
80.00%
Strategy Pie Chart

Composition

Currency Futures
25.00%
Precious Metals
25.00%
Energy
25.00%
Grains
25.00%
Composition Pie Chart

Summary

Description of the Trading System.
NDC Mean Reversion FT applies Fourier Transform signal processing to multiple US futures contracts. The strategy’s technology identifies short term price waves. NDC utilizes transforms to resolve the amplitude and frequency of these waves, removing white noise (random walk). Mean reversion and inverse mean reversion are employed. Mean reversion is a theory by which prices at amplitude crests and troughs tend to revert to the wave’s mean. Positions are of short duration (average 2 days). The strategy supports a very low margin to nominal funding ratio (target average 8%, target maximum 16%). The program attempts to achieve its objective and portfolio diversification through the speculative trading of U.S. regulated futures contracts. By diversifying across a wide array of markets, NDA attempts to diminish the importance of any one position in the portfolio. Entry and exit decisions are program controlled and automated.

NDC Mean Reversion FT – A (Extended Markets) Program Strategy:
is designed to provide additional diversification for nominal funding increments of approximately $200,000. The program employs the same algorithm as NDC Mean Reversion FT – A Program, but tracks different markets. The nominal higher funding increment enables participation in markets with higher margin requirements. Markets tracked include Energies, Currencies, Metals (typically Gold), and Agriculture (typically Soybeans). During periods in which the algorithm cannot resolve a sufficient number of markets, other markets may be employed. There is no assurance the Extended Markets program returns will correlate to the NDC Mean Reversion FT – A program.

Investment Strategy

The objective of the program is threefold:
1) To achieve capital appreciation through a systematic (computer generated), diversified trading approach that does not rely upon favorable conditions in any particular market or market direction; 2) To provide investors a “hedge” against benchmarks such as the S&P 500 and traditional commodity trading advisor investment methodologies, in particular, trend following. 3) To minimize client risk through diversification and a low margin to nominal funding ratio.

Our program offers client selected risk/reward objectives determined by the ratio of nominal funding to account equity (cash). For example, $200,000 initial equity (cash) plus zero notional funding is considered a $200,000 nominally funded account. This creates a nominal funding to cash ratio of 1:1. At a 1:1 ratio, the program (a statistical quant) has a mathematical expectation of 1.02% per month return on equity (net of fees) with a standard deviation of ±.94%. Our performance history quotes all returns based on a 1:1 Nominal Account Size to Equity ratio. Clients that select higher Nominal Account Size to Equity ratios will see a proportional increase in both gains and losses.

Clients who have an interest in partially funding their accounts should review NDA Risk Disclosure Document, Special Disclosure For Notionally Funded Accounts, pg 11 for additional information. NDA reserves the right to decline partially funded accounts whose cash to notional funding ratio NDA deems excessively leveraged. NDA reserves the right, without notice, to substitute number and contract types employed. Minimum Equity is $50,000. Minimum Nominal Account Size is $200,000. Maximum permitted NAS to Equity ratio is 4:1.

Risk Management

Diversification is just one element of the system’s risk management mechanisms. The management of risk is an integral part of the Trading System. By executing multiple short duration trades across a variety of strategies and time frames, the program endeavors to avoid kurtosis (“fat tail”) risk which describes events outside a normal distribution such as market “crashes” or events encountered by firms such as Long-Term Capital Management. Furthermore, the Trading System automatically sets positions based on risk expectations posed by factors such as historical price decline, seasonality, backwardation/contango, volatility, money management and margin.

   

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
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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
-8.18 42 - 12/1/2013 6/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
1.05 3 5/1/2015 7/1/2015
0.65 2 6/1/2014 7/1/2014
0.45 1 9/1/2015 9/1/2015
0.30 1 12/1/2013 12/1/2013
0.11 1 3/1/2016 3/1/2016
0.04 1 6/1/2016 6/1/2016
0.02 1 9/1/2016 9/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.96 9 8/1/2014 4/1/2015
-2.16 5 1/1/2014 5/1/2014
-1.37 5 10/1/2015 2/1/2016
-0.61 15 10/1/2016 12/1/2017
-0.25 2 7/1/2016 8/1/2016
-0.22 1 8/1/2015 8/1/2015
-0.05 2 4/1/2016 5/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods49.0047.0044.0038.0032.0026.0014.00
Percent Profitable20.4119.156.820.000.000.000.00
Average Period Return-0.17-0.51-1.03-2.16-2.77-3.61-6.05
Average Gain0.260.340.65
Average Loss-0.39-0.80-1.18-2.16-2.77-3.61-6.05
Best Period0.451.051.09-0.05-0.24-0.75-2.20
Worst Period-2.90-4.13-4.99-6.11-6.73-7.01-7.66
Standard Deviation0.491.021.542.112.242.341.60
Gain Standard Deviation0.150.320.53
Loss Standard Deviation0.541.051.532.112.242.341.60
Sharpe Ratio (1%)-0.51-0.75-0.99-1.49-1.91-2.41-5.67
Average Gain / Average Loss0.680.430.55
Profit / Loss Ratio0.240.110.04
Downside Deviation (10%)0.752.013.817.4510.6014.0521.87
Downside Deviation (5%)0.541.262.153.784.816.079.21
Downside Deviation (0%)0.491.111.823.003.544.286.24
Sortino Ratio (10%)-0.76-0.86-0.92-0.96-0.98-0.99-1.00
Sortino Ratio (5%)-0.47-0.61-0.71-0.83-0.89-0.93-0.99
Sortino Ratio (0%)-0.34-0.46-0.56-0.72-0.78-0.84-0.97

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.