Parizek Capital : Futures Trading Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 2.57% Jan Performance 2.57% Min Investment $ 500k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 21.52% Sharpe (RFR=1%) 0.27 CAROR 4.76% Assets $ 1.3M Worst DD -47.49 S&P Correlation -0.26 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since4/2000 Futures Trading Program 2.57 9.99 2.57 14.24 28.45 -12.78 -28.45 163.32 S&P 500 -1.11 13.59 -1.11 15.15 31.52 89.48 185.82 168.11 +/- S&P 500 3.68 -3.60 3.68 -0.91 -3.07 -102.27 -214.27 -4.79 Strategy Description SummaryThe Futures Trading Program is a proprietary systematic long-term trend following system developed by Scot Lowry. Mr. Lowry converted his knowledge and research of the markets into a mechanical trading approach. The Program looks for specific turning points which signal new trends,... Read More Account & Fees Type Managed Account Minimum Investment $ 500k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 1-7 Days Redemption Frequency 1-7 Days Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 1500 RT/YR/$M Avg. Margin-to-Equity 20% Targeted Worst DD Worst Peak-to-Trough 0% 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 5.00% Systematic 95.00% Strategy Trend-following 100.00% Composition Grains 15.00% Interest Rates 15.00% Softs 15.00% Currency Futures 13.00% Stock Indices 13.00% Industrial Metals 10.00% Energy 7.00% Livestock 7.00% Precious Metals 5.00% SummaryThe Futures Trading Program is a proprietary systematic long-term trend following system developed by Scot Lowry. Mr. Lowry converted his knowledge and research of the markets into a mechanical trading approach. The Program looks for specific turning points which signal new trends, and attempts to enter trades earlier than most long-term technical systems. The Program is 99% mechanical, based on technical data, using price information to signal entry and exit points. The only discretion used is to add or delete markets traded due to liquidity issues. The Futures Trading Program employs its own built in risk management procedures to limit risk to individual trades and provide overall portfolio protection. Investment StrategyMARKETS TRADED - FUTURES PROGRAM The Manager intends to trade a diverse group of futures in a variety of approximately 35 markets, including but not limited to grain, currency, metal, energy, financial, stock index, fiber, and softs (coffee, cocoa, sugar, lumber, and orange juice). Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -47.49 80 - 1/1/2011 9/1/2017 -46.08 17 37 3/1/2004 8/1/2005 -18.47 4 18 12/1/2008 4/1/2009 -15.49 4 5 10/1/2001 2/1/2002 -14.60 6 7 9/1/2002 3/1/2003 -7.32 1 1 10/1/2010 11/1/2010 -6.86 6 3 1/1/0001 9/1/2000 -5.26 1 1 10/1/2003 11/1/2003 -4.46 1 1 1/1/2001 2/1/2001 Show More Consecutive Gains Run-up Length (Mos.) Start End 87.32 5 8/1/2008 12/1/2008 39.47 8 3/1/2001 10/1/2001 33.78 7 3/1/2002 9/1/2002 32.45 2 1/1/2008 2/1/2008 30.52 3 7/1/2011 9/1/2011 30.32 4 7/1/2010 10/1/2010 24.77 4 11/1/2014 2/1/2015 21.26 5 9/1/2005 1/1/2006 19.73 1 11/1/2011 11/1/2011 19.45 4 12/1/2003 3/1/2004 18.32 4 10/1/2000 1/1/2001 17.34 2 12/1/2010 1/1/2011 16.99 3 7/1/2014 9/1/2014 16.45 2 4/1/2003 5/1/2003 16.17 1 5/1/2012 5/1/2012 14.63 4 10/1/2020 1/1/2021 13.61 3 12/1/2002 2/1/2003 13.37 1 11/1/2015 11/1/2015 13.36 1 5/1/2009 5/1/2009 10.36 2 6/1/2016 7/1/2016 9.88 2 7/1/2003 8/1/2003 9.35 1 3/1/2010 3/1/2010 9.10 2 5/1/2008 6/1/2008 8.83 1 10/1/2003 10/1/2003 8.74 4 2/1/2019 5/1/2019 8.35 2 1/1/2016 2/1/2016 7.97 1 9/1/2007 9/1/2007 7.66 1 8/1/2019 8/1/2019 7.55 2 6/1/2007 7/1/2007 7.35 1 11/1/2009 11/1/2009 7.25 2 2/1/2020 3/1/2020 7.02 1 9/1/2015 9/1/2015 6.89 2 3/1/2007 4/1/2007 6.87 1 11/1/2007 11/1/2007 5.82 2 6/1/2018 7/1/2018 5.36 2 7/1/2020 8/1/2020 5.36 2 11/1/2019 12/1/2019 5.35 1 2/1/2014 2/1/2014 5.35 1 3/1/2013 3/1/2013 5.16 3 7/1/2009 9/1/2009 4.20 3 3/1/2006 5/1/2006 3.97 2 12/1/2017 1/1/2018 3.89 2 1/1/2012 2/1/2012 3.88 1 2/1/2005 2/1/2005 3.73 2 4/1/2014 5/1/2014 3.61 3 11/1/2006 1/1/2007 2.92 1 5/1/2010 5/1/2010 2.87 1 12/1/2018 12/1/2018 2.54 1 9/1/2004 9/1/2004 2.45 1 9/1/2006 9/1/2006 2.39 2 9/1/2018 10/1/2018 1.97 2 6/1/2017 7/1/2017 1.78 1 1/1/2002 1/1/2002 1.44 1 12/1/2013 12/1/2013 1.41 3 7/1/2012 9/1/2012 1.22 1 3/1/2018 3/1/2018 0.97 1 10/1/2017 10/1/2017 0.70 2 5/1/2005 6/1/2005 0.54 1 8/1/2000 8/1/2000 0.47 1 12/1/2012 12/1/2012 0.36 1 5/1/2020 5/1/2020 Show More Consecutive Losses Run-up Length (Mos.) Start End -33.66 5 4/1/2004 8/1/2004 -26.42 8 4/1/2013 11/1/2013 -25.90 10 8/1/2016 5/1/2017 -25.15 5 2/1/2011 6/1/2011 -18.47 4 1/1/2009 4/1/2009 -18.09 3 3/1/2016 5/1/2016 -15.44 6 3/1/2015 8/1/2015 -15.05 1 10/1/2011 10/1/2011 -14.48 2 10/1/2002 11/1/2002 -13.38 2 3/1/2008 4/1/2008 -12.49 2 3/1/2012 4/1/2012 -12.10 1 3/1/2003 3/1/2003 -12.09 1 6/1/2003 6/1/2003 -12.06 3 6/1/2006 8/1/2006 -11.76 1 10/1/2015 10/1/2015 -11.61 1 12/1/2015 12/1/2015 -10.94 2 11/1/2001 12/1/2001 -10.73 1 12/1/2011 12/1/2011 -10.39 4 10/1/2004 1/1/2005 -10.17 3 12/1/2009 2/1/2010 -9.86 2 7/1/2005 8/1/2005 -7.32 1 11/1/2010 11/1/2010 -6.77 1 2/1/2002 2/1/2002 -6.58 1 6/1/2009 6/1/2009 -6.18 2 3/1/2005 4/1/2005 -6.09 2 9/1/2019 10/1/2019 -5.85 1 7/1/2008 7/1/2008 -5.79 1 6/1/2012 6/1/2012 -5.52 1 10/1/2009 10/1/2009 -5.26 1 11/1/2003 11/1/2003 -5.03 1 6/1/2014 6/1/2014 -4.90 4 4/1/2000 7/1/2000 -4.86 2 4/1/2018 5/1/2018 -4.65 1 4/1/2020 4/1/2020 -4.59 1 1/1/2019 1/1/2019 -4.59 1 4/1/2010 4/1/2010 -4.47 2 10/1/2012 11/1/2012 -4.46 1 2/1/2001 2/1/2001 -4.45 1 8/1/2007 8/1/2007 -4.30 2 8/1/2017 9/1/2017 -3.68 1 6/1/2020 6/1/2020 -3.68 1 1/1/2014 1/1/2014 -3.66 1 6/1/2010 6/1/2010 -3.64 2 6/1/2019 7/1/2019 -3.34 1 1/1/2020 1/1/2020 -2.67 1 3/1/2014 3/1/2014 -2.59 1 5/1/2007 5/1/2007 -2.59 1 9/1/2000 9/1/2000 -2.25 1 12/1/2007 12/1/2007 -2.22 1 2/1/2007 2/1/2007 -2.08 1 2/1/2006 2/1/2006 -1.89 1 10/1/2014 10/1/2014 -1.80 1 8/1/2018 8/1/2018 -1.58 2 1/1/2013 2/1/2013 -1.18 1 9/1/2003 9/1/2003 -1.08 1 10/1/2007 10/1/2007 -0.96 1 2/1/2018 2/1/2018 -0.72 1 11/1/2018 11/1/2018 -0.50 1 10/1/2006 10/1/2006 -0.11 1 9/1/2020 9/1/2020 -0.10 1 11/1/2017 11/1/2017 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods250.00248.00245.00239.00233.00227.00215.00203.00191.00 Percent Profitable53.2054.4452.6559.0061.3760.7949.3042.8650.79 Average Period Return0.571.703.486.9710.3313.5020.0526.0733.61 Average Gain4.808.5614.2921.3128.0735.3560.4285.2685.96 Average Loss-4.23-6.48-8.55-13.66-17.87-20.38-19.21-18.32-20.42 Best Period34.1365.8680.70120.73140.51159.02159.10212.95216.01 Worst Period-15.05-24.21-33.18-37.94-45.69-38.53-41.13-39.90-42.56 Standard Deviation6.2111.2416.7024.6732.4639.7153.6566.8072.91 Gain Standard Deviation4.9210.2915.3021.5628.6736.0349.9364.4568.97 Loss Standard Deviation3.395.287.339.6911.1710.9511.139.6811.84 Sharpe Ratio (1%)0.080.130.180.240.270.290.320.330.39 Average Gain / Average Loss1.131.321.671.561.571.733.154.654.21 Profit / Loss Ratio1.291.581.862.252.502.693.063.494.34 Downside Deviation (10%)3.936.309.1113.4817.3420.4526.2931.4535.39 Downside Deviation (5%)3.755.768.0011.2313.8815.5917.6918.4319.73 Downside Deviation (0%)3.705.637.7410.7013.0814.4715.7915.6516.54 Sortino Ratio (10%)0.040.080.110.150.160.160.160.140.17 Sortino Ratio (5%)0.130.250.370.530.640.740.961.191.45 Sortino Ratio (0%)0.150.300.450.650.790.931.271.672.03 Top Performer Badges Index Award Type Rank Performance Period Trend Following Strategy Index Month 7 7.02 9/2015 Systematic Trader Index Month 8 7.02 9/2015 Diversified Trader Index Month 10 7.02 9/2015 Diversified Trader Index Month 8 9.61 7/2014 Systematic Trader Index Month 7 9.61 7/2014 Trend Following Strategy Index Month 6 9.61 7/2014 Diversified Trader Index Month 9 5.35 3/2013 Trend Following Strategy Index Month 1 19.73 11/2011 Systematic Trader Index Month 1 19.73 11/2011 Diversified Trader Index Month 1 19.73 11/2011 IASG CTA Index Month 3 19.73 11/2011 Trend Following Strategy Index Month 6 10.43 9/2011 Trend Following Strategy Index Month 4 5.22 1/2011 Systematic Trader Index Month 10 5.22 1/2011 IASG CTA Index 3 Year 7 159.10 2005 - 2008 IASG CTA Index Annual 5 120.73 2008 Trend Following Strategy Index Month 6 34.13 10/2008 Systematic Trader Index Month 6 34.13 10/2008 IASG CTA Index Month 6 34.13 10/2008 Diversified Trader Index Month 6 34.13 10/2008 Trend Following Strategy Index Month 4 14.68 9/2008 Systematic Trader Index Month 4 14.68 9/2008 Diversified Trader Index Month 4 14.68 9/2008 IASG CTA Index Month 4 14.68 9/2008 Trend Following Strategy Index Month 10 7.35 5/2008 Trend Following Strategy Index Month 9 6.87 11/2007 Diversified Trader Index Month 10 6.87 11/2007 Systematic Trader Index Month 8 3.35 3/2007 IASG CTA Index Month 10 3.35 3/2007 Trend Following Strategy Index Month 2 3.35 3/2007 Diversified Trader Index Month 6 3.35 3/2007 Diversified Trader Index Month 5 5.65 1/2004 IASG CTA Index Month 6 5.65 1/2004 Trend Following Strategy Index Month 3 5.65 1/2004 Systematic Trader Index Month 3 5.65 1/2004 Systematic Trader Index Month 10 3.60 8/2003 Trend Following Strategy Index Month 8 3.60 8/2003 IASG CTA Index Month 9 6.06 7/2003 Trend Following Strategy Index Month 4 6.06 7/2003 Diversified Trader Index Month 4 6.06 7/2003 Systematic Trader Index Month 4 6.06 7/2003 Trend Following Strategy Index Month 9 0.57 4/2002 Systematic Trader Index Month 9 1.78 1/2002 Trend Following Strategy Index Month 6 1.78 1/2002 Diversified Trader Index Month 7 1.78 1/2002 IASG CTA Index Annual 7 24.98 2001 Trend Following Strategy Index Month 10 2.22 6/2001 Systematic Trader Index Month 8 0.44 4/2001 Diversified Trader Index Month 7 0.44 4/2001 Trend Following Strategy Index Month 2 0.44 4/2001 Trend Following Strategy Index Month 8 14.02 3/2001 Diversified Trader Index Month 9 14.02 3/2001 Systematic Trader Index Month 10 14.02 3/2001 Trend Following Strategy Index Month 4 5.32 1/2001 IASG CTA Index Month 8 5.32 1/2001 Systematic Trader Index Month 5 5.32 1/2001 Diversified Trader Index Month 6 5.32 1/2001 Trend Following Strategy Index Month 10 3.11 10/2000 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel