Novus Investments, LLC : Novus Precious Commodities

archived programs
Year-to-Date
N / A
Feb Performance
-0.13%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
37.11%
Sharpe (RFR=1%)
0.55
CAROR
16.11%
Assets
$ 2.0M
Worst DD
-39.84
S&P Correlation
0.06

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
1/2007
Novus Precious Commodities -0.13 -0.39 - -2.41 -4.38 -17.34 192.91 430.05
S&P 500 -3.89 4.99 - 13.66 27.65 77.36 101.86 94.32
+/- S&P 500 3.76 -5.38 - -16.07 -32.04 -94.70 91.05 335.72

Strategy Description

Summary

The Novus Precious Commodities Strategy seeks to achieve maximum growth of capital within defined risk limitations. The Strategy trades commodity futures (long and short) on a discretionary basis with an emphasis on precious metals. Our goal is to exploit the underlying trends and... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 200k
Trading Level Incremental Increase
$ 200k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$5.00
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
650 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
-30.00%
Worst Peak-to-Trough
39.83%
Sector Focus
Financial & Metals Traders

Holding Periods

Over 12 Months
2.00%
4-12 Months
26.00%
1-3 Months
50.00%
1-30 Days
20.00%
Intraday
2.00%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Counter-trend
20.00%
Fundamental
10.00%
Momentum
3.00%
Option-purchasing
10.00%
Option-spreads
1.00%
Pattern Recognition
6.00%
Technical
20.00%
Trend-following
30.00%
Strategy Pie Chart

Composition

Precious Metals
40.00%
Currency Futures
20.00%
Industrial Metals
10.00%
Grains
8.00%
Softs
8.00%
Energy
5.00%
Interest Rates
5.00%
Stock Indices
3.00%
Livestock
1.00%
Composition Pie Chart

Summary

The Novus Precious Commodities Strategy seeks to achieve maximum growth of capital within defined risk limitations. The Strategy trades commodity futures (long and short) on a discretionary basis with an emphasis on precious metals. Our goal is to exploit the underlying trends and volatility with proper risk management tools such as limit orders, trailing stops, and occasional selective option strategies to enhance returns. We believe that the continued expansion of money supply (Austrian definition of inflation), and other inflation-fueling monetary and fiscal policies (using debt to bail out more debt), along with supply/demand imbalances will help these markets continue to develop tradable trends for years to come. The goal is to outperform commodity and managed futures index funds through the prudent use of leverage with proactive management of risk.

Results through Oct, 2010 are based on actual client returns adjusted for a 2% Management Fee and a 15% Incentive Fee, paid quarterly.

Investment Strategy

Diversified discretionary macro w/ emphasis on precious metals.

Risk Management

initial risk averages 2% per position and 10% total for all positions. Stops and options are used to hedge risk at all times.

   

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
-39.84 8 4 2/1/2008 10/1/2008
-33.45 2 2 11/1/2009 1/1/2010
-26.80 3 3 4/1/2010 7/1/2010
-26.60 20 - 1/1/2013 9/1/2014
-20.64 1 3 5/1/2009 6/1/2009
-19.00 3 2 5/1/2007 8/1/2007
-12.35 2 2 12/1/2010 2/1/2011
-9.57 1 2 2/1/2009 3/1/2009
-9.54 10 1 9/1/2011 7/1/2012
-7.58 2 1 4/1/2011 6/1/2011
-6.61 1 2 2/1/2007 3/1/2007
-5.95 1 1 10/1/2007 11/1/2007
-4.27 1 1 9/1/2009 10/1/2009
-3.05 1 3 9/1/2012 10/1/2012
-0.94 1 1 10/1/2010 11/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
72.04 3 2/1/2010 4/1/2010
67.47 4 11/1/2008 2/1/2009
59.34 2 4/1/2009 5/1/2009
49.09 3 12/1/2007 2/1/2008
47.18 1 11/1/2009 11/1/2009
45.84 3 8/1/2010 10/1/2010
37.29 3 7/1/2009 9/1/2009
29.24 2 9/1/2007 10/1/2007
28.98 3 7/1/2011 9/1/2011
23.10 2 1/1/2007 2/1/2007
17.97 6 10/1/2014 3/1/2015
15.32 1 7/1/2007 7/1/2007
15.16 2 7/1/2013 8/1/2013
14.82 2 3/1/2011 4/1/2011
14.24 2 8/1/2012 9/1/2012
8.09 2 1/1/2012 2/1/2012
7.24 2 4/1/2007 5/1/2007
7.23 1 6/1/2010 6/1/2010
7.12 2 1/1/2016 2/1/2016
6.09 2 1/1/2017 2/1/2017
5.88 1 6/1/2008 6/1/2008
5.32 1 2/1/2014 2/1/2014
5.04 1 12/1/2010 12/1/2010
4.34 1 1/1/2013 1/1/2013
3.94 1 9/1/2008 9/1/2008
2.91 2 8/1/2015 9/1/2015
2.82 1 5/1/2012 5/1/2012
2.79 2 7/1/2017 8/1/2017
2.56 1 4/1/2016 4/1/2016
1.88 1 10/1/2016 10/1/2016
1.37 1 11/1/2012 11/1/2012
0.59 1 3/1/2013 3/1/2013
0.23 1 6/1/2014 6/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-33.45 2 12/1/2009 1/1/2010
-26.29 2 7/1/2008 8/1/2008
-25.29 1 7/1/2010 7/1/2010
-20.64 1 6/1/2009 6/1/2009
-18.67 5 9/1/2013 1/1/2014
-18.60 3 3/1/2008 5/1/2008
-16.37 1 8/1/2007 8/1/2007
-16.01 1 6/1/2007 6/1/2007
-12.65 3 4/1/2013 6/1/2013
-12.35 2 1/1/2011 2/1/2011
-9.74 5 5/1/2016 9/1/2016
-9.57 1 3/1/2009 3/1/2009
-9.50 3 7/1/2014 9/1/2014
-8.89 1 10/1/2008 10/1/2008
-8.63 1 5/1/2010 5/1/2010
-8.02 3 10/1/2011 12/1/2011
-7.58 2 5/1/2011 6/1/2011
-7.31 4 4/1/2015 7/1/2015
-6.66 2 6/1/2012 7/1/2012
-6.61 1 3/1/2007 3/1/2007
-5.95 1 11/1/2007 11/1/2007
-5.27 3 3/1/2014 5/1/2014
-5.19 2 3/1/2012 4/1/2012
-4.29 6 9/1/2017 2/1/2018
-4.27 1 10/1/2009 10/1/2009
-3.85 3 10/1/2015 12/1/2015
-3.05 1 10/1/2012 10/1/2012
-1.59 2 11/1/2016 12/1/2016
-1.44 1 2/1/2013 2/1/2013
-0.94 1 11/1/2010 11/1/2010
-0.81 4 3/1/2017 6/1/2017
-0.34 1 3/1/2016 3/1/2016
-0.20 1 12/1/2012 12/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods134.00132.00129.00123.00117.00111.0099.0087.0075.00
Percent Profitable47.0153.0361.2472.3662.3966.6764.6564.3774.67
Average Period Return1.774.819.3721.3934.7752.6091.99124.84150.68
Average Gain9.0014.8120.0532.4060.0183.35147.93199.65205.84
Average Loss-4.64-6.48-7.49-7.43-7.11-8.90-10.31-10.30-11.90
Best Period58.2072.04120.43238.39324.09352.73457.83486.25517.08
Worst Period-25.29-26.80-36.47-26.18-25.96-24.88-22.37-19.74-18.43
Standard Deviation10.7116.7922.4841.9962.8280.66126.84161.18175.11
Gain Standard Deviation10.4716.7422.3544.5467.9183.12126.56156.89170.36
Loss Standard Deviation5.686.657.176.806.886.385.675.384.31
Sharpe Ratio (1%)0.160.270.390.490.530.630.700.750.83
Average Gain / Average Loss1.942.282.684.368.449.3614.3519.3817.29
Profit / Loss Ratio1.722.584.2311.4114.0018.7226.2435.0150.97
Downside Deviation (10%)5.516.967.627.5510.1112.0016.3019.9921.23
Downside Deviation (5%)5.366.466.655.676.737.288.609.168.85
Downside Deviation (0%)5.326.346.425.266.036.296.976.916.35
Sortino Ratio (10%)0.250.510.912.172.693.534.685.175.79
Sortino Ratio (5%)0.320.711.333.604.946.9510.3413.1916.45
Sortino Ratio (0%)0.330.761.464.065.768.3613.1918.0623.72

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 4 4.01 2/2017
Discretionary Trader Index Month 8 2.56 4/2016
Discretionary Trader Index Month 5 4.02 2/2016
Discretionary Trader Index Month 5 2.98 1/2016
Discretionary Trader Index Month 10 2.89 8/2015
Discretionary Trader Index Month 9 7.55 1/2015
Discretionary Trader Index Month 6 5.02 10/2014
Discretionary Trader Index Month 7 5.32 2/2014
IASG CTA Index 5 Year Rolling 7 270.35 2008 - 2013
IASG CTA Index Month 3 11.43 8/2013
Discretionary Trader Index Month 2 11.43 8/2013
Discretionary Trader Index Month 8 4.34 1/2013
IASG CTA Index 5 Year Rolling 4 364.78 2007 - 2012
Discretionary Trader Index Month 9 3.17 9/2012
IASG CTA Index Month 7 10.73 8/2012
Discretionary Trader Index Month 6 10.73 8/2012
Discretionary Trader Index Month 9 7.21 1/2012
IASG CTA Index 3 Year Rolling 4 281.38 2008 - 2011
IASG CTA Index 5 Year Rolling 3 465.83 2006 - 2011
Discretionary Trader Index Month 4 9.61 8/2011
Discretionary Trader Index Month 6 11.98 7/2011
Discretionary Trader Index Month 3 12.29 4/2011
IASG CTA Index Year Rolling 7 65.78 2009 - 2010
IASG CTA Index 3 Year Rolling 5 282.26 2007 - 2010
IASG CTA Index Month 5 27.44 9/2010
Discretionary Trader Index Month 4 27.44 9/2010
Discretionary Trader Index Month 4 7.23 6/2010
IASG CTA Index Month 6 11.63 4/2010
Discretionary Trader Index Month 1 11.63 4/2010
IASG CTA Index Month 1 29.54 3/2010
Discretionary Trader Index Month 1 29.54 3/2010
Discretionary Trader Index Month 2 18.97 2/2010
IASG CTA Index Month 4 18.97 2/2010
IASG CTA Index 3 Year Rolling 4 209.36 2006 - 2009
IASG CTA Index Year Rolling 3 108.52 2008 - 2009
Discretionary Trader Index Month 1 47.18 11/2009
IASG CTA Index Month 1 47.18 11/2009
IASG CTA Index Month 2 16.19 9/2009
Discretionary Trader Index Month 2 16.19 9/2009
Discretionary Trader Index Month 4 13.26 8/2009
IASG CTA Index Month 5 13.26 8/2009
Discretionary Trader Index Month 9 4.33 7/2009
Discretionary Trader Index Month 2 58.20 5/2009
IASG CTA Index Month 2 58.20 5/2009
IASG CTA Index Month 9 6.21 2/2009
Discretionary Trader Index Month 6 6.21 2/2009
Discretionary Trader Index Month 1 15.70 1/2009
IASG CTA Index Month 4 15.70 1/2009
Discretionary Trader Index Month 2 24.49 12/2008
IASG CTA Index Month 2 24.49 12/2008
Discretionary Trader Index Month 1 9.47 11/2008
Discretionary Trader Index Month 6 3.94 9/2008
Discretionary Trader Index Month 4 18.10 2/2008
Discretionary Trader Index Month 2 14.21 1/2008
Discretionary Trader Index Month 7 10.53 12/2007
Discretionary Trader Index Month 2 11.49 10/2007
Discretionary Trader Index Month 4 15.92 9/2007
Discretionary Trader Index Month 1 15.32 7/2007
IASG CTA Index Month 2 15.32 7/2007
Discretionary Trader Index Month 4 6.65 5/2007
IASG CTA Index Month 4 10.90 2/2007
Discretionary Trader Index Month 3 10.90 2/2007

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