Opus Futures LLC : Opus Macro Monitor (Proprietary)

Year-to-Date
2.26%
Feb Performance
13.56%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
17.54%
Sharpe (RFR=1%)
0.36
CAROR
5.98%
Assets
$ 700k
Worst DD
-27.64
S&P Correlation
0.11

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
2/2014
Opus Macro Monitor (Proprietary) 13.56 2.26 2.26 43.92 21.97 31.76 - 50.91
S&P 500 5.94 8.65 4.76 33.19 44.98 101.57 - 118.35
+/- S&P 500 7.62 -6.39 -2.50 10.72 -23.01 -69.81 - -67.44

Strategy Description

Summary

The Macro Monitor trading program is a discretionary managed futures strategy with a primary focus on the FX and US Treasury markets.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
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 Daily
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 2600 RT/YR/$M
Avg. Margin-to-Equity 7%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 30.00%
1-30 Days 70.00%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Fundamental
80.00%
Technical
20.00%
Strategy Pie Chart

Composition

Currency Futures
60.00%
Interest Rates
20.00%
Precious Metals
10.00%
Stock Indices
10.00%
Composition Pie Chart

Summary

The Macro Monitor trading program is a discretionary managed futures strategy with a primary focus on the FX and US Treasury markets.

Investment Strategy

Fundamental analysis of the currency and treasury market and their effect on other markets. Technical/chart analysis is used but primarily only to determine and entry and exit levels.

Risk Management

The trader will utilize a number of analytical tools to measure risk including margin/equity levels. No more than a 10% retracement in any given month is the goal of the program.

   

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
-27.64 25 6 1/1/2018 2/1/2020
-14.97 6 9 4/1/2014 10/1/2014
-9.95 1 1 12/1/2020 1/1/2021
-9.88 4 7 2/1/2016 6/1/2016
-9.10 4 3 1/1/2017 5/1/2017
-6.19 4 1 8/1/2017 12/1/2017
-5.19 1 1 12/1/2015 1/1/2016
-4.50 1 2 8/1/2020 9/1/2020
-0.86 1 1 1/1/0001 2/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
43.74 6 3/1/2020 8/1/2020
26.20 10 3/1/2015 12/1/2015
19.29 3 11/1/2016 1/1/2017
13.62 3 6/1/2017 8/1/2017
13.56 1 2/1/2021 2/1/2021
10.44 1 2/1/2016 2/1/2016
9.78 3 11/1/2014 1/1/2015
9.77 1 10/1/2018 10/1/2018
9.33 2 3/1/2019 4/1/2019
8.99 1 1/1/2018 1/1/2018
8.13 3 10/1/2019 12/1/2019
7.61 1 7/1/2016 7/1/2016
6.90 3 10/1/2020 12/1/2020
5.05 2 7/1/2018 8/1/2018
3.18 1 8/1/2019 8/1/2019
2.81 2 3/1/2014 4/1/2014
0.36 1 5/1/2018 5/1/2018
0.34 1 11/1/2017 11/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.55 3 2/1/2018 4/1/2018
-14.97 6 5/1/2014 10/1/2014
-12.22 4 11/1/2018 2/1/2019
-9.95 1 1/1/2021 1/1/2021
-9.88 4 3/1/2016 6/1/2016
-9.51 1 9/1/2019 9/1/2019
-9.10 4 2/1/2017 5/1/2017
-8.34 2 1/1/2020 2/1/2020
-7.59 3 5/1/2019 7/1/2019
-5.32 3 8/1/2016 10/1/2016
-5.19 1 1/1/2016 1/1/2016
-4.88 1 9/1/2018 9/1/2018
-4.50 1 9/1/2020 9/1/2020
-4.41 1 2/1/2015 2/1/2015
-4.02 1 6/1/2018 6/1/2018
-3.99 2 9/1/2017 10/1/2017
-2.62 1 12/1/2017 12/1/2017
-0.86 1 2/1/2014 2/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods85.0083.0080.0074.0068.0062.0050.0038.0026.00
Percent Profitable52.9454.2258.7560.8166.1867.7468.0078.95100.00
Average Period Return0.611.633.466.928.269.8012.2315.1520.19
Average Gain4.197.5411.1116.9218.3820.6622.1521.2220.19
Average Loss-3.42-5.36-7.44-8.59-11.53-13.01-8.86-7.59
Best Period13.6126.7443.7450.0637.0442.4755.0241.3933.42
Worst Period-10.38-16.55-17.74-22.08-21.81-27.15-22.65-16.317.01
Standard Deviation5.068.2311.9816.0416.2718.9221.4015.107.51
Gain Standard Deviation3.715.819.1712.018.8411.1818.4910.347.51
Loss Standard Deviation2.874.135.005.825.558.396.783.80
Sharpe Ratio (1%)0.100.170.250.370.420.410.430.732.01
Average Gain / Average Loss1.231.411.491.971.591.592.502.80
Profit / Loss Ratio1.381.662.133.063.123.335.3110.49
Downside Deviation (10%)3.275.257.119.2911.6114.1915.5515.0310.35
Downside Deviation (5%)3.094.696.006.998.219.727.695.61
Downside Deviation (0%)3.054.565.736.467.418.736.243.84
Sortino Ratio (10%)0.060.080.140.210.06-0.03-0.23-0.43-0.72
Sortino Ratio (5%)0.170.290.490.850.820.801.201.98
Sortino Ratio (0%)0.200.360.601.071.121.121.963.94

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.