Numberline Capital Partners, LLC : Numberline Macro Risk Program

Year-to-Date
12.12%
Nov Performance
3.75%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
16.29%
Sharpe (RFR=1%)
0.86
CAROR
-
Assets
$ 227k
Worst DD
-9.10
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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
2/2020
Numberline Macro Risk Program 3.75 5.58 12.12 - - - - 12.12
S&P 500 10.75 3.47 12.10 - - - - 22.59
+/- S&P 500 -7.00 2.12 0.02 - - - - -10.47

Strategy Description

Summary

The Advisor’s Program is entirely discretionary and is primarily embedded in technical analysis. Technical analysis is based upon the theory that a study of the markets themselves will provide a means of anticipating the external factors that affect the supply and demand of a particular commodity... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 2.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency 15-30 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 960 RT/YR/$M
Avg. Margin-to-Equity 16%
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 100.00%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Currency Futures
40.00%
Stock Indices
40.00%
Industrial Metals
5.00%
Precious Metals
5.00%
Energy
5.00%
Interest Rates
5.00%
Composition Pie Chart

Summary

The Advisor’s Program is entirely discretionary and is primarily embedded in technical analysis. Technical analysis is based upon the theory that a study of the markets themselves will provide a means of anticipating the external factors that affect the supply and demand of a particular commodity in order to predict future prices. Technical analysis postulates that the marketplace itself represents the collective judgment of a larger number of traders and analysis concerning the value of any particular commodity interest. By analyzing market characteristics (as opposed to underlying economic forces) that have not yet been directly reflected in price levels, it may be possible to predict future price moves. Furthermore, technical analysis generally holds that, irrespective of basic economic forces, markets have dynamism of their own which is wholly outside the scope of fundamental analysis that should be reflected in any trading approach. Accordingly, technical analysis generally focuses on a detailed study of such data as actual daily, weekly and monthly price fluctuations, trading volume variations and change in open interest, as the most effective means of attempting to predict price movements. Technical traders frequently utilize charts and computers for analysis of these items, including a series of mathematical measurements and calculations deigned to monitor market activity for the particular trading strategy. Trading recommendations are based on signals generated by charts, manual calculations or computers. Technical trading approaches may incorrectly analyze the effect of various market forces or price trends, particularly as technical analysis is typically based on historical market activity. Such analysis may not in fact be applicable to the current markets (which many perceive as undergoing rapid and significant changes) and may be of little use when fundamental factors, particularly unexpected occurrences, such as certain governmental interventions, dominate the market. Although the possibility of losses exists, the Numberline Macro Risk Program seeks to generate absolute returns regardless of the direction of risk assets. The program seeks to be both long and short risk assets so that the performance of the account is driven by relative differences from the positions. This program generally holds a long risk asset that is the most liquid and strongest performing relative to others. On the short side, the program seeks to be short commodities that show the most weakness. Being short risk assets in bull markets can lead to very long periods of losses as bull markets tend to last for years. Although there is no guarantee that the trading account will experience positive performance, careful attention is made to always have long risk exposure in the appropriate size to offset losses and generate positive returns in those environments.

The Numberline Macro Risk program seeks little correlation with other CTAs and the overall market for risk. The Advisor seeks to be non-correlated with other popular strategies such as trend following, premium selling or simply long risk assets. The Advisor utilizes a proprietary method that has been developed and refined over the last 12 years. The program uses a scoring system to quantitatively score assets based on their real internal strength or weakness. It is not using chart-based analysis. By utilizing this lens of analyzing macro markets, the Advisor seeks to avoid crowded trades and avoid entries and exits that are obvious to other chart-based traders.

Investment Strategy

The Program seeks out candidates for longs and shorts from a wide variety of commodities across equity indices, currencies, metals, energies, interest rates, and volatility. The Program trades futures and options on futures on both domestic and international exchanges. The Program primarily trades options on index futures (primarily ES), energy (WTI or Brent), FX (dollar index, Yen, Euro), Metals (gold, Silver, Copper), Bonds (ZB, ZN, GE), as well as futures in all the above. The duration will generally be 30 to 60 days.

Risk Management

The trading program manages risk by observing the daily, weekly and monthly ranges of each product traded as well as its correlation to other open positions to attempt to assure that the risk exposure stays in a relatively narrow band on an absolute basis.

Although there can be no guarantee that trading will be successful and that Clients will not experience losses, the Advisor strives to provide superior returns and to minimize draw downs.

   

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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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
Compound RoR:
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Risk
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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
-9.10 3 2 1/1/0001 4/1/2020
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Consecutive Gains

Run-up Length (Mos.) Start End
23.34 7 5/1/2020 11/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.10 3 2/1/2020 4/1/2020
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Time Windows Analysis

 1 Month3 Month
Number of Periods10.008.00
Percent Profitable70.0075.00
Average Period Return1.254.13
Average Gain3.108.39
Average Loss-3.08-8.66
Best Period10.9216.61
Worst Period-7.27-9.10
Standard Deviation4.709.65
Gain Standard Deviation3.926.57
Loss Standard Deviation3.630.62
Sharpe Ratio (1%)0.250.40
Average Gain / Average Loss1.010.97
Profit / Loss Ratio2.352.91
Downside Deviation (10%)2.514.95
Downside Deviation (5%)2.384.46
Downside Deviation (0%)2.344.33
Sortino Ratio (10%)0.330.59
Sortino Ratio (5%)0.490.87
Sortino Ratio (0%)0.530.95

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.