Pacific Capital Advisors : Terra

archived programsClosed to new investments
Year-to-Date
N / A
May Performance
1.61%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
21.00%
Sharpe (RFR=1%)
0.45
CAROR
8.71%
Assets
$ 300k
Worst DD
-26.27
S&P Correlation
-0.27

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
4/2014
Terra 1.61 - - - - 12.55 - 19.84
S&P 500 1.53 - - - - 55.85 - 90.28
+/- S&P 500 0.08 - - - - -43.30 - -70.44

Strategy Description

Summary

Pacific Capital Advisors' Terra program is an Ags-only program. It is systematic. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 2.50
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $10.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 2000 RT/YR/$M
Avg. Margin-to-Equity 8%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Agricultural Traders

Holding Periods

Over 12 Months 0%
4-12 Months 1.00%
1-3 Months 9.00%
1-30 Days 90.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
30.00%
Momentum
40.00%
Pattern Recognition
30.00%
Strategy Pie Chart

Composition

Grains
60.00%
Livestock
40.00%
Composition Pie Chart

Summary

Pacific Capital Advisors' Terra program is an Ags-only program. It is systematic.

Investment Strategy

Breakout / momentum and pattern recognition trading methods are used. The trades are short term in nature with average holding period of less than 7 days, while winning trades that continue to trend may be held for a month or longer. Using decades of of market data, recurring patterns have been identified in these markets that can be systematically captured. The nimble shorter time-frame trading combined with diversification across a few ag related sectors is at the heart of this program. This program has been designed for investors that see the value of trading these non-financial markets as a bastion of non-correlation relative to other asset classes and other CTA programs. This program seeks to capitalize on the uniqueness of the trading opportunities in each of these markets.

Risk Management

Protective stops are used for every trade. Diversification of trading models, markets and sectors tend to reduce overall risk for the portfolio.

   

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
-26.27 8 - 3/1/2015 11/1/2015
-7.48 2 1 12/1/2014 2/1/2015
-4.28 1 2 9/1/2014 10/1/2014
-3.34 1 1 7/1/2014 8/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
23.51 4 4/1/2014 7/1/2014
18.56 1 9/1/2014 9/1/2014
9.03 1 3/1/2015 3/1/2015
8.66 2 2/1/2016 3/1/2016
5.67 2 11/1/2014 12/1/2014
3.10 1 12/1/2015 12/1/2015
1.61 1 5/1/2016 5/1/2016
1.12 1 6/1/2015 6/1/2015
0.57 1 8/1/2015 8/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.68 2 4/1/2015 5/1/2015
-10.96 3 9/1/2015 11/1/2015
-7.48 2 1/1/2015 2/1/2015
-4.28 1 10/1/2014 10/1/2014
-3.34 1 8/1/2014 8/1/2014
-1.09 1 7/1/2015 7/1/2015
-0.65 1 1/1/2016 1/1/2016
-0.48 1 4/1/2016 4/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods26.0024.0021.0015.009.00
Percent Profitable53.8558.3347.6240.0011.11
Average Period Return0.871.711.54-5.23-6.06
Average Gain4.998.3215.8312.1116.61
Average Loss-3.94-7.53-11.44-16.78-8.90
Best Period18.5620.4441.5444.4116.61
Worst Period-9.51-16.76-19.25-23.32-16.27
Standard Deviation6.069.7416.5418.629.91
Gain Standard Deviation4.796.3112.0017.33
Loss Standard Deviation3.084.695.286.585.44
Sharpe Ratio (1%)0.130.150.06-0.33-0.76
Average Gain / Average Loss1.271.101.380.721.87
Profit / Loss Ratio1.481.551.260.480.23
Downside Deviation (10%)3.576.3410.7117.6416.27
Downside Deviation (5%)3.395.799.3814.5910.91
Downside Deviation (0%)3.355.659.0513.869.66
Sortino Ratio (10%)0.130.08-0.09-0.58-0.84
Sortino Ratio (5%)0.230.250.11-0.43-0.69
Sortino Ratio (0%)0.260.300.17-0.38-0.63

Top Performer Badges

Index Award Type Rank Performance Period
Agricultural Trader Index Month 8 1.61 5/2016
Agricultural Trader Index Month 3 3.39 3/2016
Agricultural Trader Index Month 1 5.10 2/2016
Agricultural Trader Index Month 3 3.10 12/2015

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