Orchard Grove Asset Management : Active Diversified Program

archived programsClosed to new investments
Year-to-Date
N / A
Jun Performance
-0.49%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
4.63%
Sharpe (RFR=1%)
-0.52
CAROR
-1.53%
Assets
$ 4.3M
Worst DD
-7.14
S&P Correlation
-0.20

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
6/2011
Active Diversified Program -0.49 2.38 - -0.14 -4.14 - - -4.63
S&P 500 1.91 4.69 - 22.04 48.40 - - 46.17
+/- S&P 500 -2.40 -2.32 - -22.18 -52.54 - - -50.80

Strategy Description

Summary

Short-term, low-margin, swing trading program designed to be an effective overlay to traditional or other managed futures programs
• Technically driven with a risk-management overlay by two portfolio managers with over 25 years experience
• Diversification across the currency,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 250k
CTA Max Funding Factor
2.50
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
6000 RT/YR/$M
Avg. Margin-to-Equity
6%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
7.40%
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Currency Futures
33.00%
Stock Indices
27.00%
Interest Rates
9.00%
Energy
9.00%
Precious Metals
7.00%
Grains
7.00%
Softs
5.00%
Livestock
3.00%
Composition Pie Chart

Summary

Short-term, low-margin, swing trading program designed to be an effective overlay to traditional or other managed futures programs
• Technically driven with a risk-management overlay by two portfolio managers with over 25 years experience
• Diversification across the currency, energy, equity, interest rate, grain, meat, and metal markets
• Targeted low correlation to both traditional equity and other managed futures programs

Investment Strategy

Short-term, low-margin, swing trading program designed to be an effective overlay to traditional or other managed futures programs:
• Technically driven with a risk-management overlay by two portfolio managers with over 25 years experience
• Diversification across the currency, energy, equity, interest rate, grain, meat, and metal markets
• Targeted low correlation to both traditional equity and other managed futures programs

Risk Management

Diversification across trading patterns, timeframes and ~25 exchange-traded markets

Trade size targeted to ~0.25% - 0.5% risk per trade and adjusted for correlation in today’s “risk-on / risk-off” character

Margin/Equity: Maximum of ~6 – 8% and ~<= 6 positions at any one time

Stops in market at trade initiation

   

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
-7.14 26 - 12/1/2011 2/1/2014
-2.11 2 4 6/1/2011 8/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
4.94 2 5/1/2012 6/1/2012
2.88 1 5/1/2014 5/1/2014
2.07 3 12/1/2012 2/1/2013
1.55 2 11/1/2011 12/1/2011
1.18 1 1/1/2014 1/1/2014
1.05 1 10/1/2013 10/1/2013
1.04 1 9/1/2011 9/1/2011
0.89 1 3/1/2014 3/1/2014
0.72 1 5/1/2013 5/1/2013
0.62 1 10/1/2012 10/1/2012
0.24 1 7/1/2013 7/1/2013
0.24 1 3/1/2012 3/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.84 2 1/1/2012 2/1/2012
-3.06 3 7/1/2012 9/1/2012
-2.62 1 2/1/2014 2/1/2014
-2.11 3 6/1/2011 8/1/2011
-1.96 1 4/1/2012 4/1/2012
-1.77 2 3/1/2013 4/1/2013
-1.40 1 6/1/2013 6/1/2013
-1.31 2 11/1/2013 12/1/2013
-0.98 2 8/1/2013 9/1/2013
-0.64 1 4/1/2014 4/1/2014
-0.49 1 6/1/2014 6/1/2014
-0.37 1 10/1/2011 10/1/2011
-0.12 1 11/1/2012 11/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods37.0035.0032.0026.0020.0014.00
Percent Profitable43.2440.0028.1319.2310.000.00
Average Period Return-0.12-0.42-0.90-1.56-1.93-3.07
Average Gain1.081.481.101.441.14
Average Loss-1.09-1.69-1.68-2.27-2.27-3.07
Best Period2.883.422.562.562.11-0.25
Worst Period-2.67-4.61-5.03-4.85-4.80-5.75
Standard Deviation1.342.011.731.991.681.57
Gain Standard Deviation0.811.100.941.111.38
Loss Standard Deviation0.811.381.281.381.341.57
Sharpe Ratio (1%)-0.15-0.33-0.81-1.29-2.05-3.23
Average Gain / Average Loss1.000.870.650.630.50
Profit / Loss Ratio0.800.580.260.150.06
Downside Deviation (10%)1.252.513.776.849.6613.40
Downside Deviation (5%)1.041.832.133.183.805.30
Downside Deviation (0%)0.991.671.772.372.483.42
Sortino Ratio (10%)-0.42-0.66-0.89-0.96-0.99-0.99
Sortino Ratio (5%)-0.19-0.37-0.66-0.80-0.90-0.96
Sortino Ratio (0%)-0.12-0.25-0.51-0.66-0.78-0.90

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.