Pardo Capital Limited : XT99 Diversified

archived programs
Year-to-Date
N / A
Oct Performance
-3.86%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.23%
Sharpe (RFR=1%)
-1.43
CAROR
-
Assets
$ 969k
Worst DD
-4.45
S&P Correlation
0.89

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
8/2012
XT99 Diversified -3.86 - - - - - - -3.09
S&P 500 -1.98 - - - - - - 130.11
+/- S&P 500 -1.88 - - - - - - -133.20

Strategy Description

Summary

Pardo Capital Limited, a registered Commodity Trading Advisor and NFA member, has directed futures investments for private investors, institutional clients and pension funds since 1996. Our re-released XT99 Diversified program builds upon the same proven, proprietary, computerized... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
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 1500 RT/YR/$M
Avg. Margin-to-Equity 9%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 15.00%
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Interest Rates
30.00%
Grains
20.00%
Energy
13.00%
Currency Futures
11.00%
Softs
9.00%
Precious Metals
6.00%
Livestock
4.00%
Stock Indices
4.00%
Industrial Metals
3.00%
Composition Pie Chart

Summary

Pardo Capital Limited, a registered Commodity Trading Advisor and NFA member, has directed futures investments for private investors, institutional clients and pension funds since 1996. Our re-released XT99 Diversified program builds upon the same proven, proprietary, computerized trading algorithm of PCL’s original XT99 Diversified program of 12 years. The re-released XT99 Diversified extends the benefits of this fully automated algorithm with a number of recent advances resulting from our extensive research and development. Some of the main innovations XT99 Diversified includes are 1) more robust and rigorous algorithms for the selection of trading strategies and model parameters, 2) an enhanced portfolio design process, 3) a more robust and dynamic position weighting algorithm, and 4) a more responsive and efficient algorithm for parameter recalibration to keep pace with changing market states. XT99 Diversified trades a dynamic portfolio of 27 liquid futures markets. One or more markets from each of eight distinct sectors are selected via a proprietary algorithm. The portfolio mix will change from time to time by design. XT99 Diversified employs a proprietary computerized trading algorithm that automatically issues all buys and sells for all strategies and markets. This computerized, rule-based approach to trading eliminates the vagaries of human emotion and judgment. Its trading algorithm has been historically validated and is periodically updated to adapt to ever-changing market regimes with our proprietary methodology Walk-Forward Analysis™.

Investment Strategy

The objective of PCL's trading program is to achieve rates of return on invested capital that are somewhat greater than those available from other investments, while taking reasonable steps to protect capital relative to the rates of return sought.

Risk Management

The program uses a technical intermediate to long-term approach to trade a diversified portfolio. Risk control measures include system diversification, market diversification, signal structure and stops.

   

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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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
-4.45 2 - 8/1/2012 10/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
1.42 1 8/1/2012 8/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.45 2 9/1/2012 10/1/2012
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Time Windows Analysis

 6 Month12 Month18 Month2 Year3 Year4 Year5 Year1 Month
Number of Periods147.00141.00135.00129.00117.00105.0093.0069.003.00
Percent Profitable63.2770.2169.6369.7783.7693.33100.00100.0033.33
Average Period Return12.2425.5940.7453.5984.24113.98128.57195.01-1.02
Average Gain26.3743.6365.6583.15103.91122.83128.57195.011.42
Average Loss-12.11-16.94-16.37-14.64-17.22-9.91-2.24
Best Period96.06189.14236.45296.28348.96315.10341.22553.021.42
Worst Period-36.13-49.04-42.78-36.15-30.26-22.7824.4025.17-3.86
Standard Deviation26.3440.7955.3167.0480.5187.0783.43114.592.66
Gain Standard Deviation22.2334.7647.8359.2372.9983.3083.43114.59
Loss Standard Deviation9.9412.3911.408.649.537.092.30
Sharpe Ratio (1%)0.450.600.710.771.011.261.481.64-0.41
Average Gain / Average Loss2.182.584.015.686.0312.400.64
Profit / Loss Ratio3.756.079.2013.1031.12173.580.32
Downside Deviation (10%)10.6713.7414.6414.5013.948.750.331.872.53
Downside Deviation (5%)9.6911.8511.6410.298.983.992.31
Downside Deviation (0%)9.4611.4110.959.327.883.072.26
Sortino Ratio (10%)0.921.502.262.994.9110.57301.3282.45-0.56
Sortino Ratio (5%)1.212.073.375.019.0427.57-0.48
Sortino Ratio (0%)1.292.243.725.7510.6937.14-0.45

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.