Paradox Futures LLC : Paradox2

archived programs
Year-to-Date
N / A
Oct Performance
-5.28%
Min Investment
$ 450k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
15.10%
Sharpe (RFR=1%)
-0.12
CAROR
-1.95%
Assets
$ 1.8M
Worst DD
-20.74
S&P Correlation
-0.19

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
11/2009
Paradox2 -5.28 - - - - - -18.31 -3.87
S&P 500 10.77 - - - - - 18.25 216.18
+/- S&P 500 -16.05 - - - - - -36.56 -220.05

Strategy Description

Summary

PARADOX2 is a systematic trading program designed to take advantage of short term inefficiencies in commodity and financial markets. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 450k
Trading Level Incremental Increase $ 450k
CTA Max Funding Factor 2.50
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $7.50
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 1600 RT/YR/$M
Avg. Margin-to-Equity 12%
Targeted Worst DD -20.00%
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 90.00%
Intraday 10.00%

Decision-Making

Discretionary 1.00%
Systematic 99.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
15.00%
Interest Rates
15.00%
Softs
15.00%
Stock Indices
15.00%
Energy
13.00%
Grains
13.00%
Precious Metals
7.00%
Livestock
7.00%
Composition Pie Chart

Summary

PARADOX2 is a systematic trading program designed to take advantage of short term inefficiencies in commodity and financial markets.

Investment Strategy

The Paradox2 program utilizes a short term trend following strategy, RSTrend, designed and developed by Paradox Futures, LLC. The strategy is designed to capture price moves in short, intermediate and long term trending environments. The program trades a diversified portfolio of exchange traded futures contracts in a variety of market sectors (energy, grains, meats, metals, softs, currencies, stock indexes, treasuries).

   

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
-20.74 13 - 9/1/2010 10/1/2011
-7.37 1 3 5/1/2010 6/1/2010
-4.78 2 3 11/1/2009 1/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
17.86 4 2/1/2010 5/1/2010
9.24 3 7/1/2010 9/1/2010
6.81 1 11/1/2009 11/1/2009
5.37 1 8/1/2011 8/1/2011
1.43 1 1/1/2011 1/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.32 3 10/1/2010 12/1/2010
-9.00 6 2/1/2011 7/1/2011
-7.37 1 6/1/2010 6/1/2010
-5.98 2 9/1/2011 10/1/2011
-4.78 2 12/1/2009 1/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods24.0022.0019.0013.007.00
Percent Profitable41.6745.4536.8438.4628.57
Average Period Return-0.07-0.30-1.08-5.34-4.79
Average Gain3.975.4810.195.581.24
Average Loss-2.96-5.12-7.66-12.17-7.21
Best Period10.2917.6815.5414.042.09
Worst Period-7.37-13.32-14.20-17.97-11.55
Standard Deviation4.366.739.5510.294.75
Gain Standard Deviation3.124.913.935.061.20
Loss Standard Deviation2.323.323.605.332.83
Sharpe Ratio (1%)-0.04-0.08-0.17-0.62-1.33
Average Gain / Average Loss1.341.071.330.460.17
Profit / Loss Ratio0.960.890.780.290.07
Downside Deviation (10%)3.095.258.5014.0913.14
Downside Deviation (5%)2.884.617.0411.057.68
Downside Deviation (0%)2.834.456.6710.326.46
Sortino Ratio (10%)-0.16-0.29-0.42-0.73-0.94
Sortino Ratio (5%)-0.05-0.12-0.22-0.57-0.82
Sortino Ratio (0%)-0.03-0.07-0.16-0.52-0.74

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.